19.11.2019, 08:18
Ruble Volatility Declined to a Minimum since pre-Crisis 2014
Source: OREANDA-NEWS
OREANDA-NEWS. The imputed ruble volatility (how the market estimates the future amplitude of exchange rate fluctuations), calculated from the prices of three-month options, fell to a minimum in November from the beginning of 2014, the chief economist of Nordea Bank Tatyana Evdokimova drew attention.
As of November 18, it is 8.4%, according to the Bloomberg terminal. In December 2014 - January 2015, the imputed volatility reached 56–57%. However, in the list of the most volatile currencies of developing countries, the ruble still remains in the top ten leaders and ranks seventh. The most volatile currencies of developing countries are the South African rand (12.85%), the Brazilian real (12.2%) and the Chilean peso (11.86%).
The so-called American Stock Market Fear Index (VIX) is also calculated based on the volatility that investors place in options on the S&P 500 wide market index. Ruble volatility will continue to decline, the key risk is sanctions against Russia, but it's unlikely to be passed under the current US administration, says IT Capital's chief investment strategist Iskander Lutsko.
As of November 18, it is 8.4%, according to the Bloomberg terminal. In December 2014 - January 2015, the imputed volatility reached 56–57%. However, in the list of the most volatile currencies of developing countries, the ruble still remains in the top ten leaders and ranks seventh. The most volatile currencies of developing countries are the South African rand (12.85%), the Brazilian real (12.2%) and the Chilean peso (11.86%).
The so-called American Stock Market Fear Index (VIX) is also calculated based on the volatility that investors place in options on the S&P 500 wide market index. Ruble volatility will continue to decline, the key risk is sanctions against Russia, but it's unlikely to be passed under the current US administration, says IT Capital's chief investment strategist Iskander Lutsko.
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