BofAML’s Economics of Volatility framework has been anticipating the 2015 starting point to a turn in volatility for the last two years. From here on we expect to see a rising trend in equity volatility levels, a trend that could last 1-2 years, transporting us from the low volatility regime of the last 3 years towards a sustained high volatility regime.
The Economics of Volatility framework – a quick refresher