INFOGRAPH

VOLATILITY

54 Winter 2014

All data correct at time

of going to press

Key numbers providing a snapshot of volatility

EQUITY VOLATILITY

19.8% high for the 90 day ATM option

implied volatility in October, almost double the July figure

Indicators showing risk returning to the markets in Q4 2014

SECURITIES FINANCE

4%jump in short interest across the S&P 500 in the opening

weeks of October

LOANS4

worst performing days in 2014 were October

10th – 14th

-0.62% total YTD returns for

liquid loans were pulled into negative territory from a single day loss

+0.7% single largest positive daily return for the year

two days later

RESEARCH SIGNALS

4.2% of relative underperformance for high volatility large cap

stocks in November

MARKIT VolX EUROPE INDEX

(realised volatility in European investment

grade credit)

73% level reached in October,

the highest since the ‘taper tantrum’ in 2013

ETFs

$1.7bn net inflows into volatility-linked

funds this year