SPY forward IV prices Jackson Hole as a non-event, but CTAs are stretched short Treasuries and SPX gamma flips near 7780 — an asymmetric setup into Friday.
volatility
NVDA Earnings: The Options Market May Be Underpricing This Move
NVDA reports Wednesday after the close with the options market pricing a 5.5% move — below its 7.4% average realized move over the last 12 quarters. Dealers are short gamma above $220, call skew sits at the 81st percentile, and a distorted term structure opens up a calendar spread setup.
The AI Trade Roars — But for How Long?
Last week, strong earnings pushed both the S&P 500 and Nasdaq to — once again — achieve all-time highs. Through the fast and furious AI-driven rally of the past 6 weeks, SPX has climbed 15% while NDX has surged 28%. The market’s pace of advance is well beyond historical norms, reflecting an exceptionally aggressive repositioning […]
Quiet Indices, Roaring Stocks: the Volatility Dispersion Trade
Robust Mag7 and semiconductor earnings have reinforced investor confidence in the AI trade, lifting the S&P 500 and Nasdaq to fresh highs. Index implied volatility (IV) — the options market’s expectation of future price movement — reset to its lowest level in three months. Despite the backdrop of the Iran conflict and heightened oil prices, […]
How next week’s earnings could drive volatility
Markets pushed to fresh all-time highs this week, driven by continued strength in AI stocks. One of the notable stores was SMH (the semiconductor ETF) which surged over 30% this month to cap 168% gain in the past year. While euphoric spirits have recently prevailed, next week brings an event-heavy calendar that might shift the […]
The Hidden Mechanics Behind Last Week’s Rally
The S&P 500 has bounced back to record highs, closing decisively above 7,100 after Friday’s 1.2% rally. That marks a 12% rise from March lows in just under three weeks. In that same timeframe, volatility expectations have seemingly collapsed: VIX is down 40% since March 31, dropping from >30 to below 18. Crude oil has […]
Vol Crush Lifts the S&P 500 — Will the Rally Last?
Following last week’s ceasefire announcement, the S&P 500 lifted 3% from roughly 6,550 to 6,800. On the surface, this rally looked like a meaningful shift toward risk-on sentiment as implied volatility collapsed rapidly across all expirations. Similarly, VIX plummeted below 20 for the first time in four weeks, marking one of its largest single-day declines ever. Yet […]
How One Key Level Drove Last Week’s Rally
The S&P 500 bounced back 2% last week after scraping against 6-month lows. Mixed headlines on the Iran conflict explained much of this tug-of-war, yet markets are still holding their breath. For many traders, the rally felt counterintuitive: How can equities rally so furiously if geopolitical uncertainties remain unresolved? When looking at Tuesday’s major bounce in […]
The New Volatility Regime
Over the past several weeks, we have consistently highlighted the market’s growing fragility. From the negative gamma “trapdoor” to the destabilizing impact of geopolitical shocks, the message has been clear: this is no longer a range-bound market. Last week confirmed those warnings, as the S&P 500 is down nearly 9% from all-time highs. On Thursday and Friday, traders […]
After OPEX: Market Loses Its Shock Absorber
The options market has just cleared one of the largest structural events of the quarter, as Friday’s OPEX saw nearly $1.4 trillion in delta notional expire for the S&P 500. Because significant positions have now rolled off from the March expiration, the market has lost an important stabilizing force just as macro pressures begin to build. […]