Option prices in Europe and Asia jumped, sending the South Korean volatility index to its highest level in more than two years, after Standard & Poor’s stripped the U.S. of its top credit rating for the first time, Bloomberg reports.
The VStoxx Index (V2X), which measures the cost of protecting against a decline in shares on the Euro Stoxx 50 Index, climbed 8.1 percent to 42.43 as of 2:06 p.m. in Frankfurt. Hong Kong’s HSI Volatility Index advanced 6.1 percent to 35.93. The Kospi 200 Volatility Index surged 25 percent to 35.26, its highest level since May 2009, while the India VIX, which gauges the cost of buying protection against losses in the S&P CNX Nifty Index, rose 16 percent to 28.78, its highest level since June 2010.
“We’re in for another stomach-churning week,” Nick Maroutsos, a Sydney-based money manager who oversees the equivalent of about $4 billion at Kapstream Capital, said on Bloomberg Television’s “First Up” with Susan Li today. “This is a life-changing event in many respects because no-one has ever seen the U.S. have a double-A status. We’re going to see a lot of volatility this week….”
Read more at http://www.bloomberg.com/news/2011-08-08/volatility-climbs-from-asia-to-europe-after-s-p-s-u-s-downgrade.html
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