Volatility Can't Stay Low Forever

Volatility Can't Stay Low Forever

Posted on September 02, 2016
Weekly Update
9/2/2016
 
Market State 2: Bullish (7 days). Market State 2 tends to occur following a normal pullback.
Standard - Canterbury Volatility Index (CVI 49): New low in volatility (year to date).
Short Term - Canterbury Volatility Index (CVI 29): New low in volatility (year to date).
The Short Term CVI Reflects changes in volatility very quickly.
 
Low Volatility ALERT:
Volatility has now declined below the optimum range of CVI 55 (now CVI 49). The Short Term CVI is also below its optimum range of CVI 35 (now CVI 29). Extremely low volatility is similar to squeezing down a spring. The longer and tighter it gets squeezed, the bigger the pop. In addition, our system also uses a shortened version of the CVI. The “shortened” CVI is used specifically for identifying periods that are most likely to experience potential single day outliers that could exceed 1.5% plus, either up or down. Even though some short term market turbulence is expected soon, our current bullish market stance remains intact.

Source: AIQ
  
Observation
The last time volatility was as low as it is now was in August 2014. Standard CVI 42 and Short Term CVI 22. The low volatility was followed by a 7.4% correction a couple weeks later.

Source: AIQ
 
Bottom Line
Expect some market volatility soon but it should not impact the current bull market State environment.

 
Canterbury Investment Management: Tom Hardin

More About Tom Hardin
As Chief Investment Officer, Tom has more than 30 years of experience in the investment management industry and has a broad breadth of knowledge. He is known as an innovator, educator and has been revolutionary in the advancements of portfolio and risk management.


​Every effort was used to provide accurate data and mathematical calculations to provide, what we believe to be, accurate results. Canterbury Investment Management, LLC, and its principal owners, make no guarantee of completeness or accuracy of data or calculations as well as conclusions of any statistical data or information contained in the simulation illustrated on this page. Past results or performance is in no way a guarantee of future results.