TYVIX Weekly Report – January 22, 2016

 

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VIX Indexes Moderate Despite Little Closure on Global Economic Outlook
The bleak outlook for world economic growth, oil prices and low inflation drove equity markets lower for most of this week, although stock prices trimmed losses Friday on a bounce in oil prices and talk of possible central bank easing in Europe and Japan. VIX benchmarks for volatility in equity, fixed income and currency rates moderated (with the exception of JYVIX).

Figure 1.  Statistical update

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Looking Forward

A downward consensus has emerged regarding volatility over the next quarter. VIX is in backwardation, as is JYVIX past February, and TYVIX, BPVIX and EUVIX are nearly flat — that suggests there is little premium for volatility risk.

Figure 2. Term structures of VIX-like volatility indexes

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Figure 3. TYVIX Index maintains tight range

Figure 3