S&P vs. crude oil volatility… EIA

by Jim Colburn • Tuesday, March 6, 2018

In today’s release of the Short Term Energy Outlook, the EIA looks at S&P vol compared with crude oil vol with this nifty chart:

“The VIX, a measure of implied volatility (the market’s expected range of near-term price changes) on S&P 500 index options, closed above the OVX, a measure of implied volatility on crude oil options prices, for four consecutive days in early February. Not only was this the first time since 2008 that the VIX closed above the OVX, but the VIX has only closed above the OVX four other times since the inception of the OVX in 2007 (Figure 2).”


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