Arabic version: تراجع مؤشر «فيكس» يشير إلى هدوء غير معتاد في تداول الخيارات

According to Cnbc, stocks ended their worst week since June with an unusually restrained options-market response. The Cboe Volatility Index, widely known as Wall Street’s fear index, reached its highest intraday level since April on Friday but retreated to close at 19.4, even as the S&P 500 finished down nearly 2%.

The VIX rose 2.2 points during the stock decline, a move SpotGamma’s Brent Kochuba described as “relatively muted.” His analysis of 126 selloffs since 2018 suggested the index would have been expected to rise closer to 2.6 points for a decline of that size.

Options activity also showed selective demand for protection in the Nasdaq 100. While implied volatility increased for most contracts, prices for put options between 20% and 50% out of the money were higher on a volatility basis after the Oct. 16 sell-off, according to data shared by Nasdaq’s Kevin Davitt. Nations Indexes data indicated Nasdaq puts had been more expensive two weeks earlier.

Nomura managing director Charlie McElligott wrote that out-of-the-money S&P 500 puts were not being aggressively pursued. He said index-options skew had not been particularly reactive to the week’s equity decline, while some changes reflected lower call volatility. One possible explanation is that asset managers have been selling shares rather than purchasing options hedges. Morgan Stanley prime brokerage data showed total global gross equity exposure among long-short active managers was down 8% from its most recent peak, the largest drawdown in at least a decade.

Zed Francis, chief investment officer of Chicago-based Convexitas, characterized the move as a major deleveraging event. He said managers closer to cash may have had less need to hedge, helping explain why implied volatility remained subdued during a month of increased stress.