We have made our view on Volatility very clear for months: We said you wanted to trade it and own it when it got cheap because we were entering an extended period of heightened volatility.
With the Fed in play and Euro madness testing old frayed nerves we could get to elevated volatility in 2015 before we get out of January.
Looking at the attached chart you can see that 12 of the last 19 session for the SPX have seen intraday volatility of greater than 1% from low to high or high to low. T
his has come during a period where we were supposedly in a quiet holiday/year end trade. Markets have not tasted extreme volatility. I measure that as >30 on VIX. Since 2011 when we spike through 47 in the first week of August and stayed above 30 for the better part of 6 weeks.
2015 will taste volatility >30 again for the first time in years.
