Summary

• Implied volatilities declined across the board last week as the markets pivoted away from a hawkish Fed to an intense but ultimately positive US-Iranian weekend negotiation to end hostilities.
• The VIX Index traded in line with the pre-established skew last week, declining 1 pt to 16.8 on a 1% advance on the SPX Index.
• Skew steepened from the 25th to the 47th percentile on Friday as traders initiated hedges going into the long weekend.

By Ed Tom

Cross-Asset Volatility: Implied volatilities declined across the board last week as the markets pivoted away from a hawkish Fed to an intense but ultimately positive US-Iranian weekend negotiation to end hostilities. Now that