Sample Mandy test

Test Weekly Commentary: March 8, 2024

Cross-Asset Volatility: Implied volatilities were mixed across asset classes last week as PCE inflation gained in line with expectations. Equities rallied to new highs, while the VIX® index fell 0.6 pt wk/wk to 13.1% (24th percentile low). US rates vol declined marginally while the implied odds of a June rate cut increased to 66% (vs. 57% a week ago). The decline in real rates (US 10-year real yield fell 7bps on Friday) led to a surge in gold prices, with GLD ending the week at a record high. GLD implied vols saw a meaningful bid on the rally, with 1M implied vol up almost 2 vol pts on Friday to 11.4% (39th percentile) and screening as the richest cross-asset vol currently.

Equity Volatility: While implied volatilities are low across almost all global equity indices currently (RTY being the notable exception), the difference is they’re realizing in the US vs. elsewhere (see Exhibit 1). For example, both SPX and SX5E 1M implied vol are currently trading ~11% but the SPX is realizing ~12% vs. SX5E at 9%. The SPX 1M implied-realized spread, at -1.1%, is currently screening in the 12th percentile low while the SX5E 1M implied-realized spread, at 2.1%, is in the 61st percentile high. The most expensive to carry has been MXEFSM (MSCI Emerging Market Index), with a 1M implied-realized volatility spread of 4.9% (80th percentile high)