Event Dime
Cross-Asset Volatilities Normalize as Geopolitical Risk Premia Dissipates
- When:
- June 15, 2026 ยท 4:00 AM
- Where:
- Cboe Global Markets
- Source:
- Cboe Global Markets
Implied volatilities declined across the board last week as the solidification of a US-Iranian peace agreement and the re-opening of the Strait of Hormuz dissipated geopolitical risk premia across the major asset classes. With oil prices falling to a 3-month low (though still at a 20% premium vs pre-War levels), risk sentiment and positioning in the oil markets have both normalized to pre-War levels with 1M oil volatility (OVX) falling 5pts to 54% (65th percentile) and 1M USO call implied volati