Report published September 25, 2026
Nomura: Recalibrating – Cross-Asset Volatility Polarization and Macro Rate Shocks
Nomura · September 25, 2026
US equities continue to display optical calm and low index volatility driven by high stock dispersion and relentless 0/1 DTE gamma supply. In contrast, fixed income, rates, and FX volatility have surged, forcing painful unwinds across leveraged carry, curve, and swaption positions.
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Finvaulta summarizes Nomura'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.US equities show extreme dispersion driven by mega-cap tech and AI optimism alongside heavy 0/1 DTE gamma supply, suppressing index volatility despite broad macro volatility.
- 2.Macro rates and credit volatility have awakened sharply, causing pod stop-outs, PNL drawdowns, and carry trade unwinds across swaptions, curves, and EMFX.
- 3.Persistent nominal GDP growth and supply-side inflation keep bonds under pressure, while potential demand destruction from rate shocks makes long-dated swaption straddles an attractive hedge.
Report data
USD 20y20y Swaption Straddles Monthly Excess Returns vs CPI Quintiles — as of September 25, 2026.
| Metric | Estimate | Context |
|---|---|---|
| SPX Daily 25-Delta Put Selling Sharpe Ratio (1 Month) | 6.0 Sharpe ratio | Selling daily 25D puts in SPX has generated an extremely high Sharpe ratio, driving index volatility complacency. |
| SPX Daily 25-Delta Put Selling Sharpe Ratio (3 Months) | 3.0 Sharpe ratio | Selling daily 25D puts in SPX Sharpe ratio over a three-month horizon. |
| Single-name vs Index Performance Spread Percentile | 95.0 %ile | Spread between large single-name absolute percent moves versus an unchanged index over the past month. |
| US Nominal GDP Growth Rate | 8.0% | Nominal GDP range cited as 8-9.5% in the US due to AI capex trickle-down. |
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