Macro Volatility Digest

Implied volatilities were mostly rangebound last week despite rising geopolitical risk. Equity, rates, credit, and FX volatilities all ended the week near 1-year lows. Oil was an exception, with 1M implied vol jumping up over 8 vol pts to 37% (70th percentile high) on the back of bullish call demand. Despite the threat of more supplies coming online from Venezuela, oil traders appear to be more focused on the near-term risks of a potential supply disruption stemming from the Iran unrest. Learn more in this week’s Macro Volatility Digest.