Single Stock Volatility Bid Ahead Of Tech Earnings

2025-10-28 09:17:00 ET

By Mandy Xu

Cross-Asset Volatility : Implied volatilities fell across asset classes last week on softer-than-expected CPI and easing trade tensions. Equity volatility led the way, with the VIX® index down 4.4 pts wk/wk to 16.4%, falling to the 39th percentile low over the past year (vs. 78th percentile high a week ago). Gold implied volatility moderated, even as realized volatility surged higher on the sell-off in gold. While GLD 1M ATM vol declined 6.1 pts to 22.5%, 1M realized vol surged over 15 pts to 34.5%, driving the 1M implied-realized spread from a high of +9% to now -12%. Notably, investors used the sell-off to add to upside calls, with GLD skew becoming even more inverted over the past week (1M 25-delta skew now in the 2nd percentile low). Rates vol declined last week on the back of the soft inflation data, with both MOVE and VIXTLT index falling to a 1-year low ahead of this week’s FOMC meeting, where the Fed is widely expected to cut rates by another 25bps (99% implied probability in the OIS market). Very little volatility is priced into the Fed meeting as a result, with SPX® index weekly options implying just a 1.0% move on Wednesday - a typical one-day move with the VIX index at 16%....

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