So, last week I looked at the implied volatility of various option markets that expired just before and just after next week’s election. You can read all about that here. Of course, as we all know, things changed a bit last Friday. When things change, I start running numbers. First I updated the table from last week where the IV for Nov 4th and Nov 11th options were compared for a variety of sectors, indexes, and one country fund.
The top part of the table above compares the implied volatility for the S&P 500 (SPX), Nasdaq-100 (NDX), and Russell 2000 (RUT). The implied volatility for Weeklys expiring just after the election is at a 33% premium for SPX options, 24% for the RUT, and about 21% for NDX.
Note that EWW implied volatility is 77% higher for the November 11th options when compared to the November 4th contracts. This was the highest of the fund premiums last week as well. The second and third funds on this table represent healthcare and those funds were in the same place last week.
I also looked at the change in November 11th volatility between the close on 10/25 and the close yesterday (10/31). Those changes appear below.
The broad-based index volatility rose between 32% and 36% which was surprisingly consistent. For the sector funds, health care volatility rallied more than EWW volatility. I could understand this with respect to XLV, since November 11th IV was less than half of that for EWW last week, but Biotech volatility was already higher than EWW so the 60% move is nothing short of impressive.
We have (hopefully) just over a week until this election is behind us. I’m going to closely watch market volatility, both broad based index and sector fund, to see where the market sees post-election risk and continue to report back in this space.