• Level: 137.79 | MoM Change: +27.77
• 2026 YTD Min / Median / Max: 74.92 / 113.83 / 171.50
• Percentile rank YTD: 78th percentile (Level)
• Context: A quiet start to the month gave way to a persistent, unyielding bid for protection across the interest rate curve, reflecting a repricing of near-term rate uncertainty.

In the first 10 days of the month, WTI Crude Oil CVOL (CLVL) rose from the mid-40s to nearly 65, which coincided with the front month WTI contract trading over $100. The options market sought coverage, but the acute concern didn't last. The rest of September saw WTI volatility steadily decay, though it settled in the mid-50s, establishing a higher baseline of uncertainty compared to the start of the month.

While the energy market was digesting its early-month move, a different dynamic took hold in fixed income.

The 2-Year Treasury CVOL (TUVY) and 1-Year Midcurve SOFR CVOL (S1VL) started the month quietly and simply began to climb, especially after the FOMC meeting on September 16. It was a grinding accumulation of risk. Day after day, the market steadily bid up the price of uncertainty, pushing TUVY and S1VL to close the month at their highs.

This cross-asset divergence is the defining story of September, with the market pricing uncertainty of higher oil prices, active central banks and the specter of inflation. Two different mechanics of uncertainty played out side-by-side: a fading move in physical commodities, and a slow, structural repricing of risk in monetary policy.

When we look closely at the Rates complex, the uniformity of the climb is notable. In previous months, we routinely saw the front end of the curve (2-Yr Treasuries, SOFR) detach from the long end (30-Yr Treasuries). In September, that divergence vanished. The 2-Year Treasury, the 30-Year Treasury, and the SOFR 1-Year Midcurve all moved in lockstep. They all started September at their relative lows, and they all marched uniformly to close at their highs, suggesting the market is pricing in uncertainty across the entire duration spectrum.

What surprised me this month was a hidden rotation inside the CVOL skew data.

The Skew Ratio (Up Variance / Down Variance) indicates which tail the market is pricing higher. In early September, as the WTI CVOL index rose, the Skew Ratio increased to nearly 1.45, reflecting a premium for upside call protection. But as the month progressed and overall WTI CVOL decayed, the skew ratio reverted toward 1.15. The market's directional bias faded.

Meanwhile, the Treasury and SOFR skews remained remarkably stable throughout their upward march. The overall level of rate volatility was rising all month, but the nature of that fear rotated late in September toward a specific concern about yields breaking higher, as evidenced by the late-month hook upward in the 2-Year Treasury skew ratio. 

Learn how to decode complex treasury market volatility with CVOL here.

Every month, I break down one mechanic of the CVOL index. This month: the Skew Ratio.

Total volatility indicates the magnitude of expected moves, while Skew indicates the directional bias.

Within the CVOL framework, total variance is calculated by summing the prices of out-of-the-money calls (Up Variance) and out-of-the-money puts (Down Variance). The Skew Ratio simply divides the Up Variance by the Down Variance.

A ratio above 1.0 indicates a premium for upside variance relative to downside variance. Tracking the Skew Ratio alongside the headline CVOL index allows you to see not just how much uncertainty exists, but in which direction the market expects the most risk. A rising CVOL paired with a rising Skew Ratio paints a very different picture than a rising CVOL paired with a falling Skew Ratio.