Cross-Asset Volatility Snapshot (10-year look back) Who’s ready to learn something?! 📚 First, how to read the chart: 👇 The attached chart (from CBOE) shows how various asset class implied volatilities are trading relative to their own history, using a 10-year lookback. The volatilities are ranked by z-scores, which compares the current volatility level for an asset versus its own 10-year history. A z-score of +2, for example, would mean that the current volatility level is trading 2 standard deviations above its long-term average (i.e. rich) while a z-score of -2 would mean it's trading 2 standard deviations below average (i.e. cheap) Because each asset class volatility trades at different levels and often defined differently (e.g. lognormal vs. normal vol, price vs. bps vol), by standardizing using z-scores, we're able to compare different asset class volatilities on the same scale - and see at a glance if there are any divergences or dislocations in the cross-asset volatility markets. The odd man out? Investment Grade Bond Vol & FX Vol. (For now!) FWIW, while my private community already knows this, keep your eye on bond volatility! As my 7th Key members know, it is the 🔑 (pun intended) Source: CBOE