Chris Waller gave the market plenty to think about when he discussed delaying rate cuts to later this year or the start of next year. He then gave a preview of Friday’s speech, mentioning that the neutral rate may be higher than previously thought.
Meanwhile, the VIX1D and the VIX 30-day were down yesterday, but I’d imagine if there was a VIX 2-Day, it would show that implied volatility was higher. Fixed strike volatility for thefor expiration on May 23 showed that IV was up across the curve and was skewed toward rising S&P 500 prices. This means that the IV rose more from the previous day for prices going higher than prices going lower.
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