Even as U.S. stocks post the longest stretch of 1 percent swings since 2012, volatility expectations are falling across asset classes.
A Bank of America Corp. gauge of market swings in stocks, bonds, currencies and commodities has dropped from a 1 1/2-year high as the European Central Bank said it will start a quantitative-easing program of 1.1 trillion euros ($1.3 trillion). That doesn’t mean the region is out of the woods, and Barclays Plc says volatility may persist. QE will help only if confidence and economic growth improve, the bank’s asset-allocation strategist Sree Kochugovindan wrote in a note today.
“The ECB package of measures announced yesterday has helped push implied volatility even lower,” Kochugovindan wrote. “However, broader event risk and central-bank policy uncertainties persist, and it is not yet clear whether a sustainable downtrend in implied volatility has begun.”
Cecile Vannucci | Bloomberg