Cross-Asset Volatilities Normalize as Geopolitical Risk Premia Dissipates

Ed Tom

June 15, 2026

Link to Report: Macro Volatility Digest

WHAT STANDS OUT:

Implied volatilities declined across the board last week as the solidification of a US-Iranian peace agreement and the re-opening of the Strait of Hormuz dissipated geopolitical risk premia across the major asset classes. With oil prices falling to a 3-month low (though still at a 20% premium vs pre-War levels), risk sentiment and positioning in the oil markets have both normalized to pre-War levels with 1M oil volatility (OVX) falling 5pts to 54% (65th percentile) and 1M USO call implied volatilities trading just slightly above parity vs comparable maturity put implied vols.
Although the SPX^® Index advanced by a modest 0.7% last week, the VIX^® Index declined far greater than expected (+4 pts to 17.7) due in large part to the unwind of protective NTM hedges and downside convexity positions and repositioned into more bullish synthetic long positions.
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Chart: Payoff: Quoted $1 XSP Vertical Spread vs Binary Option