Options vol is divergent
VIX futures showed elevated intraday volatility (index print ~388) while S&P implied vol sat at a low‑percentile level—spot/iv divergence that suggests liquidity and skew stresses in post‑expiry trading (Mar 26–27). Traders flagged thin markets and urged hedges after expiries, with strategies shifting into more explicit convexity trades. (x.com) (x.com)
VIX‑futures intraday‑volatility reading spiked to about 388.2 on March 26, marking the highest such intra‑day metric in roughly six months and signaling unusually large price swings inside sessions. (ainvest.com) S&P‑500 implied volatility sat near multi‑month lows — IV reported ~22.24% with an IV‑rank around 38.36 as of the same window, keeping index option premia subdued despite the VIX‑futures turbulence. (unusualwhales.com) The March‑27 SPX expiry showed an implied‑vol reading of about 28.11% for front‑dated contracts while total open interest on that expiry approached 988,722 contracts, with puts (613,510) materially outweighing calls (375,212) and a put/call OI ratio near 1.64. (optioncharts.io) Cross‑asset expiries clustered that week intensified the squeeze on liquidity: crypto derivatives cleared ~$13.5 billion of options on March 27 on Deribit, and the market had already digested a $5.7 trillion triple‑witching cycle earlier in March, concentrating roll and hedge flows. (blog.mexc.com) Market commentary and flow desks reported thin post‑expiry tape and increased calls to buy protection or convert into explicit long‑convexity structures (long gamma/long convexity) to guard against fast IV spikes and large directional gaps. (ainvest.com) Pinning and liquidity risk were visible at specific strikes: the SPX Mar‑27 chain showed single‑strike put open interest topping ~47,141 contracts at the 5650 put, a concentration that can force rapid dealer delta hedging and widen effective spreads in the close and immediate post‑expiry sessions. (optioncharts.io)
