With markets opening lower, volatility and expected moves are seeing a pop this morning. One interesting thing is when the sell-off started a few weeks ago, the downward volatility was primarily coming from some the frothy tech names, essentially rolling over from their August gamma ramps higher. This week volatility seems to be converging, as seen with the SPY vs QQQ comparison.
And in fact, the sell-off today is worse in the broader market than it is in tech/Nasdaq. If you've been following these posts you know we looked at the difference in gamma between the broader market and names like Tesla way back in August (August had a lot of long gamma near the money in SPX (OptionsEye August 20th - Gamma Rays) but short gamma to the upside in names like TSLA).
That seems to be converging and the sell-off seems to be transitioning. What that means next is difficult to predict but it's something to keep in mind now as it looks like this has transitioned from a frothy tech sell-off to more of a market/economy one.
Expected moves via Options AI technology
- VIX is ~30 this morning up ~13% from Friday's close (26.56)
- Last week's expected move in SPY: 2.5%, last week’s actual move SPY: -2.1%
- This week's expected move in SPY, 2.5%:
- Last week's expected move in QQQ: 3.3%, last week's actual move in QQQ: -2.5%
- This week's expected move in QQQ 3.2%:
Here's a look at some of the weekly expected moves in the most watched stocks at the moment, Tesla, Apple, Alphabet, Amazon).
Earnings announcements are light this week as we're in the lull between quarters. This week's earnings of note, expected move and its actual move last earnings.
Tuesday 6:55am - AZO | expected move: 5.0% (last earnings: 0.0%)
Tuesday 4:15pm - NKE | expected move: 5.9% (last earnings: -7.6%)
Thursday 7:00am - RAD | expected move: 16.0% (last earnings: +26.5%)
Thursday 8:00am - JBL | expected move: 7.5% (last earnings: +2.2%)
Thursday 4:15pm - COST | expected move: 3.9% (last earnings: -0.4%)