Implied volatility levels throughout Europe and China, where in part a stimulus-fueled rally has created a higher degree of upside deviation relative to downside volatility, the U.S. markets have been fairly well contained. This can most interestingly be seen in comparing volatility correlations across bond and stock markets. While the benchmark ten-year U.S. Treasury yield has been following Europe’s yields, going against another Bill Gross relative value trade recommendation, what is perhaps most interesting, pointed out in a June 8 Goldman Sachs research piece, is that the real relative value spread in ten-year note / stock market volatility, with high bond volatility but…
Goldman Notes Odd Volatility Divergence In Bonds, Stocks
Mark Melin
Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.