🚨 US stocks are sitting in an unusually calm volatility setup.
Goldman Sachs’ TMT trading desk estimates weekly implied equity volatility at just 89bp, near a five year low, with its panic reading at 0.36 out of 10.
Option market makers are holding around $15 billion in positive gamma hedges, near the 99th percentile. This encourages dealers to sell into rallies and buy into dips, limiting short term moves.
Meanwhile, 96% of S&P 500 companies are in open buyback windows, with announced authorizations above $1 trillion.
Rising long term yields and higher oil remain risks. If dealer gamma and buybacks weaken, the ultra low volatility environment could quickly become more sensitive to larger price moves.
Goldman Sachs’ TMT trading desk estimates weekly implied equity volatility at just 89bp, near a five year low, with its panic reading at 0.36 out of 10.
Option market makers are holding around $15 billion in positive gamma hedges, near the 99th percentile. This encourages dealers to sell into rallies and buy into dips, limiting short term moves.
Meanwhile, 96% of S&P 500 companies are in open buyback windows, with announced authorizations above $1 trillion.
Rising long term yields and higher oil remain risks. If dealer gamma and buybacks weaken, the ultra low volatility environment could quickly become more sensitive to larger price moves.