2024-06-27 13:49:58 ET
Summary
- Implied volatility levels for top S&P 500 components are rising as the 1-month implied correlation index hits an all-time low.
- Volatility dispersion trade involves selling S&P 500 call options, buying underlying call options, and delta hedging with underlying stocks.
- Low implied and realized volatility levels suggest difficulty in further decrease, a potential warning sign for trade unwinding.
It is volatility dispersion season as corporate earnings in mid-July quickly approach. Implied volatility levels for the top components of the S&P 500 ( SP500 , SPX) are rising as the 1-month implied correlation index sinks to an all-time low as of this writing....
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For further details see:
VIX: Market Volatility May Be Due To Rise Sharply, As Big Trade Nears Breaking Point