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Fed move fails to quash volatility expectations

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Even after the release of the long-awaited Fed decision, market volatility doesn't appear to be going anywhere.

Stocks surged after the Federal Reserve announced that it was finally hiking the federal funds rate, in a widely telegraphed move.

But despite the fact that one of the market's biggest questions over the past year was resolved, the CBOE Volatility Index — which uses options prices to condense the expected magnitude of the next month's moves into a single number — is still showing elevated readings, compared to its average over the past few years.

In fact, with the VIX failing to break meaningfully below 15 over the past two months, some say it looks like stocks have shifted into a more volatile period.

Discussing the VIX in a Thursday morning note, MKM derivatives strategist Jim Strugger wrote that "high-volatility regimes have seen a base around 15-16."

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The clear point of division appears to be on Aug. 24, when the VIX surged above 50 while the market slid.

Even excluding the week of that date, the VIX has enjoyed an average reading of 19.2 since then; that compares to an average of 14.9 in the two years prior.

The fact that the VIX fell no lower than 17.12 on Wednesday after the decision despite the stock market's rise would appear to indicate that it's the market's swift August drop — and not uncertainty about America's central bank — that has kept traders on their toes of late.