Vol Is Dead — And That’s the Opportunity

Cheap options

Options markets are pricing just a ~10% chance that the S&P 500 moves more than ±5% over the next month (14th percentile vs the past five years). One-week SPX implied volatility has dropped below 10%, back to summer-2024 lows. Volatility is suppressed as positioning looks one-sided, but these levels offer an attractive opportunity to add optionality according to MS QDS team - upside or downside.