SPX Call Demand Jumps On Optimism

2026-03-30 14:55:00 ET

By Mandy Xu

Cross-Asset Volatility: Implied volatilities gained across asset classes last week as the Iran war dragged into its fourth week. Oil volatility increased, with WTI 1M implied vol up 10 pts to 81% on the back of continued demand for upside calls as traders positioned for potential prolonged disruption to oil supply. Gold volatility jumped higher, with [[GLD]] 1M implied vol increasing over 9 pts to near a 5-year high of 41%. As we highlighted last week, positioning in gold options has shifted notably, with demand for puts picking up in recent weeks amidst the geopolitical turmoil. GLD 1M skew (25-delta ratio) has steepened to almost a 10-year high after being persistently inverted for most of the past two years. Rates volatility gained modestly as traders weighed the higher inflation backdrop with the hit to the growth outlook, while credit volatility continued its upward climb. VIXHY Index has more than tripled since the beginning of the year to a high of 320 bps vol – higher than the Q4 2018 growth scare (when [[SPX]] Index sold off 20%)....

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