InvestmentsJul 22 2016

Markets calm after Brexit volatility spike

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Markets calm after Brexit volatility spike

Data indicates calm has returned to markets after the EU referendum caused chaos across certain sectors.

According to the S&P Dow Jones Indices, CBOE Vix – the index which measures volatility in the US equity market – closed at 11.77, which is its lowest level for over a year.

This compares with 20.14 a month ago.

The greatest falls to volatility were found to be in the short-term US equity market and in sterling, as both fell by about 50 per cent.

Meanwhile, the S&P 500 shook off its Brexit jitters, recording a new all-time record high of 2,173.

The global outlook is generally suggestive of a quiet summer. Tim Edwards

Tim Edwards, senior director of index investment strategy for S&P Dow Jones, said: “At the start of the holiday season, the global outlook is generally suggestive of a quiet summer.

“Only the Japanese yen, British pound and Japanese government bond volatility indicators closed above their trailing 200-day averages.”

Mr Edwards pointed out that, apart from the Japanese yen, almost every volatility measure was down since Dow Jones’ last report.

He said volatility in the yen reflects the uncertainty over the Bank of Japan introducing a fresh monetary stimulus package that was previously expected and now not quite as certain.

katherine.denham@ft.com