SPX Skew Steepens To 1Y High As Tariff Uncertainty Rises

2026-02-24 03:48:00 ET

By Mandy Xu

Cross-Asset Volatility: Implied volatilities diverged across asset classes last week on the back of rising geopolitical tensions in the Middle East, changing tariff policy, and lingering AI worries. Commodity vol saw the biggest increase, with [[USO]] (Oil ETF) 1M implied volatility jumping over 12 pts to 52% (96th percentile high) as oil prices spiked on fear of an US-Iran conflict. Oil skew is the most inverted (calls trading at a premium to puts) since the 2022 Russia-Ukraine invasion with the inversion extending out to the 6M tenor, as traders position for a period of prolonged geopolitical tension (i.e., upside risk to oil). Gold was bid on the back of demand for safe haven, with [[GLD]] 1M implied volatility rising over 3 pts to the 97th percentile high. Equity volatility, in contrast, fell as stocks rallied on the Supreme Court’s decision to strike down Trump’s emergency tariffs, though uncertainty remains around new/additional tariffs. The VIX® index ended the week down 1.5 pts to 19%, as SPX® realized volatility also came in notably (1M realized vol down 2.5 pts to 12.2%). Rates vol remain fairly muted, with VIXTLT Index down 3nms last week to the 14th percentile low over the past year....

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