Volatility fears increase after May whiplash
The spike in implied volatility was reflected in the Vix and VStoxx indexes. “The spread widening [between the two indexes] observed over recent weeks is likely to bolster recent concerns about a contagion to other [vulnerable economies in Europe beyond Greece],” stated a report published by Barclays Capital on May 17.
“The spread between the Vix and VStoxx is contained in a 0–8% range. The strong resistance level at 10% was broken for a significant period during the technology, media and
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