Volatility Across Asset Classes, from Rocky Humbert
One notes the following 100-day volatilities on Aug 4, 2007 and April 6, 2010:
Instrument 8/4/2007 4/6/2010
SPX 13% 13%
CrudeOil 27% 27%
Copper 28% 28%
US Bonds(1) 6% 10%
US Bonds(2) 4.4% 6.1%
Bunds 4.0% 4.7%
Dollar Index 6.0% 8%
It appears volatility in so-called "risk assets" has uniformly reverted to 2007 levels. However, volatility in so-called "riskless assets" has actually increased versus that earlier snapshot. Some of the bond volatility can be attributed to the futures "roll" (due to a steep yield curve), however, the divergence is still noticeable.
One wonders if this anomaly is significant or predictive?
[Footnote: Crude, Copper, Bonds and Bunds use the first nearby futures contract. (1)=Ten Year Bond Contract. (2)=30 Year Bond Contract. SPX and and the Dollar Index are the cash indices. All data are from Bloomberg using their "Classical" vol model]