The biggest mover in the cross-asset vol space last week was gold, with GLD 1M implied vol now trading in the 76th percentile high. As usual, the bid to vol came on the back of a rally in the underlying metal, with demand for calls increasing post Fed easing. GLD vol is expensive not only in absolute terms but also relative to realized vol, with the 1M implied-realized spread widening to the 98th percentile high. Gold is the only asset with implied vol still trading above average – almost every other asset class vol has fallen to near 1-year lows. Learn more in this week’s Macro Volatility Digest.

Tech fears have subsided on the back of increasing expectations of a Fed rate cut (now ~92% implied probability vs. 40% two weeks ago), with the QQQ-SPX 1M implied volatility spread narrowing from a 1-year high of 8% to now just 4.1% (27th percentile low over the past year). Learn more in this week’s Macro Volatility Digest.

Implied volatilities were mixed across the major asset classes last week as traders jostled to reprice risk assets amidst the nebulous outlook regarding both the timing and depth of Fed rate cuts. Despite the whipsaw for Dec rate cut expectations over the course of the week, rate vols ended materially lower w/w with the VIXTLT falling from 94 (30th percentile) to 84 (8th percentile lows). Fed Fund futures are currently pricing in a 62% chance of a Dec cut – a 35% increase from mid-week lows. Learn more in this week’s Macro Volatility Digest.