Goldman Says Stock Volatility ‘Still in Check’ Despite Sell-Off

(Bloomberg) -- While the equity rout in October was one of the worst of this bull market, the fundamental backdrop suggests volatility is “still in check,” Goldman Sachs strategists led by Alessio Rizzi and Christian Mueller-Glissmann wrote in a note to clients.

• The S&P 500 Index’s 12-month realized volatility has risen to 15%, in line with the historic average.
  • Goldman defines a high-volatility regime as realized volatility above 18% for at least six months.
• Some drivers of of volatility such as credit spreads and equity valuations have turned less favorable, but broadly the firm’s model indicates “a healthy picture.”
  • “Macro indicators and the uncertainty around them are still consistent with low-vol regimes given the strength in the labor market, the high level of the ISM, the continuation of the Fed hiking cycle and anchored inflation expectations.”
  • “The near-term risk of entering a high-vol regime seems contained.”

RELATED

• Nov. 12, Sell-Off Becomes Roughest Since 2011 on Third Leg of Nasdaq Drop
• Earlier, JPMorgan Says Don’t Play the Downturn, S&P Will Bounce Back

To contact the reporter on this story: Lu Wang in New York at lwang8@bloomberg.net

To contact the editors responsible for this story: Courtney Dentch at cdentch1@bloomberg.net, Richard Richtmyer

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