Derivatives Market Overview
April 2026
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Funding Markets
Equity index financing costs increased month over month with the broad market rally, while fixed-income financing levels remained stable in the one-year tenor. One-year funding levels continue to trade below the median of the prior two years across equity and fixed income markets. The equity funding term structure re-steepened in April, driven by moves higher one year and out.
Cash-and-carry strategies seek to earn a positive financing spread after adjusting for carrying costs. The strategy buys a near-dated futures contract (e.g., May 2026) with the intent of taking delivery of the physical asset and sells a far-dated futures contract. The financing levels in the table account for the storage costs associated with taking physical delivery of gold.
Volatility Markets
The S&P 500 (SPX) surged over 10% in April, staging a decisive recovery from the March sell-off amid inconclusive ceasefire developments and constructive corporate earnings. SPX implied volatilities shifted lower across most of the surface, with the notable exception of upside strikes, driven by demand for upside calls. Interestingly, 30-day realized volatility was largely unchanged month over month, a testament to the velocity of the move higher, which narrowed the implied/realized volatility spread observed in March. The VIX futures curve reverted to an upward-sloping term structure, driven by the sharp decline in front-end implied volatility. The VIX curve ended the month lower than pre-conflict levels, a notable development given the continued geopolitical uncertainty.
While U.S. equities, credit and rates implied volatility moved in lockstep with crude oil volatility in March, that relationship broke down in April. While most cross-asset implied volatilities largely retraced to pre-Iran conflict levels, crude oil (USO) was an outlier, which remained 25% higher versus its February close. The reversal was striking for both its magnitude and speed, given that the primary catalyst for the volatility spike, the Iran conflict, remains unresolved.
What Stands Out
The NASDAQ-100 Index (NDX) delivered a 15.35% return in April, marking its strongest monthly performance since October 2002, driven by renewed conviction in artificial intelligence and semiconductors. Notable outperformers included Intel (+114%), Advanced Micro Devices (+74%), and SanDisk (+72%).
Consistent with the SPX, NDX realized volatility remained elevated throughout April. 30-day realized volatility closed the month at 21.7% (85th percentile on a one-year lookback), which equates to a 1.37% move per day over the trailing 30 days. Even with the elevated realized volatility, the volatility risk premium was positive for April as volatility realized below the March 31 implied level of 24.9%. While the May volatility risk premium is not yet observable, it is worth noting that implied volatility retreated from its one-year high observed in March and closed April in the 55th percentile.
[1] Please refer to the glossary for more information.
Data as of April 30, 2026. Sources: Bloomberg Index Services Ltd., Bloomberg, iVolatility, dealer indications, NISA calculations.
Glossary
What is the MOVE Index? The ICE BofA MOVE Index measures U.S. bond market volatility by tracking a basket of OTC options on U.S. interest rate swaps. The index tracks implied normal yield volatility of a yield curve weighted basket of at-the-money one-month options on the 2Y, 5Y, 10Y and 30Y constant maturity interest rate swaps. The index value is equal to the average of the implied normal yield volatility of the four options, where the 10Y option is given a 40% weight and the other components each hold a 20% weight.
What is the VIX Index? The VIX Index is a calculation designed to produce a measure of constant 30-day expected volatility of the U.S. stock market derived from mid-quote prices of the S&P500 Index call and put options.
What is a 3Mx10Y USD Swaption? A swaption is the option to enter into an interest rate swap. The 3Mx10Y USD Swaption is a 3-month option giving the purchaser the right to enter into a 10-year interest rate swap.
This overview is for informational purposes only. The information has been obtained from sources considered to be reliable, but the accuracy and completeness are not guaranteed. There is no assurance that any economic trends mentioned will continue or that any forecasts will occur. Economic data are as of the dates noted.
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