It's Back to Days of Melt-Up Elation for Stock Volatility Gauges

(Bloomberg) -- The days when investors were enthusing over a “melt-up” in global equities disappeared quickly in the turmoil of early February. The corresponding record spike in the VIX disappeared almost as fast.

Volatility across the globe is already back to the levels seen before the blowout, even as stock gauges remain well below the records they posted just prior to the selloff.

Here’s a look at how key the volatility measures in major equity markets have come down since the turbulence of Feb. 5 -- when the VIX index more than doubled in a day.

IndexMove since Feb. 5 close,
Feb. 6 for Asian indexes
(through Tuesday close)
Cboe Volatility Index (VIX)-59.1%
VStoxx Index (V2X)-29.5%
Nikkei Stock Average Volatility Index (VNKY)-45.6%
S&P/ASX 200 VIX Index (AS51VIX)-43.1%
KOSPI 200 Volatility Index (VKOSPI)-41.0%
India NSE Volatility Index (INVIXN)-29.8%
HSI Volatility Index (VHSI)-25.5%

While the MSCI All-Country World Index has recovered only about a third of its losses since its Jan. 26 peak, the VIX has gone back to around 15, a level it traded at the week before its spike. The benchmark gauge for volatility was heading toward a seventh falling session as of 9:30 a.m. in New York, the longest streak of declines in almost a year.

Key measures of expected stock swings in Europe and South Korea are back below their one-year averages. Europe’s VStoxx Index is down almost 20 percent since the February shakeup, while the Kospi 200 Volatility Index has plunged more than 40 percent.

Diminishing levels of market stress are also making hedging costs less expensive. In Japan, options pricing comparing the difference between implied volatility on one-month and three-month contracts has dropped to the lowest since December.

Meanwhile in Hong Kong, the cost of put options relative to calls is back below its one-year average. And the price relationship for the Euro Stoxx 50 Index is at an almost one-year low.

©2018 Bloomberg L.P.

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