Expected Stock Dispersion Falls To Near 1-Year Low

2025-12-16 04:21:00 ET

By Mandy Xu

Cross-Asset Volatility : Implied volatilities were mixed across asset classes last week as the Fed cut rates as expected. Oil and credit vols declined while equity, rates, gold, and FX vols all increased modestly. The biggest mover was gold, as GLD 1M implied volatility gained over 1.5 pts to 19.8%, now trading in the 76th percentile high. As usual, the bid to vol came on the back of a rally in the underlying metal, as demand for calls increased post Fed easing. GLD vol is expensive not only in absolute terms but also relative to realized vol, with the 1M implied-realized spread widening to 7% (98th percentile high). Gold is the only asset with implied volatility still trading above average - almost every other asset class vol has fallen to near 1-year lows (see Exhibit 1)....

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