As reported earlier this week in the Financial Times, the standard deviation for economic forecasts for the U.S., EK, EU and Japan all are near their lows, with survey firm Consensus Economics reporting very little dispersion of GDP year-ahead forecasts. More generally, there is a consensus that worldwide economic growth looks bleak, and that a Federal Fund target rate hike is improbable in the near future. Accordingly, investors are taking a pause. In particular, the volumes of trading in CBOE SPX and CME Treasury options have decreased from their summer highs. While VIX and TYVIX held up in September, they are now reflecting the slowdown and have dipped below their median values since 2003 (Figure 2).
Term Structure of Futures