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The vol snapshot
The VIX closed Friday at 14.43, down 0.70 on the week and its lowest close since August 14. It fell four straight sessions after Monday's 15.85. SPY added 0.5% to finish at 769.35. The front of the SPY curve runs from 6.5% for Monday's expiry to 9.8% for Friday's, and Friday is the expensive day because it carries the August jobs report, the first payrolls print the market will read with a September hike better than half priced. The straddle to Friday costs $8.38, about 1.1%.
The macro story is the new chairman's first Jackson Hole keynote. Warsh called 2% a firm, fixed target on Friday, noted July PCE is running at 3.7%, and said the Fed has work to do if inflation is not clearly moving to the objective. The front end took him at his word. A September hike now trades at slightly better than even odds, up from about one in three before the speech, and December fed funds futures imply 3.97% against an effective rate of 3.63%, about 34 basis points of tightening priced by year end. The two year rose 9 basis points to 4.32% on the speech. The long end went the other way, with the 30 year down 7 on the week to 5.21%, and the MOVE index finished at 70.97, down from 73.40, roughly 4.5 basis points of implied daily movement in Treasuries. A front end pricing hikes while long bonds rally and both vol gauges fall is the market treating a hawkish chair as a reduction in uncertainty rather than an increase.
Movers
EIX. One month IV is 41.6%, the 98th percentile of its year and six points above its two month IV. California's wildfire liability reform faces a legislative deadline on Monday, and Edison's CEO has said a miss risks credit downgrades. The stock is down 11% on the month with no earnings until late October, so the front loading is all about Sacramento. Two issues ago this debate lived in PCG and SRE. It now covers all three California utilities.
AMGN. One month IV is 33.6%, the 100th percentile of its year, on a stock up 12% in a month to 437 and trading more than 60 dollars above the average analyst target. Put skew sits at the 32nd percentile, so the extra premium is not in protection. Implied at the top of its range on a stock making highs is the surface paying for continuation in both directions.
MPC. One month IV is 41.9% against 20 day realized of 41.8%, the 98th percentile of its year, after a 20% month for the stock. Options usually lag a trending name and then chase it. Here they are exactly keeping pace, and skew at the 12th percentile of its year says the richness sits in the calls.
XLB. The materials ETF trades at 22.9% one month IV, the 100th percentile of its year and five points over realized, with put skew at the 90th percentile. High percentile IV plus high percentile put skew on a sector ETF that only gained 2.5% on the month reads as hedging demand rather than a reaction to anything realized.
The week ahead
23 names with listed options report in the next seven days, packed into Tuesday through Thursday ahead of Friday's jobs number. The headline is Broadcom on Wednesday after the close, priced at 0.55 times its own history, the cheapest big name on the calendar. Its last 12 reports averaged 9.5% and options price 5.2%. Half the table sits below 1. DELL at 0.72, SNOW at 0.73 and LULU at 0.80 are all priced under their own history one week after CRM and CRWD moved three times theirs.
Then there is HP, both of them. HP Inc already reported last Wednesday, a record $15.7 billion quarter with raised guidance, and the stock still closed 2.9% lower the next day before recovering by Friday. Hewlett Packard Enterprise reports this Wednesday after the close priced at 1.56 times its history. Part of that premium is honest arithmetic. The 12 report average of 6.5% describes a calmer company than one that has more than doubled this year on AI infrastructure demand, and HPE's whole curve agrees, with even the November expiry trading at 63% IV.
| Ticker | Reports | Implied move | Realized avg (12q) | Premium (IV÷real.) |
|---|---|---|---|---|
| NIO | Tue Sep 1 (BMO) | ±8.0% | 4.6% | 1.74 |
| PANW | Tue Sep 1 (AMC) | ±8.0% | 7.6% | 1.04 |
| DELL | Tue Sep 1 (AMC) | ±10.1% | 14.1% | 0.72 |
| MDB | Tue Sep 1 (AMC) | ±14.4% | 17.1% | 0.84 |
| AVGO | Wed Sep 2 (AMC) | ±5.2% | 9.5% | 0.55 |
| HPE | Wed Sep 2 (AMC) | ±10.1% | 6.5% | 1.56 |
| SNOW | Wed Sep 2 (AMC) | ±10.5% | 14.3% | 0.73 |
| LULU | Thu Sep 3 (AMC) | ±8.2% | 10.2% | 0.80 |
| ZS | Thu Sep 3 (AMC) | ±11.3% | 9.7% | 1.17 |
| DOCU | Thu Sep 3 (AMC) | ±9.1% | 8.8% | 1.04 |
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.
NIO at 1.74 is the richest row, on a history of small moves that its current news flow may not resemble. AVGO at 0.55 is the cheapest, and a 12 report average of 9.5% takes some nerve to sell against.
Last week's table came in hot. Four of nine names beat their implied move. CRM moved 22.6% against 7.2% implied, three straddles, and it was priced at 1.28 times its history when it did it. CRWD moved 20.5% against 7.3%. NVDA, which I promised to report back on, gained 8.7% against 5.2% implied, so the straddle paid despite its 1.07 pricing. MRVL fell 10.3% against 9.6%. On the other side, ADSK, the richest row at 1.85 times, moved 3.7%, and AFRM, the cheapest at 0.70, closed 0.3% higher. A week after the premium was right where it was highest, two of the biggest beats came from rows priced above their history.
What the crush actually is
HPE's Friday expiration trades at 102% implied volatility. Its September monthly trades at 71 and November trades at 63. The gap is Wednesday's report. The front expiry holds a few days of ordinary movement plus one large uncertain day, and that one day is most of its price. Once the number is out, the uncertainty is resolved and the front converges toward the back of the curve. That is the entire mechanism of the post earnings crush. Implied volatility does not collapse because sellers won an argument. The calendar removes the event, and the back of the curve tells you where the front is going to land.
One terminal tip
Open the vol term structure module on SPY. The most expensive day on the front of the curve right now is Friday September 4, the jobs number, and you can watch what the market charges for it change as the week goes on. Free 7 day trial.
Broadcom and HPE print Wednesday. Both straddle results will be in next week's table.
Ryan
Educational content, not investment advice.