According to the S&P Dow Jones Indices Risk and Volatility Dashboard, the VIX (otherwise known as the fear gauge for its measure of volatility) closed at 13.13 on Wednesday.
This represents a rise of 3.06 in absolute terms and a 30% gain in percentage terms since 19 October, and is the highest reading since 21 August, 2017.
European volatility in particular gained considerably over the month, with the VSTOXXX index closing at its highest level since September 6, up 4.53 over the last month.
According to S&P Dow Jones the volatility of the average stock in the S&P 500 rose by 5.72 percentage points, which is above both 12-month and three-year averages. However, it added that a broad mix of returns among the winners and losers meant that similar increases were not seen in market-wide volatility.
“Currencies were an exception,” said Tim Edwards, senior director, index investment strategy at S&P Dow Jones Indices. “Volatility measures for the yen, pound sterling and euro all fell.
“While politics have provided much of what little intrigue markets have faced so far this year, such declines would suggest more fundamental drivers.”
