{"id":210844,"date":"2024-08-22T10:32:19","date_gmt":"2024-08-22T14:32:19","guid":{"rendered":"https:\/\/ibkrcampus.com\/campus\/?p=210844"},"modified":"2024-08-23T03:43:35","modified_gmt":"2024-08-23T07:43:35","slug":"volatility-normalizes-yet-caution-remains","status":"publish","type":"post","link":"https:\/\/www.interactivebrokers.com\/campus\/traders-insight\/securities\/options\/volatility-normalizes-yet-caution-remains\/","title":{"rendered":"Volatility Normalizes Yet Caution Remains"},"content":{"rendered":"\n

Weekly Market Commentary: August 19, 2024<\/strong><\/h2>\n\n\n\n

Cross-Asset Volatility<\/strong>: Cross-asset implied volatilities on the whole continued to normalize towards its lower pre-Yen-carry unwind levels on the back of better economic data. Most notable was the sharp wk\/wk reversion in USDJPY implied volatilities from its 98th\u00a0percentile highs at nearly 16% to 10.6% (53rd\u00a0percentile) as of Friday. NKY implied volatilities followed suit with the VNKY index declining from 45.3% to 26.5%. As a result, the 1M NKY-SPX\u00ae\u00a0volatility spread has tightened considerably and currently trades at just a 1 pt vol premium vs. seasonal historics. The only major asset to evidence higher implied volatility levels was gold (1M imp vols @ 18.0%, 99th\u00a0percentile) which has seen an increase in bids for downside puts as it broke all-time highs. Nonetheless, with spot gold at $2508, gold skew currently reflects a modest asymmetry to the upside with options traders pricing in ~5% chance that gold rallies 20% above $3000 by year-end vs a ~1% chance it falls -20% below $2000.<\/p>\n\n\n

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Equity Volatility<\/strong>: Within a span of two short weeks, the US equity markets appear to have made a full recovery from the aftermath of the Aug 5 Yen-carry unwind. Accordingly, we examine whether that shock has had any lasting implications upon the market\u2019s pricing of equity risk. To that end, we referenced the volatility market structure as of July 23, 2024 when the closing price of S&P-500 index was virtually identical to last Friday\u2019s close (5555.74 vs 5554.25).<\/p>\n\n\n\n

We find that although the nominal level of expected market risk between the two dates are also similar (VIX\u00ae Index at 14.72 vs 14.8) there are 2 significant differences post Aug 5. Whereas ATM SPX implied vols previously traded at a ~1 vol pt discount relative to 1-month exponentially weighted realized volatility (i.e., realized volatility weighted towards the most recent week\u2019s market action) which reflects the demand to harvest yield by selling <\/em>the implied volatility risk premium, SPX implied vols now trade at a +1 vol pt premium to realized volatility, indicating a net demand for market optionality by paying <\/em>the implied volatility risk premium. In a similar vein, current vol-of-vol also trades at a 17% premium vs. Jul 23 (VVIX Index = 103 vs 87), signaling heightened uncertainty in the vol regime. While VIX put demand surged in the immediate aftermath of the recent vol spike, with the put\/call ratio jumping to near a 1-year high, call demand has picked up in recent days as the VIX index has gone sub-15.<\/p>\n\n\n

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Skew<\/strong>: Skew flattened wk\/wk on the strength of the market rally. Interestingly, a comparison of skew positioning relative to Jul 23 shows similar demand for downside puts but a notable decline in the demand for upside calls resulting in a comparably steeper negative S&P skew gradient now vs then.<\/p>\n\n\n

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\u2014<\/p>\n\n\n\n

Originally Posted August 20, 2024 \u2013 Volatility Normalizes Yet Caution Remains<\/a><\/p>\n\n\n\n

Disclaimers:<\/strong><\/p>\n\n\n\n

\u2022 The information provided is for general education and information purposes only. No statement provided should be construed as a recommendation to buy or sell a security, future, financial instrument, investment fund, or other investment product (collectively, a \u201cfinancial product\u201d), or to provide investment advice.
\u2022 In particular, the inclusion of a security or other instrument within an index is not a recommendation to buy, sell, or hold that security or any other instrument, nor should it be considered investment advice.\u2022 Past performance of an index or financial product is not indicative of future results.<\/td><\/tr>
\u2022 The views expressed herein are those of the author and do not necessarily reflect the views of Cboe Global\u00a0Markets, Inc. or any of its affiliates.
\u2022 There are important risks associated with transacting in any of the Cboe Company products or any digital assets\u00a0discussed here. Before engaging in any transactions in those products or digital assets, it is important for market participants to carefully review the disclosures and disclaimers contained
at:\u00a0https:\/\/www.cboe.com\/us_disclaimers\/<\/a>
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\u2022 \u00a9<\/sup> 2024 Cboe Exchange, Inc. All Rights Reserved.<\/td><\/tr><\/tbody><\/table><\/figure>\n","protected":false},"excerpt":{"rendered":"

Cross-asset implied volatilities on the whole continued to normalize towards its lower pre-Yen-carry unwind levels on the back of better economic 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