Macro Volatility Digest 2026 Aug 24

Macro Volatility Digest August 24, 2026

WEEKLY MARKET COMMENTARY Cross-Asset Volatilities Rise as Treasury Endeavors to Avert Yield Contagion Cross-Asset Volatility: Cross-asset implied volatilities Exhibit 1: Global Vols Higher on Rising Yields rose across the board as Treasury market concerns 1M Implied- 1M Implied Percentile Percentile trickled into equities and the other major asset classes. Ticker Vol Wkly Chg (1Y) Realized Realized (1Y) Vol Spread The 30-year yield hit 5.33% intraweek, its highest since SPX , before Treasury Secretary Bessent’s late-week US RTY policy intervention to double the size of the Treasury’s QQQ SX5E bond buyback program to $4B. Accordingly, interest rate

International DAX volatility as measured by the MOVE Index has reversed its MXEF -week decline and is trading at 73 (54th percentile) while MXEA EWZ the VXTLT 20-Year Bond Volatility Index jumped from 13th FXI to 32nd percentile levels w/w. Credit volatility has bounced USO off its one-year lows and currently trades at the 11th GLD

Cross-Asset TLT percentile on the back of a modest widening in credit IEF spreads. The nominally low credit volatility levels and LQD historically tight spreads for both investment grade and HYG Source: Cboe, Bloomberg high-yield signal that the credit markets is currently treating Source: Cboe the yield catalyst as a rates/duration event rather than a credit-quality scare, although some desks have started Exhibit 2: Rates Vols Revert Higher on Rising Yields positioning for "decompression" trades by rotating up the ratings hierarchy (e.g.,BB over CCC).

Although oil has now risen for the second consecutive week (WTI = $87/bb vs $82 last week), oil volatility has notched only marginally higher to its 53rd percentile levels. The oil-driven inflation risk has weakened the US dollar to a 3-month low even as US Treasury yields continue to rise. As a result, FX volatility rose from one-year lows to 17th percentile levels. The weaker dollar and the Treasury’s surprise buyback expansion has implicitly raised questions about the government's ability to manage its borrowing costs and thereby reinforced demand for both, hard-asset and alternative stores of value with gold and cryptocurrencies have rising to a 3-month high. Gold Source: Cboe (For illustrative purposes only) volatility jumped from 31% percentile lows to 75th percentile highs as CBTX bitcoin implied volatility surged from 5th Exhibit 3: NVDA to Dictate Upcoming Stock Dispersion percentile lows to 48th percentile levels w/w.

Equity Volatility/ Skew: The VIX® Index underperformed skew last week, bouncing off its YTD low and rising 0.9 pts w/w to 15.1 on the -1.4% SPX pullback. The 0.4 underperformance in the VIX Index is due primarily to short iron-flies (short ATM straddle, long DOTM wings) which lowered ATM vols while elevating low-delta puts and calls. The net effect is a slight steepening in 25-delta put-call skew from 4th to 18th percentile. From a nominal standpoint, the bid for convexity is marginal and vol-of-vol remains near 2-year lows (VVIX=86).

Earnings: Options sentiment for Nvidia leans slightly bearish with NVDA put skew steepening into its Weds Source: Cboe earnings. Options mkt expected move = 6.5-7%.

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

Macro Volatility Digest August 24, 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…