Implied Volatility of Nasdaq-100 Sees Significant Decline
As of September 20, 2023, the implied volatility (IV) for 10% out-of-the-money (OTM) options on the Nasdaq-100 Index (NDX) has dropped from 34.5% to 26.7%, marking the lowest level since late January 2023. This represents a significant reduction in downside protection costs over the past two weeks, with the average IV for these options historically at 29.5%. The decline is particularly notable, as indicated by an 11-point premium in volatility compared to S&P 500 (SPY) downside options on June 23, an unprecedented gap in recent years.
Market analysts anticipate that over the next two weeks, the NDX could continue to trend higher, with resistance levels around 30,000 and previous highs above 30,500. Key upcoming events include Nvidia’s earnings report and the Jackson Hole symposium, which are likely to influence market activity.
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