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Friday's close put SPX one month at the money implied vol at 11.8. Over the 30 sessions ending Friday (July 10 through August 21) the index realized 12.4, close to close. The options market is charging a little less for the next month than the index just delivered.
That is unusual for the index. Over the past year, one month implied ran about 2 points above trailing realized on average. The gap has averaged half a point since late May, and Friday's reading sits in the bottom fifth of the year. In plain terms, the cushion that index option sellers normally get paid is gone.
[SPX one month implied \(blue\) vs realized \(white\), past year. Bars are the difference: green means options priced above what the index delivered, red below. Friday: implied 11.8, realized 12.4 over 30 sessions \(the 20 session line reads 12.9\). The bars averaged +2.0 over the year and have been near zero since late May.](https://preview.redd.it/70r4ds1w40lh1.png?width=4200&format=png&auto=webp&s=f045b62eeafb2078d4a2d2730133d55fa18590de)
Implied is in the bottom 11% of its past year range (10.3 to 26.0). Realized is an ordinary month, right at the year's median of 12.3. So the market is pricing a quieter month than usual, right after a month that was exactly usual.
The next 30 days hold NVDA earnings Wednesday after the close, core PCE Wednesday morning, Jackson Hole starting Thursday, the August jobs report on September 4, CPI on September 11 and the Fed decision on September 16.
The last 30 sessions held the same kind of calendar: the July Fed meeting, the July jobs report, July CPI and most of big tech earnings.
The four biggest days in that realized window were July 29 (Fed day) at 1.5%, July 30 at 1.7%, August 3 at 1.5% and August 4 at 1.8%. The index has not had a 1% day since, and the last ten sessions realized under 8.
If you only count the past two weeks, 11.8 looks expensive. If you count a window that holds a Fed meeting and a jobs report, which the next one does, there is no premium at all.
[Realized vol by window, SPX, Friday August 21 close. 10 sessions 7.5, 30 sessions 12.4. The 30 session window holds the July 29 Fed day and three more 1.5% days; the last two weeks have been quiet.](https://preview.redd.it/iw6v736x40lh1.png?width=4200&format=png&auto=webp&s=460c27c593f75139c109c70d1b50d6d4cb6f6d1d)
Day by day for this week, Friday's closes price Monday, Tuesday and Wednesday at about 34 to 37 points each. That is about 0.45% of the index, almost exactly the median daily move of the past 30 sessions. Thursday and Friday are each priced at about 51 points, so the market is charging roughly 45% more for the NVDA reaction and Jackson Hole than for a plain day.
[What Friday's closes price for each day this week, SPX points: Mon 35, Tue 34, Wed 37, Thu 52, Fri 51. Median day of the last 30 sessions is 36 points, average 46.](https://preview.redd.it/fazvqlkr50lh1.png?width=4320&format=png&auto=webp&s=f350ba6d6c13fc514a1ce62f031f5e4ad77981a4)
One number for context: the VIX closed at 15.1 while at the money SPX is 11.8. That 3 point gap is the price of downside protection, because the VIX is built from out of the money puts as well, so the two numbers are not in conflict.
Does a week with NVDA, PCE and Jackson Hole feel like a 50 point a day week to you, or is that too cheap?