Summary

• 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.
• 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.

By Ed Tom

Cross-Asset Volatility: 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