Earnings Buoy Risk Sentiment as Volatility Falls

Macro Volatility Digest: April 29, 2024

Link to Report: Macro Volatility Digest

WHAT STANDS OUT:

• Implied volatilities fell meaningfully across asset classes last week, with the exception of FX (led by USDJPY on BOJ intervention fears). US rates vol is back down to the 13^th percentile low (over the past year) ahead of this week’s FOMC meeting as investors come to terms with “higher for longer”. Stronger-than-expected earnings buoyed the equity market, with the VIX® down 3.7 pts wk/wk. Oil volatility fell to near a 1-year low despite ongoing geopolitical tensions. 
• With mega-cap Tech earnings taking center stage last week, it’s no surprise US index vols led the decline – with SPX®, QQQ, and RTY ranking as 3 of the top 4 vol movers globally (see chart below). Single stock volatility fell even more meaningfully, driving the DSPX^SM Index down over 3.3 pts to 29.4%. As we get into the heart of earnings season, we expect DSPX index to stay under pressure in the near-term.

Chart: US Index Vols Among Biggest Decliners Wk/Wk

[Download Full Report Here]

[Subscribe to Derivatives Market Intelligence Content Here]