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Digital Subscriptions > The Hedge Fund Journal > Issue 132 – May 2018 > Volatility Returns

Volatility Returns

Phase transition in equities

JESY BEESON, DIRECTOR OF BUSINESS INTELLIGENCE and ERIK NORLAND, SENIOR ECONOMIST AND EXECUTIVE DIRECTOR, CME GROUP

COMMENTARY

2017 was a remarkably calm year in equities, with key indicators showing the lowest volatility since before the 2008 financial crisis. Throughout this period, E-mini S&P 500 futures (ES) maintained elevated levels of market depth, a sign that market participants were comfortable with leaving more and larger orders open for longer periods. This level of market depth was not necessary to support market transactions, as transaction size is typically much smaller. High levels of market depth are not unusual during extended periods of low volatility.

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