{"id":2100353,"date":"2019-02-25T10:25:56","date_gmt":"2019-02-25T04:55:56","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=2100353"},"modified":"2019-02-25T10:25:56","modified_gmt":"2019-02-25T04:55:56","slug":"is-the-low-volatility-regime-breaking","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2019\/02\/25\/is-the-low-volatility-regime-breaking\/","title":{"rendered":"Is the Low Volatility Regime Breaking?"},"content":{"rendered":"

NIFTY 50 volatility the last couple of years have been extremely low by historical standards. If you look at the rolling median of weekly returns over 50 weeks (about a year), you can see how the range has narrowed:
\n\"median<\/a>
\nThe standard deviation, a popular measure of volatility, has come down as well:
\n\"standard<\/a><\/p>\n

As the charts illustrate, the markets have been moving in tight ranges. And narratives have been built around it:<\/p>\n

    \n
  1. Global central banks (US, Europe, Japan) have been flooding the markets with liquidity, essentially writing a put on the market.<\/li>\n
  2. Markets have become less riskier thanks to increased regulations after the 2008 global financial crisis.<\/li>\n
  3. Investors have a new-found enthusiasm for “SIP it and forget it.” This, plus the NPS bid, has cushioned the NIFTY 50.<\/li>\n
  4. Increased liquidity in the derivatives market has allowed investors to buy volatility, thereby reducing the need to decrease risk by offloading equities in the cash market.<\/li>\n
  5. The majority government at the center has provided policy certainty and political scams have not paralyzed decision making.<\/li>\n<\/ol>\n

    Narratives can change overnight. And if the last few months have taught us anything, the market drives the narrative. Also, new investors have only seen a low volatility environment and think it to be “normal.” So any reversion to the old volatility regime would be a rude awakening. Are we really in a new world or is volatility about to revert to its longer-term mean?<\/p>\n

    Code and additional charts on github<\/a>.
    \nAlso read our     Volatility Collection<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"

    NIFTY 50 volatility the last couple of years have been extremely low by historical standards. If you look at the rolling median of weekly returns over 50 weeks (about a year), you can see how the range has narrowed: The standard deviation, a popular measure of volatility, has come down as well: As the charts … <\/p>\n","protected":false},"author":2,"featured_media":2091813,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[1150],"class_list":["post-2100353","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-volatility","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2100353","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=2100353"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2100353\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2091813"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=2100353"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=2100353"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=2100353"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}