How Balance Sheet Shrinkage Impacts Volatility by Eric Norland CME Group

AT-A-GLANCE
  • QE tends to suppress volatility in financial markets
  • Balance sheet shrinkage risks increasing implied volatility
  • Equity index options implied volatility rose sharply during the 2017-19 reverse-QE
  • Gold, U.S. Treasury Long Bond options have been muted to the prospect of Fed tightening

Continue on to CME Website