Equity market volatility (VIX) has been surprisingly low in 2023 despite uncertainty about interest rates and geopolitics. Some attribute this to the rise of short-term “zero-days-to-expiry” (0DTE) options trading. However, a recent article by the BIS argues that 0DTE trading is unlikely to be the main cause for low VIX and provides an alternative explanation: […]
VIX
The Silicon Valley Bank Collapse and How the Options Market Reacted
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 […]
‘Call AAA’: Santa Claus Is Having Sleigh Troubles
Through an options market lens, the following text will add color to some recent market movements.
If These Bond ETF Levels Break, You Better Buckle Up
The following is a guest post courtesy of Michael Kramer of Mott Capital Management. There is instability in the bond market right now. In the face of a potential break, there may be a wave of volatility as market participants begin to price in changes to Fed monetary policy. Cracks are already showing as bond […]
Earnings Uncertainty Could Cause a Market Meltdown
The following is a guest post courtesy of Michael Kramer of Mott Capital Management. As uncertainty ticks higher in markets, volatility tends to follow. There is a tremendous amount of doubt building in the equity markets, especially regarding corporate earnings. With the market on the cusp of earnings season, volatility may see a massive spike. […]
A Volatility Crush Is Masking An Unhealthy Stock Market
The following is a guest post courtesy of Michael Kramer of Mott Capital Management. The S&P 500 finished the week ending September 24 up a mere 50 basis points, a tranquil week – on the surface. Volatility was fierce to start the week, a dynamic predicted by SpotGamma and shared with their subscribers last week. […]
Volatility In The Markets May Rise Dramatically As Jackson Hole Approaches
The following is a guest post courtesy of Michael Kramer of Mott Capital Management. Jay Powell will speak at next week’s Jackson Hole Economic Symposium. Some investors think it may be where he lays out the Fed’s path towards the tapering of asset purchases. Recent economic data suggests that inflation is running at levels that […]
Implied Volatility Reading in the SPX & VIX
Brent Kochuba, Founder of SpotGamma, joins Imran Lakha of Options-Insights to talk about the current volatility readings in the SPX and VIX. This covers both realized and implied volatility which are shifting ahead of a large options expiration.
Todays Option Vanna Rally
We’ve written about some of the major risk signals showing over the last several days/weeks, and those risks manifested in a 4-5% drawdown over the last few trading sessions. Todays bounce appears to be mainly off of the closing of short term put options trades (delta hedge unwind) along with a crush in implied volatility. […]
Nomura’s McElligott: ‘The VIX Is Broken — Again’
From Heisneberg: “From a Vol market perspective, the issue is that the VIX is broken — again,” Nomura’s Charlie McElligott said Monday, in one section of a sweeping note documenting recent dynamics and detailing what a trio of backtests might foretell for markets on the heels of last week’s somewhat deranged developments. It’s “all demand” […]
