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Rates Volatility Lapping the VIX Is Latest Cross-Asset Conundrum

  • Divergence sparks concern stocks ‘underpricing’ recession risk
  • Yet fund positioning, hedging preference help explain low VIX

Perceptions of risk are diverging in perplexing ways among asset classes.

Volatility in bonds is whipping up just as it trails off in stocks. The ICE BofA MOVE Index, a gauge of costs for Treasury options, rose in four of the last five weeks. A similar measure for equities, the Cboe Volatility Index, or VIX, fell for three straight weeks. The MOVE’s premium over the VIX has widened this month to the most since 2009.