Cboe says oil-rates correlation reaches 35-year high as cross-asset signals intensify

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Oil-rates correlation hits high

Highlights

Cboe Global Markets reports the three-month correlation between U.S. 10-year yields and WTI oil prices jumped to 65% last week, a 35-year high.
VIX Index fell 1.0 point while VIXEQ Index rose nearly 2 points to 36%, widening their spread from 18.5% to 21.6%.
SPX one-month 25-delta skew dropped from the 58th to 29th percentile as investors rotated out of hedges and into calls, while call skew climbed to the 78th percentile.

Market signals shift across volatility and rates

As reported by Cboe, citing Cboe Global Markets, in its weekly market note for the week of 9/21/2026 the correlation between oil prices and interest rates has climbed to a 35-year high, highlighting a sharper connection between energy markets and bond yields.

The exchange operator says index volatility declines broadly over the past week, while single-stock volatility rises. It points to a divergence between the VIX Index and the VIXEQ Index, with the VIX falling by 1.0 point while the VIXEQ gains nearly 2 points to 36%, widening the spread between the two measures from 18.5% to 21.6%.

Cboe also says risk sentiment in the options market becomes more constructive as skew flattens across major indices. SPX one-month skew, measured by the 25-delta ratio, declines from the 58th percentile to the 29th percentile as investors sell hedges and rotate into calls, while SPX one-month call skew rises to the 78th percentile.

Higher oil-yield linkage raises macro sensitivity

The most notable cross-asset move is the jump in the three-month rolling correlation between the U.S. 10-year yield and WTI oil prices to 65% last week. Cboe says that level stands above readings seen during the depth of covid and the 2011 Arab Spring, and is only slightly below the 66% record reached at the onset of the First Gulf War in 1990.

The report suggests that if the pattern holds, the direction of yields from here may depend less on Federal Reserve policy and more on developments in Iran. That makes the energy market a more important driver for rates, with potential implications for sector dispersion in equities because different industries respond differently to higher bond yields.

In our earlier report on the global diesel shortage, we explained how conflicts involving Iran and Ukraine were disrupting refining and export flows, tightening supply and pushing diesel prices to record highs across Europe and the U.S. We noted that inventories were running well below normal levels despite high refinery utilization, raising the risk that elevated fuel costs could persist into 2027 and continue pressuring transport and other fuel-intensive industries.

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