Wednesday, September 13, 2006

Volatility Anyone?

Volatility in the Nasdaq has taken sharp turn upwards even by historically volatile Nasdaq standards. The chart below shows the volatility indices for Nasdaq in blue and the S&P in red - the Nasdaq is around 75% of its peak during the May/June selloff, while the S&P is nowhere near its June peak:

To add some perspective about how volatile the Nasdaq is now, the relative volatility of the Nasdaq versus the S&P is now at a 2-year high:


What this means for the levels of the S&P/Nasdaq isn't clear, but there appears only one way to go for the future of the volatility spread. It would be interesting to look at periods where the volatility spread is relatively high or low and how the respective markets performed.
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NYSE/Euronext Merger

Enter the current share prices for NYSE and Euronext, as well as the USD/Euro Exchange rate and hit "calc" to view relevant data. Deal was announced 6/1/2006.

NYSE Share Price:
Euronext Share Price (Eur):
USD/Eur Exchange Rate:
Market Cap of NYSE+Euronext as of 5/31/06:(blns $US):
Current Market Cap of New NYSE/Euronext (blns $US):
Current Euronext Share Price in USD:
Euronext Change from 5/31/06 Close: % NYSE Change from 5/31/06 Close: %
Valuation of Current Euronext Shares
(a) Using current NYSE Price as new NYSE/Euronext Price:
(b) Using current Market Capitalization for NYSE/Euronext:
(c) Using $20 billion as Market Cap for NYSE/Euronext: