SPX® Option Volumes Hit Record High as Volatility Picks Up

Link to Report: Macro Volatility Digest

WHAT STANDS OUT:

• Implied volatilities gained across asset classes last week on the back of weaker-than-expected US economic data. Equity volatility jumped higher, with the VIX® index up 3.4 pts to 18.2% (80th percentile high) as SPX option volumes hit an all-time high on Friday. Over 4.74M contracts traded ($2.85T notional) with 55% of the volume coming from 0DTE contracts. Skew steepened as demand for puts increased, with SPX 3M skew now trading in the 94^th percentile high.
• Implied dispersion, as measured by the DSPX^SM index, gained last week, despite earnings season mostly wrapping up. Implied dispersion, as seen in the chart below, typically rises going into earnings and falls steadily as results come in (as single stock vols decline post earnings). Over the past 10 years, the DSPX index is on average 5.5 pts lower at the end of earnings season than the beginning but as the chart below shows, this earnings season has been an outlier, with DSPX jumping higher. Single stock vols have remained extremely elevated even post earnings on the back of ongoing concerns over AI, tariffs, and the economic outlook.

Chart: Implied Dispersion (DSPX Index) Remains Elevated 

^{Source: Cboe}

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