• Level: 110.02 

• Month-over-month (MoM) change: -9.65 (-8.1%)

• 2026 year-to-date (YTD) min, median and max: 74.92, 113.33 and 171.50

• Percentile rank YTD: 42nd percentile (absolute level) and 78th percentile (velocity of move)

• Context: A slow start to the month was completely upended by sticky inflation data and a hawkish pivot at Jackson Hole, forcing a massive repricing of near-term rate uncertainty.

SOFR 1-year Mid-Curve CVOL (orange) plotted against WTI Crude Oil CVOL (blue). Notice the stark divergence late in the month: Energy panic subsided just as interest rate uncertainty moved higher around the Jackson Hole economic symposium.

If July was a story about the commodity markets pricing volatility upward, August was a masterclass in how quickly uncertainty can migrate across asset classes.

Entering the month, WTI Crude Oil CVOL registered a significant right-tail spike. However, as August progressed, the upward volatility pressure subsided. WTI futures drifted lower and energy volatility steadily receded, contrasting sharply July’s rapid increase.

But while the energy complex was relaxing, tension was quietly building in the interest rate markets, specifically at the short end of the curve.

For the first three weeks of August, SOFR 1-year Mid-Curve CVOL (S1VL) was choppy but largely directionless. Subsequently, a combination of two macroeconomic drivers impacted the market landscape. First, July inflation data printed stickier than anticipated, with headline CPI up 3.4% and PCE hanging at 3.7%. Then the new Fed Chair Kevin Warsh took the podium at the Jackson Hole Economic Symposium.

Warsh was unequivocally hawkish. He anchored the Fed to its 2% target, noted the concerning inflation prints and stated plainly that the committee still "has work to do."

The options market reacted instantly. FedWatch, which had been pricing in a roughly 35% chance of a September rate hike, rapidly repriced that probability to 66%. Correspondingly, S1VL surged higher.

This is what a sudden shift in policy regime looks like in real time. The market had grown comfortable with the idea that the tightening cycle was largely in the rearview mirror. When that assumption was challenged by sticky data and hawkish rhetoric, the scramble for protection in short-term rate options pushed the entire CVOL strip higher.

Heading into September, the divergence between a cooling commodity complex and a highly sensitive short-term rate market is the primary dynamic to watch.

A key development in August was the persistence of the Treasury curve divergence. In July, 2-Year Treasury CVOL (TUVY) decoupled from 30-Year CVOL (USVY) as front-end uncertainty spiked. While market consensus suggested this decoupling was short-term noise that would revert as the summer progressed, the trend instead became entrenched throughout August.

A key development in August was the persistence of the Treasury curve divergence. In July, 2-Year Treasury CVOL (TUVY) decoupled from 30-Year CVOL (USVY) as front-end uncertainty spiked. While market consensus suggested this decoupling was short-term noise that would revert as the summer progressed, the trend instead became entrenched throughout August.

Every month, I break down one mechanic of the CVOL index to explain how it works under the hood. This month, I look at variance versus ATM.

When market participants want to gauge fear, they often default to looking at at-the-money (ATM) implied volatility. However, ATM volatility only reflects what the market expects for the highest-probability, base-case scenario. It only looks at the belly of the distribution.

CVOL is built differently. It is a variance-based index, meaning it extracts pricing information from the entire strip of options, including deep out-of-the-money calls and puts. When a market undergoes a sudden regime change, like the hawkish repricing we just saw in SOFR, the demand for extreme tail protection bids up the wings of the options curve. A simple ATM read misses this panic entirely. CVOL captures it, which is why it provides a much truer picture of total market uncertainty.

August 2026 - Top movers and notable levels