Volatility/Convexity Premia Fall To Lowest YTD Levels On Benign Inflation Data

Cboe Global Markets 909 Followers Follow Summary Cross-asset implied volatilities declined across the board on the back of a run of 'goldilocks' inflation prints (soft CPI, flat PPI) that has reinforced hopes the Fed is done hiking. Despite the retracement of 30-year Treasury yields to 10-year highs, interest rate volatility as measured by the MOVE Index continues to edge lower and is now trading at 36th percentile lows vs 89th percentile highs 2 weeks ago. The VIX Index underperformed skew last week, falling -0.65 pts to 14.25 (a YTD low) due primarily to a lowering of fixed-strike vols across the curve. Getty Images Originally published on August 17, 2026 Cross-Asset Volatility: Cross-asset implied volatilities declined across the board on the back of a run of “goldilocks” inflation prints (soft CPI, flat PPI) that has reinforced hopes the Fed is done hiking. Despite the retracement of 30-year This article was written by Cboe Global Markets 909 Followers Follow Cboe Global Markets (CBOE), a leading provider of market infrastructure and tradable products, delivers cutting-edge trading, clearing and investment solutions to market participants around the world. The company is committed to operating a trusted, inclusive global marketplace, providing leading products, technology and data solutions that enable participants to define a sustainable financial future. Cboe provides trading solutions and products in multiple asset classes, including equities, derivatives and FX, across North America, Europe and Asia Pacific.