This is just a crazy chart.
This chart seems like a mess of light blue and dark blue and red.
Which it is.
But this chart also makes sense.
This chart shows the recent volatility in stocks, US Treasuries, and foreign currencies as a per cent of their historical volatility over a rolling 3-month period.
And if you look at where these assets shake out on the far right of the chart, we see that forex volatility is just about as high as its ever been, while stocks really aren’t all that choppy. At least on a historical basis.
I posted this chart on Twitter, and there were strong reactions.
Bloomberg’s Matt Levine was willing to hear Citi out on this one, though.
And in fairness, this chart was squished on the right side of one slide in a PowerPoint presentation. There were certainly space restraints.
Levine also reminds us, of course, that things could’ve been much worse.
As tends to be the case.