The spike in the stock market’s barometer of fear that contributed to equity carnage on Monday is reversing fast.
Earlier in the day, the Cboe Volatility Index, a gauge of implied volatility for the S&P 500 Index over the next month, breached 50 to touch its highest level since the aftermath of China’s devaluation of the yuan in 2015. It fell to 22.78 as of 9:50 a.m. in New York.
The spread between one-month realized and implied volatility for the S&P 500 Index had blown out this morning, suggesting that the move in the VIX index had gone further than the even the sharp retreats in stocks over the past two sessions warranted.
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Dean Popplewell
He has a deep understanding of market fundamentals and the impact of global events on capital markets.
He is respected among professional traders for his skilled analysis and career history as global head
of trading for firms such as Scotia Capital and BMO Nesbitt Burns. Since joining OANDA in 2006, Dean
has played an instrumental role in driving awareness of the forex market as an emerging asset class
for retail investors, as well as providing expert counsel to a number of internal teams on how to best
serve clients and industry stakeholders.
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