Week of 11/9/2026: No Contagion (Yet): Equity Vol Spikes, Macro Vol Fades

Mandy Xu

November 9, 2026

Link to Report: Macro Volatility Digest

WHAT STANDS OUT:

Implied volatilities declined across most asset classes last week after Democrats swept Congress and US economic data came out better than expected. The notable exception was equities, with Tech selling off significantly following the election on fears of a pullback in AI investment. The VIX^® Index gained 6 pts wk/wk to 25%, screening as the richest cross-asset vol on a 1-year lookback and second richest on a 10-year lookback. In contrast, rates, commodities, credit, and FX implied volatilities all declined following the election, led by interest rate vol. The MOVE Index fell over 7nms as inflation expectations declined sharply on optimism over the Iran conflict ending. Oil prices sold off as well, with Brent falling to below $100/bbl for the first time in two months.
Skew and convexity were bid on the sell-off, as hedging demand jumped sharply. In fact, increases in SPX^® put skew and put convexity accounted for almost half of the VIX increase last Thursday (5.5 pts of the 11.5 pt increase), larger than the impact of the SPX spot move and the rise in SPX fixed strike vols. For a more detailed breakdown of the VIX move last week, see our VIX decomposition web tool here.
So far, the pain has been largely concentrated in the Tech sector. In fact, 5 of the 11 S&P sectors ended the week in the green. This is why correlation levels remain muted, with COR1M Index increasing only modestly to a “high” of 22% on Thursday. This is highly unusual. Typically, when we see a market sell-off of that magnitude (SPX -4% in a day), implied correlation levels have averaged closer to 70% (going back 20 years). Right now, the options market is still pricing for a rotation trade (AI vs. everything else), with very little fear of contagion.

Chart: Asset Class Implied Volatilities