Stock Dispersion Jumps as the Equity Rally Broadens
Implied volatilities declined across asset classes last week in a shortened holiday week. Risk sentiment improved, even as US jobs number disappointed, as the risk of imminent Fed tightening declined, with the first fully priced-in rate hike now pushed out to Dec from Oct. With the normalization in oil volatility, gold remains the only major asset class where implied volatility is still trading at elevated levels (almost 2 std dev above average). Realized volatility in gold is up 10 pts over the past month as gold prices have continued to tumble, down another 11.7% in June (its worst monthly performance since Oct 2008). Learn more in this week’s Macro Volatility Digest.





