SPY and its Weekly Expected Move

Investor summaryNeutral

SPY's weekly move remains within the options market's expected range despite recent weakness, suggesting volatility is fairly priced.

Bear points

The market tape has felt weak, marked by a sharp down day and recent downward pressure.

SPY降息与宏观

Post body

Last weekend, the ATM SPY straddle was pricing a move of roughly ±2.14% for this week.

We’re now on Thursday and SPY has moved about -1.64%.

Considering how weak the tape has felt at times this week. Even after the sharp down day on Friday (which caused vol to increase significantly) and some weakness yesterday, the market is still trading inside the move that options traders were pricing at the start of the week.

The current 1SD range sits at roughly -2.62% to +2.69%, while the 2SD range extends to about -5.17% and +5.45%.

So despite all the headlines and volatility, we’re still comfortably inside what would generally be considered a normal weekly move.

One thing I like about tracking expected moves is that it provides context. A week can feel very volatile while still being completely within the range that was already priced by the options market.

If we finish the week around current levels, weekly straddle sellers will still have been right to price more movement than actually occurred.

We’ll see if Friday changes that. Especially with the $SPCX IPO we could see some significant volatility.

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