{"id":46952,"date":"2025-07-07T21:18:09","date_gmt":"2025-07-07T21:18:09","guid":{"rendered":"https:\/\/www.europesays.com\/us\/46952\/"},"modified":"2025-07-07T21:18:09","modified_gmt":"2025-07-07T21:18:09","slug":"equity-volatility-finds-a-floor-ahead-of-key-trade-catalysts","status":"publish","type":"post","link":"https:\/\/www.europesays.com\/us\/46952\/","title":{"rendered":"Equity Volatility Finds a Floor Ahead of Key Trade Catalysts"},"content":{"rendered":"<p>Mandy Xu<\/p>\n<p>\u25ac<\/p>\n<p>July 7, 2025<\/p>\n<p>Link to Report: <a href=\"https:\/\/go.cboe.com\/e\/77532\/atility-Digest-2025Jul7-u1-pdf\/fn5l29\/1254482693\/h\/6qvxS5iu3PqqAOA3VCZKhOqnFw_19cnTmo5nwQITHo4\" rel=\"noopener noreferrer nofollow\" target=\"_blank\">Macro Volatility Digest<\/a><\/p>\n<p><strong>WHAT STANDS OUT:<\/strong><\/p>\n<ul>\n<li>\u201cSpot up, vol up\u201d was the theme last week as implied volatility levels appeared to have found a floor ahead of this week\u2019s key trade deadlines. While the SPX\u00ae index rallied 1.7%, the VIX\u00ae index gained 1.2 pts to 17.5% driven primarily by higher SPX fixed strike vols. The volatility risk premium also increased, with the SPX 1M implied-realized vol spread widening to 3.4% (80th percentile high).<\/li>\n<li>In relative value space, what stands out is the widening spread between RTY vs. SPX, where the 3M implied vol spread has jumped from 4.2% to 6.4% over the past month (see chart below). The widening in the relative risk premium of small caps vs. large caps contrasts with what\u2019s going on in the credit market and is happening at the same time as significant skew flattening in RTY, suggesting much of the demand for optionality is coming from the call-side (i.e. a result of bullish positioning in small caps).<\/li>\n<li>Activity in our Cboe\u00ae iBoxx\u00ae iBoxx\u00ae Corporate Bond Index futures have surged in recent months, with open interest in IBHY (high yield) futures jumping 4.5x year-over-year to a record high of $1.2B while IBIG (investment grade) futures have jumped over 4.4x to $600M. See <a href=\"https:\/\/go.cboe.com\/e\/77532\/ights-iBoxx-Futures-June27-pdf\/fn5l2d\/1254482693\/h\/6qvxS5iu3PqqAOA3VCZKhOqnFw_19cnTmo5nwQITHo4\" rel=\"noopener noreferrer nofollow\" target=\"_blank\">here<\/a> for our recent deep dive in the corporate bond futures market, including the key drivers behind this surge in trading activity.<\/li>\n<\/ul>\n<p><strong>Chart: RTY-SPX vs. QQQ-SPX 3M Implied Vol Spreads<\/strong><\/p>\n<p><img decoding=\"async\" src=\"https:\/\/www.europesays.com\/us\/wp-content\/uploads\/2025\/07\/3bd36cdc283d43269f15f6758471fe9f.png\"\/><\/p>\n<p>Source: Cboe<\/p>\n<p><a href=\"https:\/\/go.cboe.com\/e\/77532\/atility-Digest-2025Jul7-u1-pdf\/fn5l29\/1254482693\/h\/6qvxS5iu3PqqAOA3VCZKhOqnFw_19cnTmo5nwQITHo4\" rel=\"noopener noreferrer nofollow\" target=\"_blank\">[Download Full Report Here]<\/a><\/p>\n<p><a href=\"https:\/\/go.cboe.com\/e\/77532\/cae-utm-content-subscribe-here\/fn5l2h\/1254482693\/h\/6qvxS5iu3PqqAOA3VCZKhOqnFw_19cnTmo5nwQITHo4\" rel=\"noopener noreferrer nofollow\" target=\"_blank\">[Subscribe Here]<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"Mandy Xu \u25ac July 7, 2025 Link to Report: Macro Volatility Digest WHAT STANDS OUT: \u201cSpot up, vol&hellip;\n","protected":false},"author":3,"featured_media":46953,"comment_status":"","ping_status":"","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[13],"tags":[64,135,67,132,68],"class_list":{"0":"post-46952","1":"post","2":"type-post","3":"status-publish","4":"format-standard","5":"has-post-thumbnail","7":"category-markets","8":"tag-business","9":"tag-markets","10":"tag-united-states","11":"tag-unitedstates","12":"tag-us"},"share_on_mastodon":{"url":"https:\/\/pubeurope.com\/@us\/114814039113815045","error":""},"_links":{"self":[{"href":"https:\/\/www.europesays.com\/us\/wp-json\/wp\/v2\/posts\/46952","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.europesays.com\/us\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.europesays.com\/us\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.europesays.com\/us\/wp-json\/wp\/v2\/users\/3"}],"replies":[{"embeddable":true,"href":"https:\/\/www.europesays.com\/us\/wp-json\/wp\/v2\/comments?post=46952"}],"version-history":[{"count":0,"href":"https:\/\/www.europesays.com\/us\/wp-json\/wp\/v2\/posts\/46952\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.europesays.com\/us\/wp-json\/wp\/v2\/media\/46953"}],"wp:attachment":[{"href":"https:\/\/www.europesays.com\/us\/wp-json\/wp\/v2\/media?parent=46952"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.europesays.com\/us\/wp-json\/wp\/v2\/categories?post=46952"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.europesays.com\/us\/wp-json\/wp\/v2\/tags?post=46952"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}