Markets Edition: VAR: Volatility Also Rises
KEY TAKEAWAYS
- Citi's latest Research @ Citi Markets Edition podcast discusses rising rates and risky assets highlighting the MOVE index as a more predictive indicator of Treasury volatility than 10-year yields
- The podcast emphasizes that while volatility spikes are typically short-lived the recent "buyer strike" in Treasurys and the back end's independent movement raise risks for equities
- Future discussions will delve deeper into the Macro Strategy team's insights with upcoming episodes focusing on how central banks' hiking cycles impact market dynamics
Dirk Willer and Adam Pickett see increasing fixed-income volatility as raising the risk that equities and other risky assets will start to take rising rates more seriously. But they note that such volatility spikes tend to be short-lived.
This podcast contains thematic content and is not intended to be investment research. Nor does it constitute financial, economic, legal, tax or accounting advice. This podcast is provided for information purposes only and does not constitute an offer or solicitation to purchase or sell any financial instruments. The contents of this podcast are not based on your individual circumstances and should not be relied upon as an assessment of suitability for you of a particular product, security, or transaction. The information in this podcast is based on generally available information and, although obtained from sources believed by Citi to be reliable, its accuracy and completeness are not guaranteed. Past performance is not a guarantee or indication of future results. This podcast may not be copied or distributed, in whole or in part, without the express written consent of Citi. © 2026 Citigroup Global Markets Inc. Member SIPC. All rights reserved. Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout the world.
Dirk Willer, Managing Director and Global Head of Macro Strategy and Asset Allocation
Dirk Willer is a Managing Director and Global Head of Macro Strategy and Asset Allocation. In this role, Dirk develops broad macro themes, related asset allocation views as well as trade ideas across a wide range of asset classes and geographies. Dirk also directs the Quant Macro Team. Prior to that, Dirk was the Global Head of Emerging Market Fixed Income and FX Strategy. He joined the firm in 2005 as the head of LatAm Local Market Strategy. Previously, Dirk worked at Omega Advisors and RHG Capital as their global macro strategist and portfolio manager. Dirk and his team have been ranked as the first team in the Institutional Investor survey for LatAm local strategy and the first or second team for LatAm sovereign credit strategy since 2017, as well as first in CEEMEA and Asia local strategy in 2019. Dirk is the lead author of “Trading Fixed Income and FX in Emerging Markets”, published by Wiley in 2020. Dirk holds a PhD and MSc in Economics from the London School of Economics. He did his undergraduate work at the University of St. Gallen in Switzerland.
Adam Pickett, Head of Citi’s Global Macro Strategy team
Adam Pickett is a Head of Citi’s Global Macro Strategy team, based in London; he also works within the Asset Allocation group. Adam and team focus on broad macro themes, cross-asset class analysis, house FX forecasts, and global asset allocation. He offers trade ideas aimed at hedge funds, real money, and other macro-oriented investors. Specifically, he covers FX, fixed income, equity, credit, and commodity markets. Prior to joining the Global Macro Strategy team, Adam spearheaded Citi’s EMEA G10 FX Strategy effort, based in London, for four years, primarily focusing on generating alpha via leveraged trade ideas.
