As recent data abates macro concerns and geopolitical developments remain quiet, last week saw equity vol reset back to the lower levels seen early this year, with the VIX now hovering in the low teens. As we head into the seasonally low vol period of the summer, the focus in the vol space has turned to whether 2024 could be a redux of the incredibly low vol regime of 2017.
Should S&P stocks in their current tech-heavy composition start to behave like they did in 2017, realized index vol would spend the remainder of the year in single digits and go as low as 5% (Exhibit 8).
