The vol snapshot
The VIX closed Friday at 15.13, up 0.88 on the week, after printing 16.01 on Thursday. SPY gave back 1.4%. The front of the SPY curve runs from 6.4% for Monday's expiry to 11.3% for Friday's, and Friday is the most expensive day in the next two weeks. That one expiry carries the NVDA reaction on Thursday, the second GDP estimate, and then Warsh's Jackson Hole keynote and July PCE on Friday morning. The straddle to Friday costs $9.61, about 1.3%.
The louder market was bonds. The 30 year yield touched 5.31% on Monday, its highest since 2007, and the Treasury answered by doubling its long end buybacks to at least $4 billion per operation. The 30 year fell to 5.19% by Wednesday and was back at 5.28% by Friday, two basis points under the 5.30% line the Treasury drew. The MOVE index finished at 73.40, up from 69.58 the prior Friday, with a 75.63 print on Monday. That is roughly 4.6 basis points of implied daily movement in Treasuries, against 4.4 a week ago. Ten basis points of relief that lasted two sessions is what an intervention buys when the buyer is smaller than the market.
Movers
MRNA. One month IV 97%, the 97th percentile of its year. The stock gained 177% on Wednesday after the Merck cancer vaccine trial read positive, and 20 day realized now prints 623%. A 97% implied against that realized looks cheap on the screen. It is pricing the next month, and the 177% day is behind it.
PCG and SRE. Both California utilities sit at the top of their one year IV range while the state debates changes to the wildfire liability fund. PCG's one month IV is 57.5% against 24% realized, with no earnings until October, and its put skew sits at the 1st percentile of its year, so the premium is in the calls. SRE is at the 100th percentile with IV at 29% against 19% realized and skew at the 88th. Same debate, opposite sides of the surface.
IBIT. Bitcoin gained 24% on the week and IBIT closed at 43.68, up 22.5%. Spot bitcoin ETFs took in $1.9 billion, their biggest week of 2026, most of it through IBIT. One month IV is 41%, which is the 100th percentile of the past month and only the 45th of the past year. Last week's realized was 51%. More on its beta below.
META. Down 6.8% on the week and 12.4% on the month as the 29 state youth safety trial opened in Oakland. One month IV is 34%, the 77th percentile, and 20 day realized is 45%, so realized is running 11 points above implied. The curve is flat from five days out to 26, 33.5% to 34.0%. A six week trial has no single date to kink around, so it shows up as a flat front and a straddle that keeps paying out.
The week ahead
41 names with listed options report in the next seven days. The one that matters is Wednesday after the close. NVDA goes in with consensus at $2.09 EPS on $92.1 billion of revenue, and the stock down 4.7% on the week. Intuit and PDD open the week, Salesforce and CrowdStrike share Wednesday's bell with NVDA, and Marvell, Autodesk, Dollar General and Affirm close it Thursday.
| Ticker | Reports | Implied move | Realized avg (12q) | Premium (IV÷real.) |
|---|---|---|---|---|
| PDD | Mon Aug 24 (BMO) | ±6.4% | 9.8% | 0.65 |
| INTU | Tue Aug 25 (AMC) | ±8.3% | 6.7% | 1.22 |
| NVDA | Wed Aug 26 (AMC) | ±5.2% | 4.8% | 1.07 |
| CRM | Wed Aug 26 (AMC) | ±7.2% | 5.6% | 1.28 |
| CRWD | Wed Aug 26 (AMC) | ±7.3% | 6.3% | 1.15 |
| MRVL | Thu Aug 27 (AMC) | ±9.6% | 11.6% | 0.83 |
| DG | Thu Aug 27 (BMO) | ±7.7% | 8.8% | 0.87 |
| ADSK | Thu Aug 27 (AMC) | ±7.8% | 4.2% | 1.85 |
| AFRM | Thu Aug 27 (AMC) | ±9.8% | 14.0% | 0.70 |
Implied move is what options price for the report itself. Realized average is the average absolute move across the last twelve reports, measured close to close, using the next session close for reports after the bell and the same day close for premarket reports.
NVDA is priced at 1.07 times its own history, which is about as fair as this table gets. The Friday weekly trades at 55% implied while the September monthly sits at 39%, and the straddle through Friday costs $13.15, about 6.1%. The part worth knowing is the level. NVDA's one month IV is 40%, lower than 89% of its readings over the past year, and it is walking into its own report there. ADSK is the richest name in the table at 1.85 times. AFRM and PDD are the cheapest at 0.70 and 0.65, and both have the realized history to justify it.
Last week's table split. Four of nine moved more than options implied. WMT fell 9.2% against 4.4% implied, BIDU fell 12.7% against 5.9%, DE gained 6.9% against 4.4% and TJX fell 4.2% against 3.5%. The home improvement pair, which carried the richest pricing at 1.79 and 1.69 times, barely moved. HD closed 0.1% lower and LOW 2.0% higher. The premium was right where it was highest and wrong where it looked fair. WMT at 0.94 times delivered twice its straddle.
Beta is correlation times a vol ratio
The quote screens have IBIT's beta at 1.3 to 1.4. Our one year daily number is 1.7. Both understate it, and the reason is in the formula. Beta is correlation multiplied by the ratio of two volatilities. IBIT realized 38% over the past year against 11% for SPY, a ratio of about 3.4. Its correlation to SPY over a year is 0.48, and over the past month it is close to zero. Multiply them and you get a number near 1.5 that describes an asset moving 3.4 times the index on the days they agree and on its own the rest of the time. Correlation is what moves. In a liquidation it goes to one, and the beta you experience becomes the vol ratio. Plan for 3.4, not 1.4.
One terminal tip
Type any ticker into the terminal and open the earnings straddle module. It shows the implied move against the last twelve reports, the same numbers as the table above, for every name on the calendar. Free 7 day trial.
NVDA prints Wednesday. I will have the straddle result in next week's table.
Ryan
Educational content, not investment advice.