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The Search for Volatility

With 50.5 trading days left in the year and equity vol DOA, market participants are hunting for something to trade. Here’s a rundown of volatility levels by asset class (equities, metals, fx, energy, ags, and rates); all vol cones are for a 5-year history with expirations on the left-hand side.

Equities

E-Mini S&P 500 vol is at 5-year lows:

Metals

Gold and silver vol is near 5-year lows as well:


Copper vol shows signs of life for shorter dated expiries after testing recent highs:

FX

FX vol is middling:



Energy

Oil vol is low as WTI grinds higher:

Natural gas shows signs of seasonality:

Ags

Ags also harboring low vol:






Rates





Eurodollars

Eurodollar vol reflects uncertainty around the next rate hike: