Macro Volatility Digest

Trending

Implied Vols Collapse As Stocks Hit New Record High

Implied volatilities fell across asset classes last week as geopolitical risks dissipated and economic data came in better than expected. Oil was in the spotlight once again, after Iran and Israel agreed to a ceasefire. WTI 1M implied vol fell over 17 pts while skew normalized back to flat (vs. record inversion two weeks ago). Rates vol declined on better inflation data, with the VIXTLT index down 9 pts to its lowest level since “Liberation Day”. Even gold, which had consistently screened as the richest cross-asset vol for the past few months, saw its volatility normalize meaningfully. See chart below.

Read More

Link to Report: Macro Volatility Digest

WHAT STANDS OUT:

• Implied volatilities fell across asset classes last week as geopolitical risks dissipated and economic data came in better than expected. Oil was in the spotlight once again, after Iran and Israel agreed to a ceasefire. WTI 1M implied vol fell over 17 pts while skew normalized back to flat (vs. record inversion two weeks ago). Rates vol declined on better inflation data, with the VIXTLT index down 9 pts to its lowest level since “Liberation Day”. Even gold, which had consistently screened as the richest cross-asset vol for the past few months, saw its volatility normalize meaningfully. See chart below.
• Equity volatility fell as SPX^® index jumped to a new record high, with the VIX^® index down 4.3 pts to a 4-month low of 16.3%. Skew collapsed – though only in the front-month – as investors bought calls to chase the rally. Longer-dated skew, in contrast, remained steep. Despite the looming July 9th trade deadline, not much is priced into the SPX vol surface for the event, suggesting investors expect either a positive resolution or for the deadline to be extended.
• SPX implied correlations fell significantly last week as geopolitical risk faded, with 1M implied correlation declining by almost half from 28% to 15%. In contrast, implied dispersion (DSPX^SM index) increased as earnings season neared. In other words, while index volatility fell last week, single stock volatility held fairly steady (VIXEQ down marginally by 0.4 pt vs. VIX down 4.3 pts wk/wk).

Chart: Implied Volatilities Declined Across Asset Classes Last Week

^{Source: Cboe}

[Download Full Report Here]

[Subscribe Here]

• 
  Oil Options Suggest Price Spike Likely to Be Temporary
  Read More
• 
  Near Term Optimism vs. Longer Term Caution in Index Options
  Read More
• 
  SPX® 0DTE Options Jump to 61% Share on Retail Resurgence
  Read More
• 
  SPX® Skew Signals Longer-Term Caution Despite Rally
  Read More
• 
  Cross-Asset Volatilities Subside on De-Escalation of Trade Tensions
  Read More
• 
  Options Market Signals Skepticism of Market Rebound
  Read More
• 
  SPX® Convexity Falls as Tariff Optimism Grows
  Read More
• 
  Expected Stock Dispersion Near 5Y High as Earnings Under Way
  Read More
• 
  SPX® Intraday Volatility Highest Since 2008 on Tariff U-Turn
  Read More
• 
  Equity Vol Jumps the Most as Trump Tariffs Roil Markets
  Read More
• 
  US vs. Europe Diverge as Recession Odds Increase
  Read More
• 
  SPX® 0DTE Options Jumped to Record 56% Share in Feb
  Read More
• 
  SPX® Option Volumes Hit Record High as Volatility Picks Up
  Read More
• 
  Equity Vol Markets Shrug Off Tariff Threat
  Read More
• 
  DSPX Index Nears 3Y High as Focus Shifts From AI to Trade
  Read More
• 
  VIX® Call Demand Near Record High Ahead of FOMC
  Read More
• 
  TLT Options Signal No Fear as Yields Spike Higher
  Read More
• 
  Regime Shift in Equity Vol? Downside Risks Re-Emerge
  Read More
• 
  The S&P-500® Index Skew Steepens on Defensive Year-End Flows
  Read More
• 
  The VIX® Index Falls to 4-Month Low as Equities Set Record High
  Read More
• 
  Cross-Asset Volatilities Rise on Rate Policy Uncertainty
  Read More
• 
  The Post-Election Volatility Surface Realignment
  Read More
• 
  T-1: Election Risk Premium Surges into US Elections
  Read More
• 
  Election Risk Premium Continues to Widen into Elections Week
  Read More
• 
  US Elections Day Risk Rises as Trump Gains in the Polls
  Read More
• 
  Equity Convexity Bid As Traders Position for Powell Pivot
  Read More
• 
  Volatility Normalizes Yet Caution Remains
  Read More
• 
  SPX® Index Vol Metrics Normalize Quickly Post Monday Jump
  Read More
• 
  Earnings Buoy Risk Sentiment as Volatility Falls
  Read More
• 
  VIX® Option Volumes Jumps to Highest Since Feb18
  Read More
• 
  Gold Volatility Surges Higher on Upside Call Demand
  Read More
• 
  Rates Volatility Nears 1-Year Low Ahead of FOMC
  Read More
• 
  SPX® Realized Skew Most Inverted in Over 20 Years
  Read More