While I Was Sleeping….

• Posted by Adam Warner
• on August 26th, 2009

 

It seems that Realized Volatility has actually doubled in the last couple weeks. The chart here shows 10 Day HV in the SPY, and low and behold it popped from near 10 in early August to about 20 now.

And I’m not real sure exactly what happened. We had a large gap down on August 17th, and then a pretty big move back up last Friday, so I imagine that’s your answer there. Because staring at the screen all day, it sure does not feel the slightest bit volatile.

I generally use the 10 Day HV to get the here and now feel of volatility. But the flaw is there’s so little data in there that it’s subject to an awful lot of noise. Like two larger range days in a sea of nothing.

Bottom line is the spread between implied and realized volatility is as low as it’s been all summer, but it’s likely a blip.

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