With VIX at 15.0, VIX Cross-Asset Rank fell to 5% on Friday - the lowest since March 2022. This typically suggests that equity volatility Is too complacent versus other asset classes as it is very rare for VIX to be so low while other asset class risk premiums remain elevated. Since April 12, there have been 4 bearish factors at play - post-CPI excess sell flow, RMM sell-the-dip flow, start of the excess sell-the-rally flow and the V1X Cross-Asset Rank failing to 5%. There is also one on-watch, which is the pre-FOMC flow. The final pre-FOMC flow trend still needs to be observed on Monday and Tuesday, but for now, it is poised to show buy flow which would be a bearish signal.
- UBS Strategy
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