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
Thanks.
Appears to me to be the type of dynamic that acts self-contained and stable but once it leaks it will unwind fast, for now it remains waiting game…
Of all the people on your carefully curated list of analysts worth reading, McElligott is my favorite.
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?
Who needs Fan Duel to get his/her jollies? The derivatives market is way more fun and lucrative.