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Recent market dynamics show a collapse in $SPX premium post FOMC, leading to single-digit vol numbers and low short duration expiries. $SPX skew inverts to historic levels, indicating an unhedged market. S&P 500 has been twice as volatile to the upside as downside in the last month, per Goldman Sachs. Short duration implied volatility and option premiums plummeted after FOMC, resulting in single-digit at-the-money options in $SPX with an expected move of under 1% next week.
Even though the $VIX didn’t spike much more in the past two weeks it (and especially short duration premiums) did spike enough that the option selling out of the FOMC was quick and severe and could create a very gamma crowded, slow moving market as the new backdrop for the next… https://t.co/zttXKxMAXP
As mentioned in this morning’s video, short duration implied volatility and option premiums got destroyed after the FOMC. Next week’s at the money options in $SPX are single digit territory with an expected move next week of under 1%: https://t.co/3tHgl5wgA5 https://t.co/sf32ocekO9
On today’s Orbit, weekly expiry and the post FOMC premium crush. Is Very low short duration vol following option buying into this week the recipe for a very narrow range over the next week? Also, how that low $VIX affects individual option premiums in a stock like $AAPL. All that… https://t.co/6AKKkOIDPH