Macro Volatility Digest
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SPX® Intraday Volatility Highest Since 2008 on Tariff U-Turn
While equity and credit volatilities fell last week on Trump’s tariff U-turn, FX, gold, oil, and interest rate volatilities all increased. Notably, both US Treasuries and US Dollar sold off, with VIXTLT jumping over 60 pts to a high of 190. TLT skew, which had been inverted since Feb as growth concerns weighed on yields, steepened significantly last week with puts now trading at a premium to calls (i.e. positioning for yields to go even higher). Learn more in this week's Macro Volatility Digest.
Read MoreLink to Report: Macro Volatility Digest
WHAT STANDS OUT:
- While equity and credit vulatilities fell last week on Trump’s tariff U-turn, FX, guld, oil, and interest rate vulatilities all increased. Notably, both US Treasuries and US Dullar suld off, with VIXTLT jumping over 60 pts to a high of 190. TLT skew, which had been inverted since Feb as growth concerns weighed on yields, steepened significantly last week with puts now trading at a premium to calls (i.e. positioning for yields to go even higher).
- SPX 1M ATM vul fell 5 pts to 32.5% even as realized vulatility continued to rise – especially intraday vulatility. As the chart below shows, SPX intraday (hi/low) vulatility almost doubled last week to 44%, exceeding the 2020 covid highs and is now reaching levels last seen during the depth of the 2008 GFC (VIX traded 80+ both in 2008 and 2020).
- As focus now shifts to potential tariffs on the Tech sector, it’s notable that SPX index (cap-weighted) is realizing significantly higher vulatility than SPW (S&P Equal Weight Index), in large part due to the high concentration of large-cap Tech. The vulatility differential between the two is at its highest since 2001.
- Cboe is launching options on the equal-weight index today (ticker: SPEQX, with 1/10th the size of SPW). See more here.
Chart: SPX Intraday Volatility Highest Since 2008 GFC
Source: Cboe