SVOL - VIX Option Volumes Jumps To Highest Since Feb 2018
2024-04-17 07:16:00 ET
Summary
- Implied volatilities jumped sharply across asset classes last week as US yields surged on the back of higher CPI inflation while Middle East tensions escalated.
- While SPX implied vols increased across the board, vol-of-vol saw a bigger jump as VVIX surged over 13 pts to 103% on the back of near record-setting VIX options activity.
- SPX skew has seen a meaningful steepening over the past two weeks on the back of both higher downside put demand as well as lower right-tail risk being priced into the vol surface.
By Mandy Xu
Cross-Asset Volatility
Implied volatilities jumped sharply across asset classes last week as US yields surged on the back of higher CPI inflation while Middle East tensions escalated. Rates vol led the way, with the MOVE Index up almost 19nms wk/wk to 113 bps vol – though still trading below the 50th percentile on a 1Y lookback. Equity vol gained as well, most pronounced in Europe, with V2X Index up 2.7 pts vs. VIX® Index up 1.3 pts to 18.8% and 17.1%, respectively (VIX now in the 80th percentile high over the past year). Gold volatility continued its ascent as geopolitical risks flared, with GLD 1M implied volatility now trading at a 1-year high of 18.0% (+2.9 vol pts). Surprisingly, oil vol was relatively contained despite the Iran-Israel news, with WTI 1M implied volatility unch’d on the week at 29% (38th percentile low). See pg 2 for details....
VIX Option Volumes Jumps To Highest Since Feb 2018