Report published September 28, 2026
Cboe Macro Volatility Digest: Equities Unfazed by Spike in Rates Volatility
Cboe · September 28, 2026
US bond yields surged to two-decade highs, triggering a spike in rates and corporate credit volatility while equity volatility stayed subdued near 1-year lows. SPX skew dropped to the 5th percentile as investors favored upside call exposure over downside protection.
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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.
Key Takeaways
- 1.Cross-asset volatility diverges sharply as US bond yields reach multi-decade highs, driving rates vol near a 1-year high while equity volatility (VIX) sits near 1-year lows.
- 2.Single-stock volatility and dispersion are rising relative to index volatility ahead of Q3 earnings, supported by higher rates.
- 3.Equity sentiment displays extreme bullishness with SPX 1M skew in the 5th percentile and roughly 40% of top 100 stocks trading with inverted call skew.
Table of Contents
- Weekly Market Commentary
- Equities Unfazed by Spike in Rates Volatility
- 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
Report data
Exhibit 2: Macro Equity Volatility Snapshot
| Metric | Estimate | Context |
|---|---|---|
| VIX Index | 14.9% | Equity vol ended the week almost unchanged despite soaring bond yields. |
| MOVE Index | 96 bps vol | Surging over 15 bps to near a 1-year high as US bond yields hit two-decade highs. |
| VIXEQSM Index | 38.5% | Single stock volatility increased further ahead of Q3 earnings. |
| Spread between VIXEQ and VIX Index | 23.5% | Reflects rising single stock volatility vs index volatility ahead of Q3 earnings. |
| SPX 1M Skew Percentile | 5 percentile | SPX 1M skew is trading in the 5th percentile low as investors rotate out of hedges and into upside calls. |
Reports in this series
Macro Volatility Digest is shown in chronological order through this edition, published on September 28, 2026.
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