Volatility Traders Position For Long Convexity On Global Tech Consolidation

2026-06-30 12:52:00 ET

By Ed Tom

Cross-Asset Volatility: With the exception of equities and credit, implied volatilities amongst the major asset classes remained steady w/w following last week’s global AI/Tech consolidation. Rate vols remain near one-year lows (2nd percentile), and treasury yields across the curve leveled off at slightly higher levels after jumping sharply post-FOMC. Oil implied volatilities continue to drift lower (OVX -6pts to 46%, 56th percentile) as the combination of a hawkish Fed, stronger dollar, and growth worries weighed on demand expectations. As oil prices and vols continue to fall, commodity traders are now looking to take advantage of the cheaper oil vols to hedge against the possibility of a supply-driven rebound. Oil call skew is now noticeably steeper w/w with 1M 5-delta, deep OTM calls now trading at a 22 pt premium (+8pts w/w) vs ATM calls. In tandem with last week’s equity correction, high-yield credit vols have risen from 18th to 33rd percentile levels as investors demand more compensation for HY corporates....

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