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!
Unlock the full analysis
Sign up to access it and receive actionable macro research.
No spam. Just macro research and risk management.
Disclamer: Not investment advice.
