All Quiet On The Volatility Front

2026-01-06 04:33:00 ET

By Mandy Xu

Cross-Asset Volatility : With the exception of gold, implied volatilities for most asset classes ended 2025 near a 1-year low (see Exhibit 1). And despite the unprecedented actions by the US in Venezuela over the weekend, cross-asset vols have remained remarkably calm so far. Even oil, which sold off initially on the news, has rallied back, with WTI 1M implied vol up just a modest 1.2 vol pts this morning to 29% (29th percentile low over the past year). Options market positioning shows traders are positioning for more upside in oil in the near term, with skew inverting in WTI (i.e., calls trading at a premium to puts). WTI 1M skew (25-delta ratio) is now trading in the 6th percentile low. Gold has been the biggest beneficiary so far, up over 2% this morning. Interestingly, gold positioning has become a lot more defensive leading up to this weekend’s events, with GLD 1M skew steepening to the 80th percentile high on the back of increased demand for puts. For the first time since May, GLD puts are now trading at parity with calls (see Exhibit 2) suggesting traders see equal downside risk as upside potential for gold in the near term. Longer term, investors are still bullish on gold, with GLD skew remaining inverted for tenors beyond 1M....

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