Source: CBOE, as of February 7th, 2014
Friday’s close of 26.5 is higher than current levels of the VIX; that should be no surprise – emerging markets are usually more volatile than developed markets. But it is fairly low on a historical basis: implied volatility is just below its three-year average. The options market is not overly worried about broad-based emerging market exposure: in an environment where the flows of flighty capital can prove decisive, this is useful information. The balance between fear and greed is not as tilted towards fear as the headlines might suggest.
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* Based on previous 12 month dividends and FY0 book value for S&P Russian Federation BMI. For purposes of comparison, the S&P United States BMI has a dividend yield of 1.8%, and price-to-book ratio of 2.61, as of 31st January, 2014.
About Timothy Edwards
Tim Edwards is director of Index Investment Strategy for S&P Dow Jones Indices. The group provides research and commentary on the entire S&P Dow Jones Indices product set, including U.S. and global equities, commodities, fixed income, and economic indices.
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