July 31, 2014


The second quarter was most notable for a lack of major US financial market moves, and the most notable domestic capital markets trend lately has been multi-year lows in both interest rate and equity volatility. The VIX, which was above 15 last time we wrote this shortly after the end of the 1st quarter, is now barely above 10. The Merrill Lynch Option Volatility Estimate (MOVE) index, which measures interest rate volatility as an index on interest rate options, is close to multiyear lows as well.