Uncertainty over the future of the euro, heavy selling of equities, and pessimism about European economies combined this week to drive market volatility to heights not seen for more than a year.
The Vix equity volatility index, derived by Chicago Board Option Exchange from implied volatility in S&P 500 options, stood at 45.79 today, higher than it has been since March 2009 – or at any time before the collapse of Lehman Brothers sent it to 80.86 in November 2008.
The Deutsche Bank CVix index of f
The week on Risk.net, October 6-12, 2017Receive this by email
- Quantile, TriOptima face off in cleared swaps compression battle
- SGX, HKEX expect to be among first wave of Mifid II equivalence
- Leaked EU doc could shield legacy swaps from clearing grab
- ABS set for revival under US Treasury’s liquidity buffer plans
- Industry hails potential US relaxation of margin timing rules