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What to know this week: elevated volatility affecting all options for the next month.
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What to know this week: elevated volatility affecting all options for the next month.

What to know this week: elevated volatility affecting all options for the next month.

Implied volatility remains elevated in the upper 20s on both down and up market days and is likely to stay that way through the election. Earnings season picks up next week and most stocks will enter their announcements not only pricing their own news but also broader market uncertainty. Implied volatility is higher going out the next month and expectations for moves peak for the expiration capturing the election, for more read Friday's post. That will be something to keep an eye on for event driven expected moves and whether the options market is overpricing or underpricing expectations.

Expected moves via Options AI technology:

  • VIX is ~28.50 this morning.
  • Last week's expected move in SPY: 2.2%
  • Last week’s actual move SPY: 1.5%
  • This week's expected move in SPY: 2.2%:
  • Last week's expected move in QQQ: 2.9%
  • Last week's actual move in QQQ: 1.4%
  • This week's expected move in QQQ: 2.7%

Here's a direct comparison of weekly expected moves for SPY, QQQ, DIA and IWM:

In the News

Expected moves for the next month in some stocks in the news, this week a look at the FANG stocks plus Tesla, or as randomly assembled here, TAAGF. We'll see if that acronym catches on. The G may be silent.

TSLA: 18.8%

AAPL: 10.7%

AMZN: 11.1%

GOOGL: 8.3%

NFLX: 12.3%

FB: 10%

Earnings Calendar

Earnings announcements are light in the lull between quarters and pick up next week. For this week:

Thursday 7:30am - DPZ | expected move: 5.7%  (last earnings: -1.5%)

Previously:

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