FYI: There has been some recent murmurs about what volatility implies for the stock market. This happens, without coincidence, as this month we see both markets streak to record highs, and volatility embracing multi-year lows. What we argue below is that while there is some general inverse correlation between markets and volatility (i.e., rising markets equates to falling volatility), the relationship at the extremes is far stronger than it is for the broad aggregate. And it’s true (previous article here) that -smoothly across time- at these low levels of volatility, both the absolute return and the risk-reward ratio for the market is undoubtedly unfavorable.
Regards,
Ted
http://statisticalideas.blogspot.com/#!/2016/08/volatility-deliberations.html
