We examine market volatility and how it cycles in relation to moves in major equity indexes. More important, however, is what implications this may have on our ability to forecast those moves in equity indexes.
Shares in Lumber Liquidators continue to rebound and last traded higher by 11.2% at $36.40 following the company’s investor call on Thursday. Implied volatility on its options has fallen by 12.1% to 87.7% having reached 127% as a result of the recent scandal.
Only four months since 1950 has the S&P 500 fallen by at least 7% only to close higher on the month. That’s exactly what happened in October – a record month for major stock indices and options volume.