Cross asset vol has snapped back from its Iran driven spike but the recovery is uneven creating openings for structured products and derivatives desks.
Shane Carroll, Apac derivatives strategist at UBS, says the latest cross asset volatility update captures a market that looks calmer than it really is. Energy stocks show the most dramatic move with implied volatility collapsing even as spot has almost fully reversed Spot and implied volatility have slipped back toward pre-US Iran conflict levels across much of the complex yet the behaviour of individual assets has diverged sharply. The report notes that “many cross asset underlyings n