Macro Volatility Digest
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SPX® 0DTE Options Jumped to Record 56% Share in Feb
Implied volatilities gained across asset classes last week as economic growth concerns escalated. Interest rate volatility saw the biggest increase, led by the front-end as rate cut expectations intensified. TLT call volume hit a record high of 1.08M last Tuesday as skew inverted (calls trading at a premium to puts as investors position for yields to fall further). Learn more in this week's Macro Vol Digest.
Read MoreLink to Report: Macro Volatility Digest
WHAT STANDS OUT:
Implied volatilities gained across asset classes last week as economic growth concerns escalated. Interest rate volatility saw the biggest increase, led by the front-end as rate cut expectations intensified. TLT call volume hit a record high of 1.08M last Tuesday as skew inverted (calls trading at a premium to puts as investors position for yields to fall further).
SPX skew flattened modestly last week, entirely driven by a decline in put skew as investors rolled/monetized existing hedges. While SPX skew declined, we saw a surge in tail hedging using far OTM VIX call options. In fact, Thursday was the 2nd highest volume day on record for buying of high-strike (50+) VIX calls, with a customer buying over 260k of the May 55-75 strike calls.
SPX options closed out Feb with a record monthly ADV of 3.49M contracts, with 56% of the volume coming from 0DTE options (also a record). The jump in 0DTE volumes is partly a function of higher intraday volatility but mostly a result of expanded access, with Robinhood rolling out index options trading to all its customers in late Jan.
Chart: SPX 0DTE Volume Jumped to 56% Share in Feb
Source: Cboe
