Market participants have been attempting to read the tea leaves, trying to ascertain positioning in the face of a very fluid macro-environment. One thing that has remained elevated is volatility.
The CBOE Volatility Index, or VIX, currently stands at 26 which is above its historical average of 19.6. This is a measure of constant, forward 30-day expected volatility of the U.S. stock market, derived from the intra-day pricing of call and put options on the S&P 500.
A similar measure for bond volatility is the Merrill Lynch Option Volatility Estimate Index, or MOVE, which measures U.S. interest rate volatility implied by options on various Treasury securities. While off its June 28 high of 156.1, at 125.4 this measure also supports the theme of sustained, near-term volatility.