Equities Buffeted By Year's Second Highest Bout Of Intraday Volatility

2025-11-25 05:01:00 ET

By Ed Tom

Cross-Asset Volatility : Implied volatilities were mixed across the major asset classes last week as traders jostled to reprice risk assets amidst the nebulous outlook regarding both the timing and depth of Fed rate cuts. Despite the whipsaw for Dec rate cut expectations over the course of the week, rate vols ended materially lower w/w with the VIXTLT falling from 94 (30th percentile) to 84 (8th percentile lows). Fed Fund futures are currently pricing in a 62% chance of a Dec cut – a 35% increase from mid-week lows. Gold skew has steepened (reflecting incremental demand for downside hedges) not only w/w but also relative to month ago levels when the metal was trading near comparable price levels. That said, GLD call skew remains strongly inverted (OTM calls > ATM calls) indicating that sentiment for the asset still remains extremely bullish. In the alt- asset space, crypto vols continue their relentless advance as the two-month-long pullback triggered a short-term holder capitulation last week (i.e., coins held less than 3 months have made up most of the selling) culminating into a -11% YTD loss. MBTX implied vols now trade at a 83rd percentile level (56 vols) vs 48th percentile last week and MBTX 1M skew has now steepened to its 91st percentile high....

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