This infographic document provides a snapshot of volatility indicators across various asset classes in late 2014. Equity volatility reached a high of 19.8% in October, nearly double the level in July, signaling rising risk in financial markets in the fourth quarter. Short interest in the S&P 500 jumped 4% in early October. Loans had their worst four days of the year from October 10-14, with total year-to-date returns for liquid loans falling into negative territory due to a single-day loss, though a positive return two days later partially offset this.

1. INFOGRAPH
VOLATILITY
54 Winter 2014
All data correct at time
of going to press
Key numbers
providing a
snapshot of
volatility
EQUITY
VOLATILITY
19.8%
high for the 90 day ATM option
implied volatility in October,
almost double the July figure
Indicators showing risk returning
to the markets in Q4 2014
SECURITIES
FINANCE
4%
jump in short interest across
the S&P 500 in the opening
weeks of October
LOANS
4
worst performing days
in 2014 were October
10th – 14th
-0.62%
total YTD returns for
liquid loans were pulled
into negative territory
from a single day loss
+0.7%
single largest positive
daily return for the year
two days later
RESEARCH
SIGNALS
4.2%
of relative underperformance
for high volatility large cap
stocks in November
MARKIT VolX
EUROPE
INDEX
(realised volatility
in European investment
grade credit)
73%
level reached in October,
the highest since the ‘taper
tantrum’ in 2013
ETFs
$1.7bn
net inflows into volatility-linked
funds this year