Want to look at the volatility curve of some ETFs to see if the market is telling us something.
| ETF | Historical Volatility | June Implied Vol. | July Implied Vol. | Sep Implied Vol. | Dec Implied Vol. |
| XRT Retail | 38 | 42 | 39 | 38 | 38 |
| XLY Consumer Discretionary | 38 | 31 | 31 | 32 | 32 |
| XLP Consumer Staples | 20 | 15 | 15 | 17 | 17 |
| XOP Oil & Gas Exploration | 55 | 37 | 41 | 40 | — |
| XLE Energy | 40 | 36 | 35 | 37 | 37 |
| XME Metals & Mining | 70 | 50 | 51 | 51 | 51 |
| XLI Industrial | 42 | 30 | 30 | 31 | 31 |
| XLB Materials | 40 | 35 | 35 | 36 | 36 |
| XLV Healthcare | 17 | 18 | 18 | 21 | 21 |
| XLU Utilities | 27 | 20 | 19 | 21 | 23 |
| XLK Tech | 28 | 30 | 29 | 28 | 29 |
| XLF Financial | 70 | 53 | 52 | 52 | 50 |
| XHB Homebuilders | 57 | 53 | 52 | 54 | 51 |
| GLD Gold | 15 | 26 | 28 | 29 | 31 |
What is interesting to me here is that most of the implied volatilities are lower than the historical volatility. Also, the implieds are constant going out to December. That looks like a placid market prediction. Of course, most of the volatilities are “high” historically.
One exception is XRT, the retail SPDR, the June implied volatility is higher than historical and then it drops down to the historical value as you go out in time. This is also odd since XRT has been rising. This might indicate a near term storm in retail.
At the bottom of the chart, GLD, SPDR Gold Trust, has a higher implied than historical vol in absolute terms and a rising implied vol curve going out to December though gold has been rising. That is bearish for gold.
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