VIX Near Record Low Ignores Risks Revealed in Swaptions: Chart

As the stock-market fear gauge known as the VIX flirts with an all-time low, rates volatility has remained stubbornly elevated, breaking a relationship the markets shared in the weeks before the U.S. election. Three-month options on five-year interest rate swaps, known as 3m5y swaptions, capture the uncertainty surrounding the Federal Reserve’s monetary path and Donald Trump’s policies, even while stock markets set records.

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