Near-Term Optimism Vs. Longer-Term Caution In Index Options

Summary

• Implied volatilities fell across asset classes last week on the back of better-than-expected US payrolls data.
• The VIX index fell 1.8 pts last week, with the rally in the SPX index (+1.5%) accounting for 1.35 of the 1.8 pt decrease.
• Skew flattened for short-dated options last week as investors used calls to chase the rally.

ismagilov

Cross-Asset Volatility: Implied volatilities fell across asset classes last week on the back of better-than-expected US payrolls data, allaying concerns of a growth slowdown. Expectations of Fed easing have reduced significantly, with the OIS market now pricing just 1.7 total cuts