Small caps led the increase in equity volatility last week, with the RVX Index (Russell 2000 Volatility Index) gaining 2.6 pts to 25% vs. the VIX® Index up 1.2 pts wk/wk. The spread between the two widened to a YTD high of 6.5% as small caps tend to be more sensitive to tighter monetary policy and higher oil prices. Learn more in this week’s Macro Volatility Digest.

While the SPX® Index is up over 9% over the past month, the rally has been incredibly concentrated, led largely by the Tech sector (up 20%). In fact, 4 of the 11 S&P sectors are down over the past month and another 3 are mostly unch’d. In other words, we’ve seen incredibly high dispersion underneath the index surface, which helps explain why index volatility is so muted while single stock volatility remains elevated (e.g. VIX® Index down 4 pts vs. VIXEQSM Index up 1 pt over the past month). The difference between the two has widened to the 98th percentile high. Learn more in this week’s Macro Volatility Digest.

Implied volatilities were mixed last week as oil prices continued to climb and the Fed came out more hawkish than expected. Brent oil prices briefly jumped to over $126/bbl – their highest level since the Iran conflict started – while oil volatility (OVX Index) remained elevated in the 88th percentile high. In contrast, the VIX® Index ended the week near a 3-month low of 16.9% as the SPX Index hit an all-time high on the back of better-than-expected earnings. Learn more in this week’s Macro Volatility Digest.