Recurring series

Macro Volatility Digest

Finvaulta tracks 6 editions of Macro Volatility Digest from Cboe, published between May 11, 2026 and August 17, 2026. Each edition is summarized on its own page.

Latest edition · August 17, 2026

Macro Volatility Digest 2026 0817a u1

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.

Cross-asset implied volatilities dropped broadly following favorable CPI and PPI readings, strengthening expectations that the Federal Reserve has finished hiking rates. The VIX Index fell to a YTD low of 14.25, while the MOVE Index fell to its 36th percentile despite 30-year Treasury yields touching 10-year highs. With Russell 2000 implied volatility hitting a one-year low of 12.3% and vol-of-vol hovering at two-year lows, institutional investors are taking advantage of cheap convexity by bidding up deep OTM SPX puts.

Read the latest edition in full

Key takeaways from the latest edition

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.

What this series covers

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

Edition archive

Series at a glance

Editions tracked: 6
First edition: May 11, 2026
Latest edition: August 17, 2026

All Cboe research

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