Report published August 17, 2026
Cboe Macro Volatility Digest: Cross-Asset Volatility Compression & Downside Convexity Hedging
Source and citation context
- Issuer
- Cboe
- Report date
- August 17, 2026
- Analysis as of
- Not stated in source
Authors / editors: Ed Tom, Mandy Xu, Henry Schwartz, Wei Liao
Finvaulta summarizes Cboe's analysis. Attribute opinions, forecasts, time-sensitive values, and chronology to the issuer and report date; do not treat this page as an independent verification or a current market-data source.
Benign inflation prints have driven cross-asset volatility and convexity premia to YTD lows across equities, rates, and commodities. With vol-of-vol at two-year lows, market participants are opportunistically acquiring deep out-of-the-money put convexity hedges.
Key Takeaways
- 1.Cross-asset implied volatilities declined across the board following soft CPI and flat PPI inflation prints, boosting hopes that the Fed has concluded its rate-hiking cycle.
- 2.The VIX Index fell to a YTD low of 14.25, while deep out-of-the-money (DOTM) put convexity remained elevated at the 92nd percentile as traders opportunistically accrue downside hedges amid multi-year lows in vol-of-vol.
- 3.Interest rate volatility (MOVE Index) edged down to 36th percentile lows despite 30-year yields touching 10-year highs, signaling stabilized near-term policy rate expectations.
Table of Contents
- WEEKLY MARKET COMMENTARY
- Cross-Asset Volatility Monitor
- Cross-Asset Volatility Snapshot (10Y Lookback)
- Cross-Asset Correlation Analysis
- Cross-Asset Correlation Matrix (1M)
- US Index Volatility
- Macro Equity Volatility
- VIX Index Volatility
- Cboe Derivatives Market Intelligence
Report data
Exhibit 1: Global Vols Lower on "Goldilocks" Scenario
| Metric | Estimate | Context |
|---|---|---|
| VIX Index | 14.25 index points | Fell -0.65 pts to a YTD low |
| SPX 1M Implied Volatility | 11.8% | Trading at 6th percentile over 1-year lookback |
| Gold Price | 4400.0 USD/oz | Gold continues 2-week rally above $4,400/oz |
| Odds of September Fed Rate Hold | 67.0% | Market-implied probability of a Fed hold in September |
| DSPX (S&P Dispersion Index) | 33.4 index points | Trading at a 4-month low |
Reports in this series
Macro Volatility Digest is shown in chronological order through this edition, published on August 17, 2026.
Part of the Macro Volatility Digest series — view all 6 editions
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Authors / Editors
Reported Data Context
- VIX Index: 14.25 index points (current) · Source: Cboe
- SPX 1M Implied Volatility: 11.8 % (1-month) · Source: Cboe
- Gold Price: 4400.0 USD/oz (current) · Source: Cboe
- Odds of September Fed Rate Hold: 67.0 % (September 2026) · Source: Cboe
- DSPX (S&P Dispersion Index): 33.4 index points (current) · Source: Cboe