Week of 8/24/2026: Cross-Asset Volatilities Rise as Treasury Endeavors to Avert Yield Contagion

Link to Report: Macro Volatility Digest

WHAT STANDS OUT:

• Cross-asset implied volatilities rose across the board as Treasury market concerns trickled into equities and the other major asset classes. The 30-year yield hit 5.33% intraweek, its highest since 2007, before Treasury Secretary Bessent’s late-week policy intervention to double the size of the Treasury’s bond buyback program to $4B. Accordingly, interest rate volatility as measured by the MOVE Index has reversed its 2-week decline and is trading at 73 (54th percentile) while the VXTLT 20-Year Bond Volatility Index jumped from 13th to 32nd percentile levels w/w.
• The VIX^® Index underperformed skew last week, bouncing off its YTD low and rising 0.9 pts w/w to 15.1 on the -1.4% SPX pullback. The 0.4 underperformance in the VIX Index is due primarily to short iron-flies (short ATM straddle, long DOTM wings) which lowered ATM vols while elevating low-delta puts and calls.
• Options sentiment for Nvidia leans slightly bearish with NVDA put skew steepening into its Weds earnings. Options mkt expected move = 6.5-7%.

Chart: NVDA Earnings (8/26) to Dictate Upcoming Stock Dispersion

^{Source: Cboe}

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