Macro & Volatility™ #8: Skew & OATs, which one is "Out of Touch?"

Macro & Volatility™ by Josh Silva and Michael Purves

Episode notes

Josh and Michael discuss how FX volatility is not reflecting the same political concerns as French bonds, skew as a better indicator of risk than volatility in FX and how the VIX is low but the IV-RV spread is high in the US.

Keywords
VIXimplied volatilityEuropean bondsFX skew