Volatility Traders Position for Long Convexity on Global Tech Consolidation

With the exception of equities and credit, implied volatilities amongst the major asset classes remained steady w/w following last week’s global AI/ Tech consolidation. Rate vols remain near one-year lows (2nd percentile) and treasury yields across the curve leveled off at slightly higher levels after jumping sharply post-FOMC. As oil prices and vols continue to fall, commodity traders are now looking to take advantage of the cheaper oil vols to hedge against the possibility of a supply driven rebound. Oil call skew is now noticeably steeper w/w with 1M 5-delta, deep out-of-the-money calls now trading at a 22 pt premium (+8pts w/w) vs at-the-money calls. Learn more in this week’s Macro Volatility Digest.



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