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The VIX, a key measure of market volatility, has shown significant changes in the lead-up to the upcoming US election on November 5th. Recently, the VIX dropped below 19, indicating a decrease in election-related risk. This marks a notable shift as the VIX had been elevated due to the election premium factored into the S&P 500 options. Additionally, the VIX call open interest is now at a two-year low. Market analysts suggest that the volatility expected around the election is diminishing, with some predicting a possible bounce from current levels of 17.5 to 18.1. The VIX was recorded at 19.34 and 19.11 on different days in October.
$VIX (with 18 days until the election) barely above 18 https://t.co/XF3NPhd7pF
$SPX Heisenberg's near term S&P500 outlook into Election and post Election. I will start off by asking, WHERE IS THE VOLATILITY in October?! Sure the VIX is elevated (well after today it's down to an 18 handle), but the SPX has been a one way street higher. And only higher.… https://t.co/LErvJZtDSv
A note on pre election IV's in the options market, clearly the event date being Nov 5th has IV in that week juiced but if expressing a directional view into Nov 1st it makes alot of that short dated premium quite cheap. For example $SPY Oct 31st IV at 14% and the Nov 8th options…