Title: Oil–Rates Correlation Jumps to a 35-Year High — Post-Fed Vol Crush, Index vs Single-Stock Split, SPX Skew Flatten
Author / source: Mandy Xu, VP, Head of Derivatives Market Intelligence, Cboe Derivatives Market Intelligence
Source title: Macro Volatility Digest — "Oil-Rates Correlation Jumps to a 35-Year High"
Source date: Monday, September 21, 2026
Week covered: Week ending Friday 18 Sep 2026 (digest dated Mon 21 Sep; Fed +25bps referenced as last week, as expected)
Gmail: mxu@cboe.com msg 1a0c444304c89905
Local files:
- TXT: /workspace/emails/Macro_Volatility_Digest_Sep21.txt
- PDF: /workspace/emails/Macro_Volatility_Digest_Sep21.pdf
- Page images: /workspace/emails/cboe-sep21-pages/page-1.png … page-6.png
Memo date: Monday, September 21, 2026 (America/Toronto)
Source type: Weekly Cboe cross-asset implied-vol / correlation monitor. Six pages: commentary + exhibits (p1), cross-asset IV vs RV and 10Y z-scores (p2), 1M correlation matrix and history (p3), macro equity vol table / VIX complex (p4), US index ATM / skew / term structure (p5), contacts & disclaimers (p6).
Product: Vol-regime map for allocation research. Not advice. This memo does not recommend a trade.
Prints: All IVs, percentiles, correlations, MOVE/VIX/OVX/VIXEQ/DSPX levels, and skew percentiles are source as of the digest. Live spots, live OIS/Fed path, live Brent/WTI, live VIX = External check needed. Do not treat as live.
Source discipline: Use only this digest as primary source. Chart levels that are not numerically labeled are flagged chart-read. No buy/sell. Do not silently import numbers from the Sep 14 or Aug 31 Cboe memos into this memo’s tables; those may be cited only as External / other desk companion for delta framing with explicit label.
Takeaway 1 — Post-Fed +25bps as expected; cross-asset IVs declined. Source (p1): Fed raised rates 25bps as expected; implied vols fell across asset classes. MOVE −1.5 nms to 80bps (86th percentile over the past year) even as nominal yields rose. OVX fell almost 9 pts wk/wk to 50% on easing Middle East tensions. VIX −1.0 to 14.8% (7th percentile low). Inference: event-week vol crush after a modal hike — not a fresh macro scare week. Conviction: High on the printed map; Low as a directional call.
Takeaway 2 — Headline: oil–US10Y 3M rolling correlation +65% = 35-year high. Source (p1, Exhibit 3): 3M rolling corr between US 10Y yield and WTI oil hit +65% — above COVID and 2011 Arab Spring highs; only slightly below the 66% First Gulf War 1990 record. Author’s attribution: if the pattern holds, where yields go from here will be less dependent on the Fed and more on the situation in Iran. Inference: rates path becomes an oil/Iran function in this regime — duration risk is geo-linked, not only policy-linked. Distinguish from p3 1M matrix Oil–10Y +58% (different window). Conviction: High on the printed extreme; Medium on the causal “if pattern holds” claim (author’s).
Takeaway 3 — Index vs single-stock split: VIX down, VIXEQ up; dispersion rising with yields. Source (p1): VIX −1.0; VIXEQ +~2 to 36%. VIXEQ−VIX spread widened 18.5% → 21.6% (43rd percentile 1Y). DSPX +2.6 from recent low as implied stock dispersion rose. Source link: higher bond yields historically catalyze dispersion via different rate sensitivities across stocks/sectors. Inference: post-Fed crush is index-led; single-stock / dispersion complex did the opposite. Conviction: High on printed divergence.
Takeaway 4 — SPX skew flattened; call skew richened. Source (p1): risk sentiment more constructive; skew flattened across major indices. SPX 1M skew (25-delta ratio) declined 58th → 29th percentile as investors sold hedges and rotated into calls. SPX 1M call skew (25d vs 50d ratio) rose to 78th percentile. Inference: opposite skew regime vs the prior week’s put-skew steepening (External / other desk companion Sep 14: put skew 36th→73rd — do not import that week’s ATM/table numbers here). Conviction: High on printed percentiles.
Takeaway 5 — 10Y z-scores: FX and IG cheapest (~−1 SD); gold richest (>+1 SD); oil also rich this year. Source (p1, Exhibit 1; p2 how-to): FX and credit vols screen cheapest cross-asset IV at ~1 SD below long-term average; gold >1 SD above; oil consistently rich this year. Exact numeric z-scores mostly unlabeled on charts → chart-read for precise levels. Inference: relative-value map favors researching cheap FX/IG vol vs rich gold/oil — hypotheses only, not tickets.
Takeaway 6 — Macro equity table: US index IVs at extreme low 1Y ranks; EFA/EWZ standouts; USO largest weekly decline. Source (p4): SPX 11.8 (−0.6, 2nd pctl); RTY 16.4 (−1.2, 3rd); QQQ 16.9 (−0.5, 4th). Biggest weekly movers (bar order): USO −8.4, EFA +5.1, GLD −2.1, EWZ +1.4, RTY −1.2, DAX +0.7. EWZ 42.0 / 98th / I–R 98th; EFA I–R +6.8 / 93rd; GLD I–R −3.7 / 34th (cheap vs realized). USO 46.0 / 51st, I–R only +1.8 / 41st after the OVX crush.
Takeaway 7 — Correlation regime: equity–rates persistently negative since Iran War; equity–oil near extreme negative; COR1M still sub-10. Source (p1, p3): overall equity correlations extremely muted (COR1M sub-10); cross-asset correlations more extreme. Matrix 1M: SPX–10Y −55%; SPX–Oil −47%; SPX–Gold +62%; SPX–CDX IG −73% / HY −72%; SPX–IBIG +53% / IBHY +49%. Inference: duration and gold still co-move with equity in the 1M window (wrong sign as equity diversifiers); CDX retains hedge sign; oil spike = risk-off equities and higher yields via the +65% 3M oil–rates link.
Takeaway 8 — Cross-asset IV/RV monitor: oil and gold still elevated vs year; equity/rates/IG near lows. Source (p2 panels; currents mostly unlabeled): Equity VIX near year lows ~14.8 (matches commentary). MOVE ~80 bps (matches). OVX ~50% after crush (matches). Gold: RV still above IV in places (matches GLD I–R −3.7). USDJPY IV/RV mid/high single digits to ~10% (chart-read). IG near bottom of 1Y range (chart-read ~20 bps).
Takeaway 9 — Why now / horizons. Days–week: whether post-Fed vol crush sticks; whether OVX holds near 50% or re-spikes on Iran/ME headlines; whether SPX skew stays ≤29th or re-steepens. Weeks–quarter: whether oil–10Y 3M corr holds near +65% / 35y high (yields path = oil/Iran more than Fed); whether VIXEQ−VIX stays ≥21.6% / DSPX holds the +2.6 bounce; whether FX/IG stay ~−1 SD cheap. Multi-quarter: whether Iran-war equity–rates negative corr and oil–rates positive regime become structural. Live spots/OIS/VIX = External check needed.
Takeaway 10 — Non-obvious angle. Market can have VIX at 7th pctl (14.8), SPX ATM at 2nd pctl (11.8), MOVE still at 86th pctl (80), OVX crushed to 50%, single-stock vol up (VIXEQ 36%, spread 21.6%), SPX put-side skew at 29th with call skew at 78th, and oil–rates 3M corr at a 35-year high (+65%) simultaneously. “Vol is dead” misses the rates-vol residual, the index/stock split, the call-skew richening, and the oil–yields regime that may dominate the Fed path.
Takeaway 11 — Delta vs prior week (External / other desk companion only). Sep 14 companion (FOMC-hedging week): VIX 15.8, OVX 59%, SPX ATM 12.4 / 11th, put skew 73rd, VIXEQ−VIX ~17%, oil–10Y 1M matrix +76%, hike odds 90%. This week (source only for tables): VIX 14.8 / 7th, OVX 50% (−~9), SPX 11.8 / 2nd, skew 29th, call skew 78th, VIXEQ−VIX 21.6%, 3M oil–10Y +65% (35y high). Direction of delta: event crush + skew flip put→call + dispersion widen + oil vol giveback. Do not paste Sep 14 table cells into this memo’s source tables.
Takeaway 12 — Conviction. High in the Cboe map (MOVE/VIX/OVX/VIXEQ/DSPX prints, skew percentiles, p4 table, p3 matrix, +65% / 35y oil–rates claim). Medium in the causal chain (yields less Fed-dependent if oil–rates pattern holds; higher yields → dispersion via rate sensitivity) — author’s attribution. Low as a directional vol, rates, or oil call. Hypotheses and watchlist only. No trade recommendation.
Takeaway 13 — Research product, not a ticket. Use for: (i) regime map (post-Fed crush vs residual MOVE/rich gold-oil); (ii) surface-shape (ATM floor + skew flatten + call skew 78th); (iii) micro residual (VIXEQ−VIX 21.6%, DSPX +2.6); (iv) portfolio construction when oil–rates corr is at a 35y high and equity–duration/gold signs are impaired. No buy/sell.
Page-ordered. Digest attribution unless labeled chart-read or inference.
Intra-equity (source matrix). SPX–RTY 80%; SPX–SX5E 44%; RTY–SX5E 45%; SPX–NKY −24%; RTY–NKY −35%; SX5E–NKY −11%; SPX–MXEF −8%; RTY–MXEF −7%; SX5E–MXEF −1%; NKY–MXEF 76%.
Equity vs cash-bond futures (source). SPX–IBIG 53%, RTY–IBIG 68%, SX5E–IBIG 39%, NKY–IBIG −36%, MXEF–IBIG −29%. SPX–IBHY 49%, RTY–IBHY 70%, SX5E–IBHY 31%, NKY–IBHY −51%, MXEF–IBHY −29%. IBIG–IBHY 83%.
Equity vs CDX (source). SPX–CDX IG −73%, RTY −67%, SX5E −63%, NKY +7%, MXEF −4%. SPX–CDX HY −72%, RTY −67%, SX5E −61%, NKY +8%, MXEF 0%. CDX IG–HY 98%. IBIG–CDX IG −75%; IBHY–CDX IG −58%; IBIG–CDX HY −75%; IBHY–CDX HY −57%.
Equity vs Treasury yields (source). SPX–10Y −55%, RTY −59%, SX5E −49%, NKY +25%, MXEF +23%. SPX–30Y −52%, RTY −56%, SX5E −55%, NKY +23%, MXEF +30%. 10Y–30Y 96%. IBIG–10Y −93%, IBHY–10Y −65%. CDX IG–10Y +81%, CDX HY–10Y +81%. CDX IG–30Y +76%, CDX HY–30Y +78%. IBIG–30Y −88%, IBHY–30Y −58%.
Commodities (source). SPX–Oil −47%, RTY −49%, SX5E −53%, NKY −3%, MXEF −8%. SPX–Gold +62%, RTY +59%, SX5E +5%, NKY −15%, MXEF +1%. SPX–Copper +39%, RTY +39%, SX5E +33%. Oil–Gold −34%; Oil–Copper −53%; Gold–Copper +54%. Oil–10Y +58%, Oil–30Y +67%, Oil–CDX IG +67%, Oil–CDX HY +68%. Oil–IBIG −53%, Oil–IBHY −39%.
FX (source). SPX–EURUSD +40%, RTY +32%, SX5E −24%. SPX–USDJPY −64%, RTY −55%, SX5E −22%, NKY +53%, MXEF +24%. SPX–GBPUSD +30%, RTY +20%, SX5E −25%. EURUSD–GBPUSD 83%; EURUSD–USDJPY −58%; GBPUSD–USDJPY −42%. Gold–EURUSD +63%, Gold–GBPUSD +54%, Gold–USDJPY −51%. Oil–EURUSD +14%, Oil–USDJPY +10%, Oil–GBPUSD −2%.
History charts (current ≈ matrix unless noted). Equity–rates (SPX vs 10Y): persistently negative; current ~−55% (matches matrix); commentary: negative since Iran War onset. Equity–corp bond: SPX/IG and RTY/HY positive mid-pack (~+50–70%). Equity–oil: deeply negative since early 2026; current ~−47%. Equity–gold: elevated positive ~+62%. SX5E–EURUSD: volatile; recent chart-read near modest positive (matrix cell SX5E–EURUSD −24% — use matrix as numeric anchor). NKY–USDJPY: recently firmer; matrix +53%.
Window note (source discipline). Commentary’s 3M oil–US10Y corr +65% (Exhibit 3 / 35y high) ≠ p3 1M matrix Oil–10Y +58%. Both are source; different horizons.
| Ticker | 1M IV | Wkly chg | 1Y pctl | 1M RV | I–R spread | I–R 1Y pctl |
|---|---|---|---|---|---|---|
| SPX | 11.8 | −0.6 | 2 | 9.6 | 2.1 | 46 |
| RTY | 16.4 | −1.2 | 3 | 11.7 | 4.7 | 66 |
| QQQ | 16.9 | −0.5 | 4 | 13.8 | 3.1 | 54 |
| Ticker | 1M IV | Wkly chg | 1Y pctl | 1M RV | I–R spread | I–R 1Y pctl |
|---|---|---|---|---|---|---|
| SX5E | 15.5 | +0.7 | 57 | 13.6 | 1.9 | 72 |
| DAX | 15.8 | +0.7 | 61 | 13.5 | 2.2 | 73 |
| EEM | 22.1 | +0.4 | 47 | 20.0 | 2.1 | 70 |
| EFA | 18.1 | +5.1 | 69 | 11.3 | 6.8 | 93 |
| EWZ | 42.0 | +1.4 | 98 | 22.4 | 19.6 | 98 |
| FXI | 19.9 | +0.3 | 16 | 16.1 | 3.8 | 62 |
| Ticker | 1M IV | Wkly chg | 1Y pctl | 1M RV | I–R spread | I–R 1Y pctl |
|---|---|---|---|---|---|---|
| USO | 46.0 | −8.4 | 51 | 44.1 | 1.8 | 41 |
| GLD | 20.6 | −2.1 | 14 | 24.3 | −3.7 | 34 |
| TLT | 11.0 | +0.4 | 67 | 9.4 | 1.6 | 71 |
| IEF | 5.8 | −0.3 | 77 | 5.6 | 0.3 | 40 |
| LQD | 6.1 | −0.6 | 58 | 6.6 | −0.5 | 21 |
| HYG | 3.8 | −0.1 | 48 | 4.4 | −0.6 | 28 |
Scatter / movers / ranges (source). Cheap (RV>IV): GLD (I–R −3.7). Rich (IV>>RV): EWZ (I–R +19.6 / 98th); EFA rich I–R (+6.8 / 93rd). Biggest weekly movers (bar chart order, verified): USO −8.4, EFA +5.1, GLD −2.1, EWZ +1.4, RTY −1.2, DAX +0.7. 1Y IV ranges: SPX/RTY/QQQ/FXI near bottom; EWZ near top.
VIX complex (source charts; currents mostly unlabeled). VIX ~14.8 (commentary). VVIX chart-read ~80–90 (lower end of year). UX2–UX1 chart-read slightly above average (~+1.0 to +1.5 avg line) — contango. Spot-vol betas chart-read: VVIX/VIX toward ~4.0; SPX/VIX toward ~−1.5 recently (reverse axis). Not labeled — do not invent; External check needed for live betas. VIX IV vs RV panel: realized spikes historically much larger than implied (y-scale 0–250%).
Primary = source. Second/third = inference unless tagged.
Chain 1 — Modal Fed hike delivered; index vol crushed; rates vol residual and oil–rates regime remain the macro spine.
[Primary] Fed +25bps as expected; VIX 14.8 / 7th (−1.0); SPX ATM 11.8 / 2nd; MOVE 80 / 86th (−1.5) even as nominal yields up; oil–US10Y 3M corr +65% / 35y high; author: yields less Fed-dependent, more Iran (source).
→ [Second] Event-week equity-vol supply met modal outcome; the binding macro uncertainty migrated toward oil/Iran-linked yields rather than the hike binary.
→ [Third] If oil–rates corr holds near extremes, a ME de-escalation softens both oil vol and yields (constructive for duration+equity), while escalation lifts yields with oil and pressures equities (SPX–Oil −47%, SPX–10Y −55%) — classic 60/40 fails.
→ [Relevance] Watch 3M oil–10Y vs +65%; MOVE vs 86th/80; OVX vs 50%; VIX vs 14.8/7th. Hypothesis, not a trade.
Chain 2 — Index vol down, single-stock vol up; dispersion rising with yields.
[Primary] VIX −1.0; VIXEQ +~2 to 36%; spread 18.5→21.6% (43rd); DSPX +2.6; higher yields historically raise dispersion (source).
→ [Second] Post-Fed “vol crush” is incomplete — crushed index, not micro. COR1M sub-10 + rising VIXEQ = low beta corr with higher idiosyncratic.
→ [Third] Further yield backups could extend DSPX/VIXEQ−VIX; yield reverses could compress dispersion again. Tech idiosyncratic shock would widen QQQ–SPX and VIXEQ without necessarily lifting SPX skew (currently 29th).
→ [Relevance] VIXEQ−VIX vs 21.6%/43rd; DSPX vs +2.6 bounce; COR1M sub-10 hold; QQQ–SPX ~5.1. Hypothesis, not a trade.
Chain 3 — Skew flattened / call skew richened after prior week’s put-hedge bid.
[Primary] SPX 1M skew 58th→29th; call skew to 78th; investors sold hedges, rotated into calls; p5 cross-section lower vs 1w ago (source).
→ [Second] Risk sentiment constructive in shape even as absolute ATM sits at 2nd pctl — market paying for upside relative to downside vs last week.
→ [Third] Iran/oil shock → put skew can re-steepen quickly from 29th (path of prior week External companion); continued ease → call skew 78th may mean-revert while ATM stays low. Absolute vol at 1Y-range floor (p5) means shape can move a lot without ATM leaving extreme cheap ranks.
→ [Relevance] Skew vs 29th; call skew vs 78th; SPX 1M vs 11.8/2nd. Hypothesis, not a trade.
Chain 4 — Oil vol crushed on easing ME tensions; oil–rates corr still at 35y high.
[Primary] OVX −~9 to 50%; USO −8.4 to 46.0; I–R only 41st; 3M oil–10Y +65% still 35y high (source).
→ [Second] Spot-vol of oil can fall while correlation of oil with yields stays extreme — different objects. Vol crush ≠ regime break.
→ [Third] Re-escalation: OVX/USO re-gap from mid-pack percentiles while oil–rates corr may already be “pre-linked,” transmitting faster into MOVE/IEF. De-escalation: OVX stays ~50 while corr mean-reverts from +65% — yields re-anchor to Fed.
→ [Relevance] OVX vs 50%; USO 46.0/−8.4/51st; 3M corr vs +65%/66% record; 1M matrix Oil–10Y vs +58%. Hypothesis, not a trade.
Chain 5 — Cross-asset RV: FX/IG cheapest; gold/oil richest; gold cheap vs its own realized.
[Primary] FX/credit ~−1 SD cheap; gold >+1 SD rich; oil rich this year; GLD I–R −3.7 / 34th; LQD I–R 21st (source).
→ [Second] “Rich gold vol” on 10Y z-score can coexist with “cheap gold vs trailing RV” — level vs VRP distinction.
→ [Third] If gold–SPX stays +62%, gold’s equity-diversifier job remains impaired even if z-score mean-reverts; FX/IG cheapness is the cross-asset vol research sleeve with least printed richness.
→ [Relevance] Gold z-score >+1; GLD 20.6/14th / I–R −3.7; LQD/HYG I–R pctls; SPX–gold +62%. Hypothesis, not a trade.
Horizon: days–2 weeks (post-Fed residual / ME headlines); 1–2 months (oil–rates corr persistence; dispersion); 1–2 quarters (Iran-war corr regime stickiness). Probabilities qualitative. Live spots/OIS/VIX = External check needed.
Probability: Medium-High as digest-implied continuation (not a forecast).
Assumptions: No severe ME re-escalation; Fed path roughly as priced post +25bps; VIX holds low-teens / low percentiles; OVX plateaus near ~50% without reclaiming prior week’s 59% (External companion level — labeled only); VIXEQ−VIX near 21.6%; oil–10Y 3M corr stays high-decile vs history even if off the exact +65% print.
Vol path: SPX ATM stays low-teens / bottom-decile 1Y; skew oscillates mid/low (near 29th) with call skew elevated but mean-reverting from 78th; MOVE softens slowly off 86th but stays above summer lows; DSPX holds bounce.
Winners as exposures (not recs): dispersion / single-stock vol research; FX/IG vol relative-value research; rates-vol as oil/Iran expression.
Losers as exposures: treating “VIX 7th pctl” as all-clear for oil–yields risk; gold-as-equity-hedge at +62% corr; 60/40 if oil–rates link holds.
Leading indicators: 3M oil–10Y vs +65%; MOVE vs 80/86th; OVX vs 50%; VIXEQ−VIX vs 21.6%; SPX skew vs 29th.
Probability: Low-Medium.
Assumptions: Sustained ME de-escalation; oil–10Y 3M corr falls materially from +65% toward mid-cycle; MOVE leaves 86th down; gold z-score mean-reverts from >+1; VIXEQ−VIX bleeds toward prior week’s ~18.5% or lower; call skew leaves 78th without put re-steepening.
Vol path: VIX softens further / stays ≤7th–15th pctl; OVX/USO give back more; US index IVs stay at 1Y-range floors; Europe I–R (SX5E/DAX/EFA) normalizes from elevated percentiles.
Winners as exposures: duration and equities if SPX–IBIG corr falls from +53%; credit; structured vol supply into low ATM.
Losers as exposures: long MOVE / long oil vol / long gold vol richness; EWZ 98th/98th idiosyncratic long-vol.
Leading indicators: oil–10Y 3M corr down from +65%; OVX stable/down from 50%; MOVE down from 86th; SPX–Oil less inverse than −47%; SPX–IBIG toward 0; SPX–gold toward 0.
Probability: Medium as left-tail; Low-Medium as base path. Trigger in-file: Iran/oil situation (author’s yields-path linchpin) plus already-extreme oil–rates corr.
Assumptions: ME escalation reprices oil tails; OVX gaps from 50%; oil–10Y corr stays ≥+60% or rises toward 66% record; equity–oil stays deeply negative; SPX skew re-steepens from 29th; MOVE holds/rises from 86th.
Vol path: SPX ATM leaves 2nd pctl; VIX leaves 7th; put skew back through mid/high percentiles; UX2–UX1 compresses; USO I–R rises from 41st; VVIX lifts from ~80–90 chart-read.
Winners as exposures: 1M SPX put convexity; oil vol; MOVE; CDX (−73% vs SPX).
Losers as exposures: short-dated ATM shorts that treated 2nd/7th pctls as permanent; 60/40; gold-as-equity-diversifier (+62%); HY cash if growth shock (RTY–IBHY +70%).
Leading indicators: OVX through 50% toward prior 59%+; 3M oil–10Y holding ~65% or rising; SPX 1M leaving 11.8/2nd; skew leaving 29th up; MOVE stuck ≥86th; DSPX/VIXEQ−VIX behavior under stress.
No ratings. No buy/sell. Metrics = digest pivots unless flagged.
Thesis risks
- Wrong “vol is dead” read. VIX 7th / SPX 2nd coexist with MOVE 86th, oil–rates 35y high, VIXEQ 36%, call skew 78th. Index ATM crush ≠ macro or micro all-clear.
- Wrong oil read. OVX 50% after −9 on easing tensions ≠ oil–rates regime break (+65% 3M still extreme). Vol and correlation are different objects.
- Wrong diversifier. Duration/gold as equity hedges contradict SPX–IBIG +53% and SPX–gold +62%. CDX has the right sign; oil links yields and equities adversely when corr stays high.
- Wrong Fed-dependence. Author’s claim (yields less Fed-dependent if pattern holds) is inference-grade source attribution, not a proven structural law — flag as hypothesis.
- Mixing series / windows. VIX ≠ SPX ATM ≠ OVX ≠ MOVE (bps). 3M oil–10Y +65% ≠ 1M matrix +58%. p1 “25-delta ratio” skew percentile ≠ p1 “25d/50d call skew” ≠ unlabeled p5 ratio levels.
- Mixing weeks. Do not paste Sep 14 / Aug 31 numbers into source tables; companions only with External / other desk label.
Timing risks
- Digest is Mon 21 Sep 2026 snapshot of prior week; ME/Iran headlines can invalidate OVX 50% and “easing tensions” within days.
- Post-Fed vol crush can reverse if path communication surprises (External check needed for live forwards).
- Oil–rates corr at extremes can mean-revert violently; 35y high is a level, not a forecast of persistence.
Execution / data risks
- Chart-reads (z-scores exact, VVIX, UX2–UX1, p5 skew ratios, betas, USDJPY ~8–10%, DSPX absolute level, SX5E–EURUSD chart vs matrix) can be off by a point+.
- 1Y percentiles include Mar–Apr 2026 oil/vol spike; “2nd/7th pctl” is cheap vs this year. 10Y z-scores (VIX nearer ~0 chart-read) are the cross-check.
- Cboe window/IV definition required for replication.
- Gmail msg id 1a0c444304c89905 is provenance only — not a live re-pull in this memo.
External / regime risks
- Iran/oil situation is Chain 1/4 Bear linchpin — author’s own yields-path claim.
- Corr regime can flip fast (history charts on p3 span wide ranges inside a year).
- Index/stock split can reverse on one macro shock (VIXEQ−VIX compresses as index vol gaps) or one mega-cap idiosyncratic (dispersion extends).
- Snapshot Mon 21 Sep 2026, not a 4Q outlook or Cboe forecast. Cboe disclaimer: sophisticated participants only; losses can exceed deposits. This memo does not recommend transacting in those products.
| Item | Page | Estimate | Status |
|---|---|---|---|
| Exhibit 1 gold / oil / VIX / MOVE / FX / IG 10Y z-scores | p1/p2 | gold >+1 (off ~+7 peak); oil elevated ~+1; VIX/MOVE ~0; FX/IG ~−1 | Narrative ~−1 / >+1 are source; exact chart levels unlabeled |
| Exhibit 2 DSPX path | p1 | peak ~47 → low ~30 → bounce toward ~33–35 | +2.6 pts is source; absolute level unlabeled |
| Exhibit 3 oil–10Y history | p1 | spike to +65% near 1990 ~66% dotted extreme | +65% / 66% / 35y are source |
| MOVE / VIXIG / USDJPY / OVX on IV/RV panels | p2 | ~80 bps / ~20 bps / ~8–10% / ~50% | MOVE 80 & OVX 50% match commentary; others unlabeled |
| VVIX | p4 | ~80–90 | Unlabeled |
| UX2–UX1 | p4 | slightly above avg (~+1.0–+1.5 avg line) | Unlabeled |
| VVIX/VIX and SPX/VIX spot-vol betas | p4 | ~4.0 / ~−1.5 recent | Unlabeled |
| p5 SPX/RTY/QQQ 25d skew ratios | p5 | ~1.4 / ~1.3 / mid | Unlabeled (29th & 78th pctls are source) |
| p5 1Y–1M term spreads | p5 | ~4–6% cluster contango | Unlabeled; no printed percentile this week |
| QQQ–SPX / RTY–SPX | p5 | ~5% / ~4.5–5% | Consistent with table diffs 5.1 / 4.6 |
| SX5E–EURUSD history chart vs matrix | p3 | chart-read may show modest positive recently | Use matrix −24% as numeric anchor |
Desk copy. Source-disciplined. Not a trade recommendation. Memo date: Monday 21 September 2026 (America/Toronto). Do not publish to here.now. Do not email.
Desk copy · not a trade recommendation · Erica · 21 Sep 2026