Expected Stock Dispersion Falls To Near 1-Year Low
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Cboe Global Markets572 FollowersFollow5ShareSavePlay(7min)CommentsSummaryThe biggest mover in the cross-asset vol space last week was gold, with GLD 1M implied vol now trading in the 76th percentile high.GLD vol is expensive not only in absolute terms but also relative to realized vol, with the 1M implied-realized spread widening to the 98th percentile high.SPX index skew steepened across tenors last week as demand for hedging increased, with 1M put skew jumping to the 92nd percentile high.Implied dispersion, on the other hand, fell significantly, with the DSPXSM index nearing a 1-year low of 27% (see chart below) as stock fundamentals take a backseat to the macro outlook.Nearly 3,600 contracts traded ($158M notional), mostly by institutional investors stepping in to monetize the pickup in volatility (42%/58% buy vs. sell split). sankai/iStock via Getty Images By Mandy Xu Cross-Asset Volatility: Implied volatilities were mixed across asset classes last week as the Fed cut rates as expected. Oil and credit vols declined while equity, rates, gold, and FX vols all increased modestly. The biggest mover wasThis article was written byCboe Global Markets572 FollowersFollowCboe Global Markets (CBOE), a leading provider of market infrastructure and tradable products, delivers cutting-edge trading, clearing and investment solutions to market participants around the world. The company is committed to operating a trusted, inclusive global marketplace, providing leading products, technology and data solutions that enable participants to define a sustainable financial future. Cboe provides trading solutions and products in multiple asset classes, including equities, derivatives and FX, across North America, Europe and Asia Pacific.