McElligott Breaks Down ‘Really Fascinating’ Equities Vol Dynamics

The equities vol space is quite interesting these days -- or "really fascinating," as Nomura's Charlie McElligott put it Tuesday. 0DTE options are all the rage in markets and across finance-focused journalism and social media. Around half of all SPX options and nearly 60% of daily volume in SPY options is of the 0DTE variety, according to Nomura. The proliferation of these contracts is widely seen as creating a reversion effect, suppressing close-to-close vol in the process. The charts below s

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5 thoughts on “McElligott Breaks Down ‘Really Fascinating’ Equities Vol Dynamics

  1. See if I have this right. The 0DTE option dynamics apply to SPX index, right? So vol is suppressed for the S&P 500, and to a lesser degree its larger names, but not for midcap or smallcap indicies or names?

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