Macro Volatility Digest

Global markets experienced AI/Tech consolidation, leading to a rise in equity volatility and tech-specific implied vol to 98th percentile levels. Investors are shifting towards long convexity positions while balancing against expected EOM/semi-annual rebalancing flows.

Key Takeaways

• 1.Implied volatilities for tech-heavy indices (Nasdaq-100, Kospi-200) reached 98th percentile highs amid global AI/Tech consolidation.
• 2.VIX Index rose to 18.4 (68th percentile) following a 2% SPX pullback, with traders shifting to long convexity positions.

Table of Contents

• Weekly Market Commentary
• Cross-Asset Volatility Monitor
• Cross-Asset Correlation Analysis
• Macro Equity Volatility
• US Index Volatility
• Cboe Derivatives Market Intelligence

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