Macro Volatility Digest Sep21

Macro Volatility Digest September 21, 2026

Oil-Rates Correlation Jumps to a 35-Year High Cross-Asset Volatility: Implied volatilities declined across Exhibit 1: Asset Class Implied Volatilities asset classes last week after the Fed raised rates as expected by 25bps. Interest rate volatility fell even as Cross-Asset Volatility (10Y Z-Scores) 8.0 nominal yields increased, with the MOVE Index down 7.0 1.5nms to 80bps vol (86th percentile high over the past year). 6.0

Commodity vols declined the most on the back of easing 5.0

tensions in the Middle East, with oil volatility (OVX Index) Z-scores (10Y) 4.0

falling almost 9 pts wk/wk to 50%. Equity volatility fell 1.0 pt, 3.0

with the VIX® Index ending the week at 14.8% (7th percentile 2.0

low). On a 10-year lookback, FX and credit volatilities 1.0

currently screen as the cheapest cross-asset implied vol, 0.0

trading ~1 standard deviation below their long-term average -1.0

(see Exhibit 1). In contrast, gold and oil have consistently -2.0 9/1/25 11/1/25 1/1/26 3/1/26 5/1/26 7/1/26 9/1/26 screened as the richest cross-asset vols this year, with gold Equity (VIX) Rates (MOVE) Oil Gold FX IG Credit (VIXIG) trading over 1 standard deviation above average.

Equity Volatility: While index volatility declined broadly last Source: Cboe week, single stock volatility increased. This can be seen in the divergence between the VIX Index and VIXEQSM Index. Exhibit 2: DSPX Index Rising Off Recent Lows While the VIX Index fell by 1.0 pt, the VIXEQ Index (a 50 measure of average single stock vol) gained almost 2 pts to DSPX Index 36%. As a result, the spread between the two widened from 45 18.5% to 21.6% (43rd percentile over the past year). Higher bond yields have historically been a catalyst for increased 40 stock dispersion, as different stocks/sectors have different 35 interest rate sensitivities. Not surprisingly, the DSPXSM Index increased last week, up 2.6 pts from its recent low, as implied 30 stock dispersion increased. See Exhibit 2. 25 Skew & Term Structure: Risk sentiment turned more constructive in the options market last week, with skew 20 flattening across all the major indices. SPX® 1M skew (25- Sep-25 Nov-25 Jan-26 Mar-26 May-26 Jul-26 Sep-26 delta ratio) declined from the 58th to 29th percentile low as investors sold out of hedges and rotated into calls. SPX 1M Source: Cboe call skew (25-delta vs. 50-delta ratio) increased to the 78th Exhibit 3: US10Y vs. Oil Correlation at 35-Year High percentile high as a result. 80%

Correlation: While overall equity correlations remain extremely muted (e.g. COR1M Index sub-10 currently), 60%

cross-asset correlations have become more extreme. Equity-rates correlation has been persistently negative since 40%

the onset of the Iran War, while equity-oil correlation is also 20% near an extreme negative. Se pg 3 for details. The most notable, however, is the correlation between oil and interest 0% rates, which has jumped to a 35-year high. As seen in Exhibit 3, the 3M rolling correlation between the US 10Y yield and -20% WTI oil prices hit a high of +65% last week. That’s above the highs we saw during the depth of covid and the 2011 Arab -40% Spring and only slightly below the record high of 66% seen Oil vs. US 10Y Yield (3M Rolling Correlation) at the onset of the First Gulf War in 1990. If this pattern holds, -60% then where yields go from here will be less dependent on the Jan-85 Jan-90 Jan-95 Jan-00 Jan-05 Jan-10 Jan-15 Jan-20 Jan-25 Fed and more on the situation in Iran. Source: Cboe

Mandy Xu | VP, Head of Derivatives Market Intelligence © 2026 Cboe Exchange, Inc. All Rights Reserved.

Macro Volatility Digest September 21, 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 Sep-25 Nov-25 Jan-26 Mar-26 May-26 Jul-26 Sep-25 Nov-25 Jan-26 Mar-26 May-26 Jul-26 Sep-25 Nov-25 Jan-26 Mar-26 May-26 Jul-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)…