Single Stock Volatility Jumps To A Record Vs. The VIX Index

2026-06-01 15:37:00 ET

By Mandy Xu

Cross-Asset Volatility: Implied volatilities declined across macro assets last week amidst hopes of a US-Iran peace deal. Oil prices fell to a 1-month low while bond yields declined on better-than-expected inflation data. The VIX Index fell 1.4 pts wk/wk to near a YTD low of 15.8%. Equity, rates, credit, and FX implied volatilities have now all fallen to below their long-term averages (see Exhibit 1), with FX vol screening as the cheapest cross-asset volatility. In contrast, commodity vols still remain elevated by historical standards. With inflation back in focus, it’s not surprising equity-bond correlation has broken down. What’s notable, however, is the degree. The 1M rolling correlation between the SPX® Index and the 10Y Treasury yield, at -87%, has fallen to the lowest on record (going back to 1962). In other words, stocks and bonds are moving together (positive price return correlation) by the most on record – a challenge for those relying on fixed income for diversification....

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