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Thursday, August 26th 2021

How Options Traders Are Seeing The Fed's Jackson Hole Meeting

Options prices imply a 1.2% move in the market during the Fed's Jackson Hole symposium.

Summary

Options prices imply a 1.2% move in the market during the Fed's Jackson Hole symposium, but the market is currently only implying a 0.6% move. The rise in implied volatility over the last couple of days could lead to more action than investors are expecting.

8/26/21 UPDATE

The market is still only implying a 0.6% move. Read the lasted quote from Matt Amberson in Reuters. 

 

The options market implies over a one percent move for the dates around the Fed's Jackson Hole soiree. Measuring the kink in the term structure of the S&P 500 options and using a technique often applied to estimating implied earnings moves, ORATS calculates an implied move, up or down of about 1.2% in the price of the index.

The symposium runs August 26-28. The kink in the IV from Aug 25th, before the start of the meeting to the expiration on the 27th was 1.24% on Monday and is 1.32% today.

With the rise in the level implied volatility over the last couple of days, there could be more action than investors are bargaining for. IV has gone from 11% in SPY options on Monday to 15.5% currently on the 30 day options.  

 

Hold on to your hats, Jackson Hole could be a bigger deal than traders think.

 

 

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The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see our disclaimer.
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