Goldman Lists 300 Volatility Catalysts Through Year-End Which Will Propel VIX Higher

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by Tyler Durden
Tuesday, Sep 19, 2023 - 06:25 PM

While Goldman's sellside economists are falling over themselves to heap praise over the hollow facade that is Bidenomics (which is keeping the economy afloat only thanks to such gimmicks as $1 trillion in debt issued in 3 months!) the bank's trading desk is far more cautious, and as Goldman derivatives strategist John Marshall warns clients in his latest note (available to pro subs in the usual place), to "expect volatility to increase over next few weeks" and in addition to the critical October earnings season where companies tend to announce they will surpass or reduce their full-year goals, the Goldman trader identifies 300+ single stock non-earnings catalysts that have the potential to drive an increase in volatility in the US, Europe and Asia. To hedge the risk of increasing volatility at the portfolio level, Goldman recommends buying VIX October calls.

But before we go through the list of catalysts, first some stats.

On average, over the past 95 years, SPX realized volatility has increased 27% from August to October. While some consider it a coincidence that major market corrections have occurred in October, Goldman believes that performance pressures for company managements (to meet full year expectations) and investors (final earnings catalysts for their performance year) exacerbate shifts in investor sentiment at this time of year. Indeed, shares and single stock options volumes over the past 26 years have peaked in the month of October on average, with especially strong fourth quarter seasonality in the past few years.