Friday October 30, 02:39 PM
STOCKS NEWS US-Goldman Sachs sees volatility heading lower
Stocks on the move
Real (Frankfurt: BJU.F - news) -time Equity news
U.S. stock market report
1017 ET 30Oct2009 Goldman Sachs
(NYSE: GS - news) expects volatility to head lower
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Volatility is expected to head lower over the coming weeks as
third-quarter GDP was stronger than expected and earnings season is winding
down, wrote Goldman Sachs derivative strategists in a note. 'Our models suggest
realized and implied volatility are both rich.' S&P 500 realized volatility is
1-5 points above what current economics suggest, they said.
Goldman's macroeconomic model for the S&P 500 index one-month
realized volatility forecasts a 15-19 point range through year-end vs. current
realized volatility at 20. The CBOE Volatility Index at 24.8 (as of
Thursday's close) is screening 1-3 volatility points high compared to the
Goldman cross asset VIX model, suggesting a fair value of 21.7 to 23.7.
Goldman's model predicts the VIX using key cross asset metrics in equities,
credit, FX and commodities.
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