Spread and Volatility February 2013

Transcription

1 February 213 contact Asia Pacific Canada EMEA United States Spread and Volatility February 213 The VIX index jumped by 35% in one day on February 25, 213 due to uncertainty stemming from the US sequestration and potential derailment of European economic recovery. The average spread and volatility increased for constituents of the S&P5, Russell 2, MSCI World and MSCI Emerging Market indices. The average spread for constituents of S&P5 (4bps), Russell 2 (39bps), MSCI World (11bps) and MSCI Emerging Markets (21) indices decreased by -8%, -9%, -3% and -8%, respectively, between December and January. Year-to-date, average spread for S&P5, Russell 2, MSCI World and MSCI EM decreased by -15%,-17%, -8% and -8%. Since the financial crisis of 28 and the highly volatile second half of 211, February 25, 213 marked another day of extreme volatility. The VIX index jumped 35% from 14% to 19% and, on average, the S&P 5, Russell 2 and the MSCI World Index declined by 2%. Exhibits 1 and 2 show that the average volatility and spread increased after the VIX index spiked on February 25. By February 28, 3 days after the VIX index spiked, the average annualized volatility of the S&P5, Russell 2, MSCI World and MSCI Emerging Markets constituents was 21%, 31%, 23% and 27%, respectively. The average spread for the S&P5 (4bps), Russell 2 (41bps), MSCI World (12bps) and MSCI Emerging Markets (22bps) constituents increased by 8%, 9%, 9% and 3% between February 25 and February 28. Exhibit 1: % Change in Average Volatility (%) % Change of 6-day Historical Volatility Exhibit 2: % Change in Average Spread (%) % Change of Spread 3% 2% 1% % -1% 8% 6% 4% 2% % -2% Source:ITGInc. -2% 2/22-2/25 2/25-2/26 2/26-2/27 2/27-2/28 S&P5 Russell2Index MSCIWorld MSCIEmergingMarkets 4% 3% 2% 1% % -1% -4% -2% 2/22-2/25 2/25-2/26 2/26-2/27 2/27-2/28 S&P5 Russell2Index MSCIWorld MSCIEmergingMarkets VIX VIX 4% 3% 2% 1% % -1% % Change of the Adj Close of the VIX Index % Change of the Adj Close of the VIX Index

2 February Average of S&P5 Constittuents 1/2/28 2/28/ Average and Average Volatility (%) of S&P 5 Constituents 1/2/28-2/28/ % 6% % 4% 3% Volatility (%) 4 2% 2 1% % Spread (bps) Volatility (%) Average Spread and Average Volatility of S&P5 Constituents and VIX Index (Indexed to 1 on 1/2/28) 1/2/28 2/28/ Source: ITG, Inc., Yahoo Finance Average S&P 5 Spread Average S&P 5 Volatility Adjusted Close of VIX Index

3 February Average of Russell 2 Index Constituents 1/2/28-2/28/ Average and Average Volatility (%) of Russell 2 Index Constituents 1/2/28-2/28/ % 9.% 8.% 7.% 6.% 5.% 4.% 3.% 2.% 1.%.% Volatility (%) Average Average Volatility (%) Average Spread and Average Volatility of Russell 2 Index Constituents and Adjusted Close of IWM (Indexed to 1 on 1/2/28) 1/2/28-2/28/ Average Russell 2 Spread Average Russell 2 Volatility Adjusted Close of IWM Source: ITG, Inc., Yahoo Finance

4 February Average of MSCI WORLD Constituents 1/2/28-2/28/ Average Volatility (%) of MSCI WORLD Constituents 1/2/28-2/28/213 7.% 6.% 5.% 4.% 3.% 2.% 1.%.% Average Spread and Volatility of MSCI WORLD Constituents (Indexed to 1 on 1/2/28) 1/2/28-2/28/ Volatility % MSCI WORLD Source: ITG, Inc., Yahoo Finance

5 February Average of MSCI Emerging Markets Constituents 1/2/28-2/28/ Average Volatility (%) of MSCI Emerging Markets Constituents 1/2/28-2/28/213 6.% 5.% 4.% 3.% 2.% 1.%.% Average Spread and Volatility of MSCI Emerging Markets Constituents (Indexed to 1 on 1/2/28) 1/2/28-2/28/ Spread Volatility MSCI Emerging Markets Source: ITG, Inc., MSCI Inc.

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