CBOE: "Despite the large equity rally last week, demand for optionality actually increased, with $SPX fixed strike vols rising meaningfully, helping to explain why the decline in the $VIX Index was much smaller than expected ( -1.1 pts vs. -2.8 pts expected given SPX Index +3.5%). SPX skew (25-delta ratio) collapsed to a 1-year low across tenors (1M through 1Y) as investors sold out of hedges and rotated into upside calls to chase the rally. SPX 1M skew fell to its lowest levels since mid-2024. Interestingly, deep OTM puts still saw a bid, with SPX 1M put convexity (10-delta vs. 25-delta put ratio) remaining in the 66th percentile high over the past 5 years. Among the major US indices, the Russell 2000 Index saw the biggest decline in volatility last week, with $RTY 1M implied vol down 1.8 pts to 16.9% (2nd percentile low). The RTY-SPX 1M implied volatility spread narrowed to a new 1-year low of 4% as small caps continued its steady upward climb (now +22% YTD vs. SPX Index +13%). Term structure steepened across the board, with SPX 1Y-1M vol spread widening from 5.4% to 5.9% (86th percentile high)."