VIX Traders Shaken From Sleep With Discount to S&P Snapping Shut
- SPY’s put-call volume ratio rises to highest level since March
- Light equity positioning seen putting cap on hedging demand
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A furious bout of options hedging is tightening up a much-watched gauge of market sentiment: the VIX’s discount to realized volatility in the S&P 500.
Viewed by some as a distillation of trader expectations for market turbulence, the gap, which has recently shown a relatively sanguine view on the future, is no longer doing so. After sitting below the S&P 500’s historical volatility for four weeks, the VIX has quickly popped back up to match it.