Macro Volatility Digest

Implied volatilities were mixed across the major asset classes last week as traders jostled to reprice risk assets amidst the nebulous outlook regarding both the timing and depth of Fed rate cuts. Despite the whipsaw for Dec rate cut expectations over the course of the week, rate vols ended materially lower w/w with the VIXTLT falling from 94 (30th percentile) to 84 (8th percentile lows). Fed Fund futures are currently pricing in a 62% chance of a Dec cut – a 35% increase from mid-week lows. Learn more in this week’s Macro Volatility Digest.