Brent Kochuba Says Friday’s Jobs Report Is the One That Matters — watch on tastylive.
Rates are grinding higher, many S&P 500 stock are well off recent highs, and the options market seems to price in minimal expected movement. Brent Kochuba, founder of SpotGamma, joined tastylive to to break down index put demand, same-day options flow, and why weekly volatility pricing shows almost no risk premium.
Weekly Volatility Pricing Minimal Risk Premium
The Friday weekly straddle for both the S&P and the Nasdaq sits near the bottom of its range, and those prices carry a hard floor. One-month realized volatility on the S&P runs at 11% and five-day realized volatility sits at just 8.7%. Add the usual three-and-a-half points and the VIX belongs near 14; currently, VIX is trading at 16. That leaves a thin premium: 16 prices approximately 1% daily moves while the index has been delivering 50 to 60 basis points per day.
Jobs, Not PCE, Carries the Event Vol
Nasdaq term structure is elevated across the next several sessions, with GDP, core PCE, ISM, Micron earnings and non-farm payrolls all landing inside the week. The event volatility priced into Friday’s jobs report outruns PCE by a clear margin, and the reason likely sits in the bond market. Oil and ten-year treasuries traded together for months, then that correlation began to loosen about a week ago and yields pushed higher with crude flat. Robust jobs data can lift rates again regardless of what oil does.
Index Put Demand Is the New Piece
Single-name flow has not changed. Traders keep selling puts in the mega caps, which leaves dealer hedging on the buy-the-dip side and helps hold the AI complex up. The index side has changed. One buyer spent $100 million of premium on QQQ 670 puts for March, a long-dated position that reads as a hedge rather than a trade to be flipped, alongside a smaller IWM 266 November put buyer near a million dollars. Brent reads the setup as stable until that demand spreads across the market, and rising put skew would mark the change.
Same-Day Flow Argues for Mean Reversion
HIRO, SpotGamma’s real-time delta measure, ran negative through the session as traders bought puts and sold calls, but almost all of that came from 0DTE options — roughly 85% of NDX options flow on a recent day, just off a record. Fixed-strike vols across longer expirations sat flat to slightly lower against the prior afternoon, so fewer traders paid up for protection at longer-dated strikes. Brent walked through 0DTE 1x3x2 spreads at the big condor strikes, taken for a small credit, as a tail bet on price pinning one of them.
The S&P Has a Diversification Problem
Since the August highs, IWM is down 8%, the Dow 6% and the equal-weighted RSP 5%, while the Nasdaq is up 2% and the S&P sits about 1.5% from all-time highs. More than 130 S&P constituents now trade inversely to the index, concentrated in energy, financials and other rate-sensitive names. Long exposure and short exposure no longer come from the same place: tech carries the upside, and the rate-sensitive end carries the downside.
We encourage traders to watch two things into the end of the week. First, whether longer-dated index put flow and fixed-strike vols lift together, which would turn same-day slippage into something stickier. Second, whether Micron’s implied move near 6.5%, against roughly 9% into last quarter’s report, proves too cheap for an event the AI complex leans on. SpotGamma’s risk-off pivot sits at 7,690, with 7,630 to 7,625 the area below it.
Watch the full segment on tastylive.
Brent Kochuba appears regularly on tastylive.
Brent Kochuba founded SpotGamma and contributes to tastylive. He was previously a portfolio manager at Seven North Capital Management, building options-based strategies, and a derivatives broker at Wolverine Execution, Credit Suisse and Bank of America.