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Goldman Sachs: Seeing the Forest for the Green Shoots


Volatility could keep getting uglier.

So, let's see: We have a major name here, Goldman Sachs (GS). Question to all of you: How do you think 30-day implied volatility compares to any time over the past 9 months?

Click here to enlarge.

Anyone? Anyone? Bueller?

OK, time's up. It's at low ebb. The chart below shows only the past 6 months, so you'll have to trust me on this one.

Click here to enlarge.

Okay, question 2: Does that make options a net buy?

Well, not necessarily. 10-day historical volatility (or HV) keeps dribbling lower, and now sits just south of 40. But in longer-term context, if green shoots are really upon us, it's not that low. Goldman Sachs HV typically hovers in the mid-20s.

Do I think volatility is headed back to boring, lackluster levels here, there, and everywhere?

I really don't know. But it's worth remembering that while options feel dirt cheap given the experience of the past year, if this is really 2003 again, then volatility could keep getting uglier.
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