Macro Volatility Digest 2026 0817a u1

Macro Volatility Digest August 17, 2026

WEEKLY MARKET COMMENTARY Volatility/Convexity Premia Fall to Lowest YTD Levels on Benign Inflation Data Cross-Asset Volatility: Cross-asset implied volatilities Exhibit 1: Global Vols Lower on “Goldilocks” Scenario declined across the board on the back of a run of 1M Implied- 1M Implied Percentile Percentile “goldilocks” inflation prints (soft CPI, flat PPI) that has Ticker Vol Wkly Chg (1Y) Realized Realized (1Y) Vol Spread reinforced hopes the Fed is done hiking. Despite the SPX retracement of 30-year Treasury yields to 10-year highs, US RTY interest rate volatility as measured by the MOVE Index QQQ SX5E continues to edge lower and is now trading at 36th

International DAX percentile lows vs 89th percentile highs 2-weeks ago. MXEF (Although the MOVE Index is calculated as a blend of 2, 5, MXEA EWZ and 30-year swaption volatility, it is most sensitive to FXI front-end and belly uncertainty tied to near-term Fed USO GLD decisions. The disconnect between the two measures Cross-Asset TLT suggests that short-end rate expectations and marginal IEF policy uncertainties have stabilized while the long end has LQD HYG remained elevated for structural reasons (e.g., term Source: Cboe, Bloomberg premium, supply). The odds of a Sept hold = 67%. Source: Cboe

Oil implied volatilities continue to drift lower (OVX -6pts to Exhibit 2: DOTM Skew Bid vs NTM Skew 46%, 53th percentile) as commodity traders balance the softer demand/ inflation data with the current standoff limiting tanker transits through the Strait of Hormuz. Options positioning in precious metals seemed prescient as gold continues its 2-week rally above $4,400/oz following the surge in the demand for upside gold optionality. The demand for GLD calls has moderated somewhat over the last week, pushing gold volatilities down from 53rd percentile levels to 37th percentile lows.

Equity Volatility/ Skew: The VIX® Index underperformed skew last week, falling -0.65 pts to 14.25 (a YTD low) due primarily to a lowering of fixed-strike vols across the curve. Although the benign inflation backdrop has anchored skew to its lowest levels since mid-2024, deep OTM puts Source: Cboe (For illustrative purposes only) continues to be bid with SPX 1M put convexity (10-delta vs 25-delta put ratio) trading at 92nd percentile highs over the Exhibit 3: Downside Hedges “Cheap” w VIX/VVIX Lows last year. We believe the demand for DOTM puts is an opportunistic play with traders taking advantage of vol-of- vol at 2-year lows to pre-emptively accrue long downside convexity hedges rather than positioning for a specific downside catalyst. With the Russell 2000 Index setting a new record high (+23.6% YTD), implied volatilities on the smallcap index continues to decline is currently trading at 12.3%, a one-year low. The RTY is likewise trading a one- year low premium of +4 vol pts vs SPX (typical RTY-SPX vol premium = 6.8 pts).

Correlation/ Dispersion: With 91% of S&P companies having now reported, single stock volatility has fallen meaningfully. Stock dispersion is currently trading at a 4- Source: Cboe month low (DSPX = 33.4) while stock correlations (COR1M) currently trade at 7.4%.

Edward K. Tom | Sr Dir, Derivatives Market Intelligence © 2026 Cboe Exchange, Inc. All Rights Reserved.

Macro Volatility Digest August 17, 2026

Cross-Asset Volatility Monitor

Equity Vol (1M Implied vs. Realized) Rates Vol (1M Implied vs. Realized) IG Credit Vol (1M Implied vs. Realized) 35 140 70

Volatility (bps annl) Volatility (bps annl) 25 100 50

0 0 0 Aug-25 Oct-25 Dec-25 Feb-26 Apr-26 Jun-26 Aug-25 Oct-25 Dec-25 Feb-26 Apr-26 Jun-26 Aug-25 Oct-25 Dec-25 Feb-26 Apr-26 Jun-26

VIX Index SPX 1M Realized Vol MOVE Index Rates 1M Realized Vol VIXIG Index CDX IG 1M Realized Vol Source: Cboe Source: Cboe Source: Cboe

Oil Vol (1M Implied vs. Realized) Gold Vol (1M Implied vs. Realized) USDJPY Vol (1M Implied vs. Realized) 140 70 14

Volatility (%) Volatility (%) 50

0 0 0 Aug-25 Oct-25 Dec-25 Feb-26 Apr-26 Jun-26 Aug-25 Oct-25 Dec-25 Feb-26 Apr-26 Jun-26 Aug-25 Oct-25 Dec-25 Feb-26 Apr-26 Jun-26

OVX Index Oil 1M Realized Vol GLD 1M Implied Vol GLD 1M Realized Vol USDJPY 1M Implied Vol USDJPY 1M Realized Vol…