SPX 0DTE Options Jump To 61% Share On Retail Resurgence

2025-06-03 05:20:00 ET

Summary

• Implied volatilities fell across asset classes last week, led by interest rates, with VIXTLT down almost 20 pts to 125bps vol as bond yields moderated.
• The decline in the VIX index last week far outpaced the rally in SPX spot, which accounted for less than half of the VIX move.
• While overall May SPX option volumes moderated from their April highs, 0DTE options surged higher, making up over 61% of overall SPX volumes in May – a new record share and an increase of 9ppts from April.

By Mandy Xu

Weekly Market Commentary

Cross-Asset Volatility : Implied volatilities fell across asset classes last week on the back of continued trade optimism and better-than-expected US economic data. Interest rate volatility led the move, with VIXTLT down almost 20 pts to 125bps vol as bond yields moderated. Equities rebounded, while the VIX® index came in over 3.7 pts wk/wk to 18.5%. Both credit volatility and credit spreads fell, with investors taking advantage of the move by resetting hedges. Volume in our iBoxx® IG corporate bond index futures ( IBIG ) surged to a record high of over $1bn notional last Wednesday. FX volatility declined across the board, with 1M EURUSD implied volatility down 0.7 pt on the back of the extension in US-EU trade talks. FX stands out as the asset class where implied volatilities have fallen the most relative to realized vol, with implieds trading at a significant discount to realized for most majors (see below for EURUSD and USDJPY vol charts). In contrast, oil 1M implied vol is trading at a 12 pt premium vs realized, screening as one of the richest cross-asset vols in terms of its volatility risk premium....

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