Implied volatilities gained across asset classes last week as bond yields spiked on higher inflation expectations.
Small caps led the increase in volatility in the US last week, with the RVX Index (Russell 2000 Volatility Index) up 2.6 pts to 25% (76th percentile high over the past year) vs. the VIX Index up 1.2 pts.
While demand for index protection increased last week, higher rates have not dampened the extreme bullish positioning we’ve seen in single stock options.
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By Mandy Xu
Cross-Asset Volatility: Implied volatilities gained across asset classes last week as bond yields spiked on higher inflation expectations. The US 10-year jumped to a 1-year high of 4.6%, while VIXTLT Index gained 20 nms
