Between China’s softened economic landing and a possible Federal Reserve rate hike next week when Fed policymakers meet, volatility has been lifted by the Sturm and Drang of almost daily economic announcements from Asia, Europe and the U.S.
Volatility is now reverting to more normal levels. But what is normal? As seen in Figure 1, the new normal for the CBOE VIX Index is now closer to 25, which is 40 percent higher than at the beginning of 2015. EUVIX is up 19 percent, and TYVIX up 4 percent.[...]