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