Latest from the Quantamize Blog

Options Wednesday: A Comparison of Implied Volatility of Developed Europe ETFs

Sep 19, 2018

The Data Daily: Where the charts tell the story

This week's Options Wednesday focuses on a comparison of implied volatility among Developed Europe ETFs. 


After reviewing the graphs below, we highlight:

  • The Spain iShare ETF has seen a meltdown in the implied volatility with a contraction of almost 5 vega points
  • The UK iShare ETF has seen no pickup in implied volatility depsite all the risks and noise surrounding Brexit
  • The Germany iShare ETF has seen the greatest volatility in its implied volatility levels, implying it is a proxy for Developed Europe macro risks


French Market   EWQ - iShares MSCI France ETF

German Market   EWG - iShares MSCI Germany ETF

Italian Market   EWI - iShares MSCI Italy ETF

Spanish Market   EWP - iShares MSCI Spain ETF

United Kingdom Market   EWU - iShares MSCI United Kingdom ETF