Macro Volatility Digest

Cboe reports a record divergence between single stock and index volatility, with the VIXEQ-VIX spread hitting 29 points as idiosyncratic risks dominate. Concurrently, equity-bond correlations have collapsed to record lows, challenging traditional portfolio diversification.

Key Takeaways

• 1.Single stock volatility (VIXEQ) has reached a record spread of 29 points over the VIX Index, driven by extremely low stock correlations (6%).
• 2.The 1-month rolling correlation between the SPX Index and 10Y Treasury yield hit -87%, the lowest on record since 1962.
• 3.Call skew inversion has hit extreme levels, with 35% of S&P 100 stocks showing inverted 3-month call skew, signaling extreme bullishness, especially in Tech and Energy.

Table of Contents

• WEEKLY MARKET COMMENTARY
• Single Stock Volatility Jumps to a Record vs. the VIX® Index
• 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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