Macro Volatility Digest

The biggest mover in the cross-asset vol space last week was gold, with GLD 1M implied vol now trading in the 76th percentile high. As usual, the bid to vol came on the back of a rally in the underlying metal, with demand for calls increasing post Fed easing. GLD vol is expensive not only in absolute terms but also relative to realized vol, with the 1M implied-realized spread widening to the 98th percentile high. Gold is the only asset with implied vol still trading above average – almost every other asset class vol has fallen to near 1-year lows. Learn more in this week’s Macro Volatility Digest.