15 Aug 2023
Trading idea: It's time to bet on volatility
The ear-deafening silence from the market throughout the summer of 2023 has pushed implied volatilities well below former all-time lows, reducing the costs of contrarian vol bets
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The ear-deafening silence from the market throughout the summer of 2023 has pushed implied volatilities well below former all-time lows. A meltdown in realized volatility causes the declining IVs. As noted on page 3 in this week's market update, the 30-day volatility sits at lows not seen since 2016, and in Figures 16 and 17, we highlight the unprecedented lack of volatile days in the past year.
The 3mth IV currently sits at 35. In October 2020, the 3mth IV pushed to a
