Lemon_tm/iStock via Getty Images By Mandy Xu Cross-Asset Volatility : Implied volatilities jumped across asset classes last week as markets grappled with rising US-Iran tensions, higher bond yields, and a sharp pullback in tech. Equity volatility led the increase, with the VIX Index up over 6 pts wk/wk to 21.5%, rising from the 14th percentile low to now the 86th percentile high over the past year...
Lemon_tm/iStock via Getty Images By Mandy Xu Cross-Asset Volatility : Implied volatilities jumped across asset classes last week as markets grappled with rising US-Iran tensions, higher bond yields, and a sharp pullback in tech. Equity volatility led the increase, with the VIX Index up over 6 pts wk/wk to 21.5%, rising from the 14th percentile low to now the 86th percentile high over the past year. Higher oil prices and stronger-than-expected US economic data have led to even more hawkish Fed pricing, with the bond market now fully pricing in a rate hike by year-end. Traditional safe havens have all come under pressure, with fixed income and gold selling off alongside stocks and crypto. Gold volatility jumped higher last week, with GLD 1M implied volatility up 2.5 pts to 23.3%. Skew steepened notably as well, as GLD 1M skew (25-delta ratio) increasing to a 1-year high. Despite the move higher in bond yields, rate volatility has been remarkably contained, with VIXTLT Index remaining in the 18th percentile low. Equity Volatility : Not surprisingly, tech led the spike in volatility last week, with QQQ 1M implied volatility surging 8 pts to near a 1-year high of 28% (99 th percentile) as tech stocks crashed almost 5% on Friday. The 1M implied volatility spread between QQQ and SPX Index widened to a 4-year high of 11% (see Exhibit 2) – almost exactly in line with the realized spread between the two (at 10.4%). Both QQQ and SPX option volumes set new records on Friday. SPX option volumes hit a new high of 7.78M contracts (+16% from the previous high set in Apr ’26), of which 64% was in 0DTE contracts. Single stock volatility increased as well last week, though more modestly (VIXEQSM Index up just 0.3 pt) as investors gravitated toward index hedges for protection. In other words, implied correlation jumped higher, with the COR1M Index more than doubling to 15% - albeit still trading at historically low levels. This suggests the selloff, at least so far, remains mostly a po...
Musician who spliced jazz, funk and blues, including in a spell on a major label in the early 1980s, was celebrated as ‘fearless’ by his family James Blood Ulmer, the US guitarist celebrated for his avant garde splicing of jazz, blues and funk, has died aged 86. A statement on social media said he died on 3 June. “His music was fearless, and so was his spirit,” his family added in another statemen...
Musician who spliced jazz, funk and blues, including in a spell on a major label in the early 1980s, was celebrated as ‘fearless’ by his family James Blood Ulmer, the US guitarist celebrated for his avant garde splicing of jazz, blues and funk, has died aged 86. A statement on social media said he died on 3 June. “His music was fearless, and so was his spirit,” his family added in another statement. Continue reading...
Emerging-market stocks rebounded, led by South Korea, as investors snapped up artificial intelligence shares at lower prices after Monday’s selloff. Developing-nation currencies advanced after Iran and Israel paused hostilities. MSCI Inc.’s benchmark for developing-nation equities climbed as much as 3.5%, its biggest increase since April 8, with Korea’s SK Hynix and Samsung Electronics contributin...
Emerging-market stocks rebounded, led by South Korea, as investors snapped up artificial intelligence shares at lower prices after Monday’s selloff. Developing-nation currencies advanced after Iran and Israel paused hostilities. MSCI Inc.’s benchmark for developing-nation equities climbed as much as 3.5%, its biggest increase since April 8, with Korea’s SK Hynix and Samsung Electronics contributing about half of the gauge’s gains. The Kospi in Seoul erased Monday’s 8.3% drop, continuing the wild swings that have pushed its 10-day rolling volatility to an annualized 81%, from as low as 8% in January. The EM currency index rose for the first time in six days as the dollar weakened and US President Donald Trump claimed to be on the verge of a deal to end the war in the Middle East. His comments came after Iran and Israel agreed to halt strikes on each other following a flare-up that saw both countries launch waves of ballistic missiles. Emerging markets are witnessing greater volatility as concerns grow that the rally in AI has gone too far and upcoming share offerings by large US technology companies could drain capital from secondary markets. Signs of a stronger US economy and festering geopolitical risks are adding to the jitters. Sentiments in pockets of emerging markets, such as Indonesia, continue to worsen amid concerns over domestic policymaking. The major question for investors is whether the tech rout that started on Friday “would mark the beginning of a deeper and much-needed correction, or just a blip,” Ipek Ozkardeskaya , a senior analyst at Swissquote, wrote in a note. “The early answer is: it could be another blip.” Tuesday’s gains reversed a four-day slide that saw the emerging-market equity index lose 7.5% and its information-technology subindex enter a correction. Asian markets on Tuesday took their cues from overnight gains in the US, with memory chipmaker shares leading the rebound. But tech-share gains remain vulnerable to sudden swings, as Monday’...
AmArtPhotography The recent stock rally has been historically sharp. Goldman Sachs charts show the S&P 500’s ( SPY ) ( IVV ) ( VOO ) recent two-month gain ranks in the 99th percentile of returns since 1980, while the momentum factor’s two-month move ranks in the 98th percentile. That puts the latest rally near the very top of the historical distribution for short-term market strength. The move is ...
AmArtPhotography The recent stock rally has been historically sharp. Goldman Sachs charts show the S&P 500’s ( SPY ) ( IVV ) ( VOO ) recent two-month gain ranks in the 99th percentile of returns since 1980, while the momentum factor’s two-month move ranks in the 98th percentile. That puts the latest rally near the very top of the historical distribution for short-term market strength. The move is notable across longer windows as well. Goldman’s chart shows the S&P 500’s recent returns rank in the 84th percentile over one month, 91st percentile over three months, 73rd percentile over six months and 87th percentile over 12 months. Momentum has been even stronger, ranking in the 87th percentile over one month, 99th over three months, 98th over six months and 95th over 12 months. Goldman Sachs A separate Goldman chart shows the rolling three-month return for its U.S. momentum factor at about 27%, a level rarely exceeded since 1995. Prior periods of comparable momentum strength clustered around major market inflection points, including 2000, 2008 and 2020. Goldman Sachs Is it a case of too far, too fast? The charts do not, by themselves, make a bearish call. Strong momentum can persist, especially when investors crowd into leadership themes that continue to work. But they do show that the current tape is statistically unusual. More on SPDR S&P 500 ETF Trust, Vanguard 500 Index Fund;ETF, etc. Mega IPOs Pose Leveraged Downside Risk For The Nasdaq 100 The Chip Stocks That Will Crack First Concentration, AI Disruption, And Earnings: What's Behind Recent Market Volatility Prediction markets see low odds of Hormuz traffic returning to normal this year SA analyst warns tech rebound may be short-lived as yields rise