Liquidity And Data Risks Loom Over Next Week

Daily Write-Up

We are still in the aftermath of Nvidia, and as noted yesterday, the stock is currently trading around $180. It will be interesting to see what happens later in the day. The $180 calls that were trading for almost $7 yesterday are now worth only about $2. That is because implied volatility has fallen from roughly 110% yesterday to just 45% today.

The S&P 500 is up just 10 bps on the day, and more importantly, we are seeing one-month implied correlations rise for a second consecutive day. Typically, rising implied correlations are associated with a falling S&P 500, not a rising one. With Nvidia now behind us, implied volatility for equities has essentially reset, creating an opportunity for correlations to rise again.