Oil bites one name lifts - Options Brief

Key arguments

• The S&P 500 has already spent 104% of the weekly range priced around Friday's close, with two sessions and two events (ECB, US PPI) still ahead, while the Nasdaq 100 fund has used just 23%.
• Friday's 11 September expiry prices 68 points (0.89%) versus the 74 points quoted yesterday; after one session of time decay, flat vol would imply roughly 60 points, so about eight points of premium have been added, the second consecutive session of such additions.
• The index decline masks severe internal dispersion: Meta +6.55% and Alphabet -2.28% inside a 0.48% index drop, with the equal-weighted S&P 500 losing 0.97% and three-month implied correlation at 10.67 after an 8.22% rise.
• VIX at 16.46 is 132% through a band running to the 16 September expiry that spans the Federal Reserve decision; VIX1D at 11.45 and the front-to-second month ratio at 0.970 keep the curve in contango.
• Single-name flow showed USD 1.97bn of opening premium split almost evenly (49.2% puts, 50.8% calls), with a deep in-the-money call ladder in a large semiconductor name reading as position movement rather than a fresh view, and clean bought lines being long-dated downside in two other large-cap names.
• Macro volatility is far richer than equity volatility: oil volatility at 49.85 is 3.0 times the equity gauge, with MOVE at 76.74 and GVZ at 27.79, while equity options still price a contained index.

Corresponding source evidence

1. Expected move to the Friday 11 September expiry, drawn around the Friday 4 September close, with the nearest listed strike at each bound.
2. The S&P 500 has covered 104% of the range priced around Friday's close and has closed below its lower bound, while the Nasdaq 100 fund has used 23% and gold 33%.
3. Inditex fell 3.6% on a first-half profit miss.