It’s good to be back after a few weeks away. Markets were mostly quiet over the holidays, and the first week of 2026 wasn’t all that exciting either. The S&P is at all-time highs, the VIX is sporting a 14-handle, and the VIX futures term structure says all is fine (in markets).
In this week’s episode we:
- Catch up on the VIX complex, i.e. VIX, VVIX, VX futures.
- Explore how decreasing realized volatility in the S&P 500 has contributed to the drop in implied volatility.
- Revisit what I refer to as volatility composition, where we find implied correlations at a noteworthy level. I circle back here later in the video to highlight a possible signal coming from divergences between various measures of implied correlations and the VIX.
- Take a quick stop at my fixed strike volatility spreadsheet to see what skew is telling us.
- Check in on Treasury vol, liquidity, and credit markets.
- See how VOLs reacted this week as equities rotated between small caps and the mega caps.
Here we go!
