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Nitin Saksena, Head of US Equity Derivative Research, BofA Securities

Alpha Exchange

CHAPTER

The Gap in Risk Perception Between Rates and Equity Markets

There's a really strong psychology and positioning aspect rather than fundamentals that's kind of separating the perspectives and risk between equities and many other markets today. I think no question from our perspective, where you see the gap most prominently between the optimism of equities and the stress and rates is in the vol space. If you're looking at implied vols, the move index of rate fall, that's only 20%, below its peak from COVID,. if you look at the VIX for US equity vol, it's 80% below that gap is big, top decile. And again, just a function of how much rates have been moving and how trapped the S&P has been in

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