The VIX Jumps, Shocking Record Put Volumes and Real Tail Risk
With the SVB risks, we see a shift higher in options tail risk pricing, but not a surge in open interest at a macro level.
KRE, the Regional Bank ETF, saw record put volume, and there is record VIX call open interest.
XLF and JPM did not see a major increase in put interest.
Looking forward, the risk is that put options gain sharply in size and value into a very large March options expiration.
SpotGamma’s Comprehensive Analysis on the Silicon Valley Bank Collapse Risk