Implied volatility leads the way

Category: Derivatives

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Realised outpaced across European indices

The broad-based rally in credit in recent weeks is also driving up European credit option volatility away from the lows of the year. At the same time, implied volatility is outpacing realised.

European credit research analysts at JPMorgan note in a report published last week: “Credit implied volatility rose sharply over the past couple of weeks, with iTraxx Main volatility increasing 15% to 54%.

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