Implied volatilities were mixed last week as oil prices continued to climb and the Fed came out more hawkish than expected.
SPX 3M call skew (25-delta vs. 50-delta ratio) has now jumped to the 60th percentile high, while put skew has fallen to the 14th percentile low over the past year.
With stagflation risk on the rise, many are drawing parallels between the current market setup vs. 2022.
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By Mandy Xu
Cross-Asset Volatility: Implied volatilities were mixed last week as oil prices continued to climb and the Fed came out more hawkish than expected. Brent oil prices briefly jumped to over $126/bbl – their highest level since the Iran
