Some Wild Options Statistics From Goldman

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by Tyler Durden
Wednesday, Feb 15, 2023 - 04:40 PM

Yesterday, when explaining why unless we saw a steep drop in the S&P after the hotter than expected CPI print stocks would likely rebound and even turn green, we said that it all depends on the discrepancy between the implied and the realized move in the S&P, and that any lesser than expected move would lead to rapid theta and put unwind, sending the VIX sliding and a delta squeeze as dealers rapidly unwound their market-neutral hedges.

Overnight, Goldman's derivatives trading guru Brian Garrett echoes what we said, and notes that Tuesday may have been one of the largest disconnects between 1 day implied move (SPX ~1.7%) and subsequent realized (3 bps) in history.