Market Events
Wednesday, August 20th 2025
Significant Volatility Detected Ahead of Jackson Hole
ORATS identifies 86% additional implied volatility for Friday's expiration
Summary
A sharp rise in implied volatility of 86% is detected for the August 22 expiration, coinciding with Fed Chair Jerome Powell’s speech at the Jackson Hole Economic Symposium. This heightened volatility reflects market anticipation of potential surprises in Powell's remarks regarding interest rates, with analysts suggesting a balanced tone could lead to a significant market pullback. Traders are preparing for this macro event by exploring opportunities in options markets.
ORATS models are detecting a sharp rise in implied volatility for the Friday, August 22 expiration, which coincides with Fed Chair Jerome Powell’s speech at the Jackson Hole Economic Symposium.
Additional volatility for that date is measured at 86%, the highest in the current two-week outlook. The SPX forward curve shows a distinct elevation into Friday, with volatility pulling back noticeably into the following week.
Traders are anticipating potential surprises in Powell’s remarks, particularly regarding the rate outlook going into the September FOMC meeting. Evercore ISI analysts, led by Julian Emanuel, wrote in a note that a “balanced” tone from Powell “could catalyze a near term -7% to -15% pullback into October” if markets are forced to unwind expectations for a deeper rate cut. ORATS data shows options markets already bracing for that possibility.
Macro Volatility Context
- Friday, August 22: 86% additional implied volatility
- Highest additional vol in the forward curve
- Steepest slope observed in the front end since Q1
- Forward vols return to baseline early next week
This setup reflects a high-conviction macro event, where elevated valuations, seasonal risk, and uncertainty around monetary policy are all converging. Traders are using the ORATS Dashboard to scan for opportunities in calendar spreads and delta-neutral structures around the August 22 expiration.
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