Single Stock Volatility Jumps Higher As Earnings Approach

2025-09-30 03:35:00 ET

By Mandy Xu

Cross-Asset Volatility : Implied volatilities were mixed across asset classes last week as the risk of a looming government shutdown weighed on sentiment despite better-than-expected economic data. While equity volatility declined marginally, with the VIX® Index down 0.2 pt to 15.3%, most other asset class vols increased, led by commodities. Oil volatility (OVX Index) jumped over 5 pts to 36%, while gold 1M implied volatility gained 1.4 pts to 16.4%. Gold skew inverted further as demand for upside calls picked up, with 1M skew (25-delta ratio) now trading in the 5th percentile low over the past year (see Exhibit 2). Rates vol increased marginally as yields rose, though Fed pricing remained unchanged (still ~90% implied probability of a cut in Oct). As focus shifts to this week’s NFP number, what stands out is how little is priced into event, with SPX® weekly options implying just a 0.9% move for Friday (vs. average realized move of 1.6% this year on NFP release days)....

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