Two Blokes

Tariff And Powell Risk Drive Elevated Cross-Asset VRPs

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    Posted by Two Blokes Jul 22 - Filed in General - #TwoBlokesTrading  - 5 views
    While overall levels of implied volatility remain muted across asset classes, what stands out is the even lower levels of realized volatility. The divergence between the RTY-SPX and QQQ-SPX vol spreads continued last week, with the RTY-SPX 1M vol spread widening to a YTD high of 8.5% while the QQQ-SPX vol spread narrowed to near a 1-year low of 3.0%.