Return to volatility

摘要

FOR THE MORE speculative among us - who see paper as a day trading play - the record rates that we have seen in the Capesize market at the beginning of year did not offer the equivalent excitement from the perspective of volatility in the trading range of front quarter contracts (reflecting perhaps the reduced volatility of the underlying spot market). With spot Capesize TC averages as low 72,000 dollar/day and as high as 101,000 dollar through June, however, all this changed with average daily spot market volatility of 3.1 percent, nearly the most volatile month on record. In this context, we have seen a record level of daily volatility in Cape front quarter contracts - an average of 3.7 percent movement on the day and daily movements of the order 6,000-7,000 dollar, not to mention intra-day movements!