Macro Volatility Digest

Implied volatilities among the major asset classes declined across the board as the primary drivers of cross-asset volatility contagion, rates and oil, both eased. Interest-rate volatilities declined with the MOVE Index retreating -9pts from its 2nd highest level YTD to 98 (94th percentile high) as the 10-year yield retraced from Monday's 24-year peak of 5.35% following the strong 10-year auction with a bid-to-cover of 2.77, its highest level since 2016. Learn more in this week's Macro Volatility Digest.