Cross Asset Hedging: Hedges cheapen despite ongoing risks

Research evidence excerpt

Cross Asset Hedging: Hedges cheapen despite ongoing risks

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Cross Asset Hedging

Hedges cheapen despite ongoing risks

Asset Allocation

Defying geopolitics & macro, x-asset vols edge lower 11 June 2026

Cross-asset volatility has continued to retrace over the past month, extending the Asset Allocation

normalization seen since the March spike. Despite lingering geopolitical uncertainty, Global

implied volatilities declined or stabilized across most asset classes (except commodities,

notably), leading to further compression in tail-hedging costs. Our aggregate Vittoria Volta >>

Equity-Linked Analyst

cost-vs-benefit metric has now fallen to the 36th %-ile, down from the 43rd %-ile last BofASE (France)

month (Exhibit 2). The move has been broad-based but remains most pronounced in +33 1 8770 0703

vittoria.volta@bofa.com

Credit and FX, where implied vols now sit in the 17th and 7th percentiles, respectively. As

Benjamin Bowler

a result, tail hedging in credit stands out as particularly attractive. Indeed, payers on CDX Equity-Linked Analyst

IG and iTraxx Main screen among the cheapest in our cross-asset framework after the BofAS +1 415 676 3595

sharp pullback in payer vols over the month (Exhibit 3). benjamin.bowler@bofa.com

Abhinandan Deb >>

Equity-Linked AnalystFX and Credit hedges remain the most attractive MLI (UK)

Besides Credit, FX hedges continue to screen as the cheapest in our universe, with +44 20 7995 7148

tail-hedging costs now at the 7th percentile, reflecting the sustained compression in abhinandan.deb@bofa.com

implied vol which is now down to its 11th percentile since 2007 (Exhibit 24). Within G10, See Team Page for List of Analysts

CADUSD puts remain the most attractive hedge, closely followed by EURUSD puts.