Macro Volatility Digest
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SPX® Convexity Falls as Tariff Optimism Grows
Implied volatilities fell across asset classes last week as risk assets rebounded. SPX convexity premium (VIX minus SPX 1M ATM vol) came in further last week, ending the week at just 3.4 pts (vs. a near record high of 10 pts earlier this month). The quick retracement stands out compared to covid, when convexity remained elevated for almost two years even after the market had fully recovered. The lack of demand for tail protection is a sign investors still remain confident in the “Trump put”. Learn more in this week's Macro Volatility Digest.
Read MoreLink to Report: Macro Volatility Digest
WHAT STANDS OUT:
- Implied volatilities fell across asset classes last week as risk assets rebounded. SPX convexity premium (VIX minus SPX 1M ATM vol) came in further last week, ending the week at just 3.4 pts (vs. a near record high of 10 pts earlier this month). The quick retracement stands out compared to covid, when convexity remained elevated for almost two years even after the market had fully recovered. The lack of demand for tail protection is a sign investors still remain confident in the “Trump put”.
- The weakening US Dollar has led to a notable bid for not just gold, but also bitcoin, with MBTX (Cboe® Mini Bitcoin US ETF Index) up 13% in the last two months. Since their Dec launch, options on MBTX have grown steadily, as options-based strategies on bitcoin continue to grow, with multiple ETF issuers now using our MBTX/CBTX options in their funds. MBTX option volume recently hit a high of ~27k contracts, equivalent of $526M notional.
- Now, Cboe is excited to launch bitcoin futures to complement our existing suite of bitcoin options. The Cboe FTSE Bitcoin Index futures (ticker: XBTF) are set to start trading today. For more, see here.
Chart: SPX Convexity Premium Back to its 5Y Average
Source: Cboe
