Macro Volatility Digest

Implied volatilities jumped across asset classes last week as markets grappled with rising US-Iran tensions, higher bond yields, and a sharp pullback in Tech. Equity volatility led the increase, with the VIX® Index up over 6 pts wk/wk to 21.5%, rising from the 14th percentile low to the 86th percentile high. Within equities, Tech stocks led the spike in volatility, with the QQQ-SPX® 1M implied volatility spread widening to a 4-year high of 11% (see chart below). Both QQQ and SPX option volumes set new records on Friday, with SPX option volumes hitting a new high of 7.78M contracts (of which 64% was in 0DTE options). Learn more in this week’s Macro Volatility Digest.