Index Volatility Clues

One of the requirements for a better outlook for share markets is a calming of the current volatility. Investor confidence is rattled by wild market moves, and it is unlikely that markets will move substantially higher while they remain erratic. Looking across the

globe, there is a notable difference between the short term volatilities in Asia, Europe and the US.

This table shows index volatilities from the different regions. It compares the 10 day volatility with the 45 day volatility. A 10 day reading above the 45 day suggests a market is still heating up – below, that the market is calming down.

Index

10 Day Volatility

45 Day Volatility

Europe

Euro Stoxx 50

57.1%

43.1%

CAC France

58.6%

42.8%

DAX Germany

56.0%

43.8%

USA

DJIA

30.7%

27.0%

US SP500

34.6%

29.5%

Asia

SH Composite China

12.5%

20.7%

Hang Seng HK

37.9%

40.5%

Australia 200

25.9%

27.4%

In Europe and the US, 10 day volatilities moved below the 45 day reading in the last fortnight, but have since spiked above. This is in direct contrast to Asian markets, where 10 day volatilities remain below 45 day volatilities.

While I’m cautious about interpreting one data set, when we add this evidence to the clearly broken downtrend in the Australia 200, and the strong investment fundamentals at the company level, there is a case to further increase exposures to shares in the Asian region.

About michaelmccarthycmc

Chief Market Strategist - CMC Markets and Stockbroking Regular on ABC, BBC, Bloomberg, Channel TEN, CNBC, SBS and SKY
This entry was posted in Market, Shares, Stocks, Trading and tagged , , , , , , , , . Bookmark the permalink.

1 Response to Index Volatility Clues

  1. Joe says:

    hi there, which website can i look up on a daily basis that shows me the 10 day volatility levels for the indexes you have shown in this blog today.

    thanks for your help

    Joe

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