Mario Draghi famously likened the euro to a bumblebee; Morgan Stanley analysts say global financial markets remind them of a duck floating on a pond: “calm above the surface, but furious churning below.”

The calm is reflected in a continued drop in realized, or actual, stock-market volatility as global equities soar to all-time highs. The analysts, led by Andrew Sheets, observed in a Friday note that realized, one-month equity volatility across the U.S., Europe and emerging markets has fallen to the 25th percentile of the last 15 years.

But below the surface, “volatility has jumped” for other assets, they wrote, unveiling a new cross-asset gauge, dubbed the Composite Sigma Indicator, which stands at its highest reading in five years with the exception of the COVID-induced turmoil of the second quarter of 2020 (see chart below). That reflects a rising number of extreme one-day moves,…

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