SPX Options Jump To Record 74% Market Share

2025-10-07 10:50:00 ET

By Mandy Xu

Cross-Asset Volatility : Implied volatilities were mixed across asset classes last week as the US government shut down for the first time since 2018. Despite no BLS data (including payrolls), worse-than-expected ISM and ADP numbers have led investors to almost fully price in a rate cut later this month (~96% implied probability in the OIS market). Interest rate volatility declined meaningfully, with VIXTLT falling to a 1-year low while the MOVE Index collapsed to a 3-year low. FX, credit, and gold implied volatilities all declined as well, though gold still remains by far the richest cross-asset vol (see Exhibit 1), trading 0.5 std dev above its long-term average versus every other asset class vol trading below their long-term average. Credit and FX screen as the cheapest cross-asset vol - both trading 0.7 std dev below their long-term average. Interestingly, while gold continued to make new all-time highs last week, gold skew (1M 25-delta ratio) steepened to its highest level since May as demand for hedging picked up (though skew remains still slightly inverted)....

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