Despite Large Moves in Prices, Asset Volatility Still Mostly Below Average

The last several weeks has undoubtedly seen some major moves in asset prices especially in the commodity and currency spaces. Yet, relative to history volatility in most asset classes still remains below average with the exception of the bond market.

As the first three charts below show, our volatility indicators for the FX, commodity and equity markets are just now approaching their long-term average after having been suppressed to record lows in 2014. Bond market volatility, on the other hand, remains near the record set during the 2012 euro crisis. The only difference is that in 2012 European sovereign bonds were selling off and today they are bid.