Friday, June 11, 2010

Ready For World Cup Volatility?

The ueber-bull Binky Chadha & Co. from Deutsche Bank looked at volatility so far this year on Wednesday. Here are some charts, click on charts to enlarge, courtesy of Deutsche Bank.

Guys at Bespoke Investment Group also have a kind of compilation on recent volatility:
Up and Down and Round and Round
S&P 500 50-Day Average Daily Change Back Above 1%
The All or Nothing Market

Strategists at Nomura have a reminder today:
- Those hoping that this afternoon’s first World Cup game will herald a quiet month for markets may be disappointed.
- The past four World Cup tournaments have produced lower trading volumes, with the exception of Korea/Japan in 2002 when the majority of games took place outside the trading hours of most of the world’s football fanatics who are largely based in Europe and the US.
- With this year’s World Cup taking place in South Africa which is in the GMT+2 hour time zone, we think a similar decline in volumes could be expected over the coming month.
- However, this decline in volumes has not always translated into a decline in realised volatility. During the last World Cup, Germany 2006, realised volatility rose markedly vs the month before and after and the average of the year despite volumes falling.
- All those planning to put their feet up for the next month can expect a lot of company, but keep half an eye on the trading screens as portfolio P/L may not be as lethargic.
Click on charts to enlarge, courtesy of Nomura.

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