1/x A couple of important notes from Vol-landia today:
1) Fixed strike $SPX vol imploded today w/straddles -$21 to -$32 across OpEx. Given size/speed of $SPX move & technicals this was extreme.Vol compression accelerated into close w/$5-$7 decline post-equity close on market lows
1) Fixed strike $SPX vol imploded today w/straddles -$21 to -$32 across OpEx. Given size/speed of $SPX move & technicals this was extreme.Vol compression accelerated into close w/$5-$7 decline post-equity close on market lows
2/x Much like buying felt forced into the close at the top. This selling was beginning to feel forced. 2) skew declined considerably w/1 std dev put wing -$3, 1 std dev call wing +$1. But coming off high levels, it feels more fairly priced now. 3) maybe most importantly,
3/x There was a major break in price change for Vol post 11/4. With straddles 11/20 on back -$16-$17, where as 11/4 (Election Day)was only -$7. this post election Vol has been insanely high due to fear surrounding a disputed election/constitutional crises post election.
4/4 Whether due to new polls/info out today (which I don’t think is true) or simply larger players beginning to provide supply into rich valuation, these high vols definitely began to show their first cracks today & should be monitored for potential follow through in days to come
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