The Fed, Apple, SOTU And Volatility

Markets are definitely pricing in some incremental volatility for the rest of the week. At-money options on SPY that expire this Friday, April 30th have an implied volatility of about 14%. That translates into daily moves of about 7/8 % for the rest of the week. Looking at the chart above, that seems low compared with previous FOMC weeks. And remember, most of those FOMC meetings did not coincide with earnings season and a State of the Union speech. I’ll leave it for readers to draw their own conclusions about whether risk aversion is properly priced into the markets.

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Disclosure: The analysis in this material is provided for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the ...

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