Are we near a floor in vol?

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SPY was lower last week by about 0.6%, again, inside what options were pricing. Implied vol closed extremely low into the weekend, with SPY some at-the-money SPY weekly options sporting single-digit handles. That IV should reset a bit higher out of the weekend but overall vol remains historically below average and at multi-year lows. The VIX closed last week below 13.50. Of course, vol could always go lower, but it’s getting to the point where those lower moves would be quite small. In general the 12-13 range in the VIX floor over the past 5 years and only on rare occasions over longer time horizons do you see it closer to 10. That’s not to say it can’t remain this low for a long time, but it can’t get much lower. One thing to note from the past 2 weeks, the daily realized moves of the market versus what 0DTE options had been pricing has started to tip a bit in the favor of the market moves over the expected moves, particularly in the QQQ. That kind of action tends to put a floor on IV as well as option trading in same-day expiry is heavy volume and being more or less re-priced each day based on the prior day’s result. Futures are flat to lower to start off the week.

This past weekend included some political chaos in Russia but markets this week will most likely concentrate on a combo of economic data like GDP & Durable Goods and speeches by Lagarde (tues) and Powell (wed, thurs). SPY options are pricing about a 1.1% move for the week at 10 vol (at the money) although that could get a lift on the open. The earnings calendar this week is slow but steady, with Micron (MU) a highlight on Wednesday.

Pre-Market Actives:

  • Lucid Group Inc (LCID) +7.86%
  • Tesla Inc (TSLA) -2.27%
  • Trxade Health Inc (MEDS) +60.43%
  • Eco Wave Power Global Ab ADR (WAVE) +22.11%
  • Marathon Digital Hldgs Inc (MARA) -3.30%
  • Apple Inc (AAPL) -0.19%
  • Alphabet Cl A (GOOGL) -1.65%
  • Nvidia Corp (NVDA) -0.33%
  • Inc (AMZN) +0.11%
  • Coinbase Global Inc Cl A (COIN) -1.84%

Today’s Earnings Highlights:

  • Carnival Corporation & plc (CCL) Expected Move: 9.75%
  • Carnival Corporation & plc (CUK) Expected Move: 13.06%

Full list here: Options AI Earnings Calendar

Economic Calendar:

  • At 10:30 AM (EST) Dallas Fed Manufacturing Index (Jun) Estimates: -26.5, Prior: -29.1

Options AI Scanner Highlights:

  • Overbought (RSI): CCL (79), META (78), KMX (73), JNJ (72), ADBE (72), LLY (71), AAPL (70)
  • Oversold (RSI): OXY (31), PENN (31), DOCU (35), CHPT (36), MRNA (36), GS (36)
  • High IV: MANU (+212%), ATVI (+194%), VMW (+167%), NKE (+107%), AZN (+105%), IBM (+105%), TSLA (+103%)
  • Unusual Options Volume: KMX (+981%), MARA (+510%), COIN (+468%), SNAP (+416%), CCL (+343%), META (+310%), MSTR (+309%)

Chart of the Day

Some SPY options have seen IV marks below 10 recently.

r/options - Expected Moves this week, SPY, VIX, QQQ, MU and more.

That’s all for now. Have a great day!

The Options AI Team

Based upon publicly available information derived from option prices at the time of publishing. Intended for informational and educational purposes only and is not any form of recommendation of a particular security, strategy or to open a brokerage account. Options price data and past performance data should not be construed as being indicative of future results and do not guarantee future results or returns. Options involve risk, including exposing investors to potentially significant losses and are therefore not suitable for all investors. Option spreads involve additional risks that should be fully understood prior to investing. Securities trading is offered through Options AI Financial, LLC, member FINRA and SIPC.

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