Macro Volatility Digest

Volatility increased globally as the US 10-year yield hit 4.6%, driving defensive hedging in indices like the Russell 2000 while single-stock call buying remains at 'meme stock' era extremes.

Key Takeaways

• 1.Implied volatilities rose across asset classes as US 10-year yields reached a 1-year high of 4.6% on inflation fears.
• 2.Hedging demand significantly spiked in small caps (Russell 2000), with 1M skew reaching the 89th percentile.
• 3.Despite macro volatility, retail call buying in large-cap Tech remains near record highs, leading to rare call skew inversions.

Table of Contents

• Index Hedging Jumps, But Stock Optimism Persists
• Cross-Asset Volatility Monitor
• Cross-Asset Volatility Snapshot (10Y Lookback)
• Cross-Asset Correlation Matrix (1M)
• Cross-Asset Correlation Analysis
• Macro Equity Volatility
• VIX Index Volatility
• US Index Volatility
• Cboe Derivatives Market Intelligence
• Disclaimers

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