SPX 0DTE Straddle at $80 with 146% IV and 2% Expected Move Amid Heavy Options Flow on August 5, 2024

On August 5, 2024, the SPX 0DTE straddle was priced at $80, reflecting an implied volatility (IV) of 146%. The opening volatility for the SPX 0DTE options was around 100, with an expected move of approximately 2% for the day, indicating potential downside support at 5,000 and upside resistance at 5,250. By mid-afternoon, the IV had decreased to 70. Market participants noted heavy flow in SPX options, suggesting a significant implied and realized volatility spike that could lead to additional deleveraging from various trading strategies. Despite a recovery of about 100 SPX handles from the lows, the volatility on the NYSE remained high at 94%. Overall, the SPX options market displayed signs of instability, with a notable dominance of 0DTE call buying, particularly as traders capitalized on the morning lows, although there was a lack of conviction for movements beyond the current trading day.