The S&P 500 Faces A Potentially Sharp Volatility Unwind

Implied volatility dispersion in S&P 500 constituents has sharply contracted post-earnings, signaling a mechanical unwind of volatility trades. The DSPX–COR3M spread, previously at historic extremes, is now narrowing—a pattern historically associated with S&P 500 weakness.

Source: Seeking Alpha

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Category General

Source Seeking Alpha

Published 2 months ago

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News ID #3,333

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