Goldman Sachs: Spot VIX is not telling the whole story (10/02/2024)

spot vix is not telling the whole story …

1/ chart below is an overlay of equity “vol stress” vs generic “equity vol” … there is a very clear divergence following the events of 5August, geopolitical tensions, and pending US election

2/ we define “vol stress” as a 2 year rolling percentile rank of 1/ skew, 2/ term structure, 3/ spx implieds, and 4/ vix implied

3/ bottom line … our market is pricing in significant stress under the hood despite relatively calm vix levels … clients are using dynamic to reduce the cost of downside

* for those suggesting “vix doesn’t currently include the election” we ran the same chart below using SPX 2m ATM vol … effectively same set up

The gs vol desk was busy today with vanilla hedges, knock out puts, etc … can send iterations / reach out to your sales contact

*extra chart that i can’t stop looking at … SPX dealer gamma positioning, vs the CTA “short term” momentum threshold

“vol stress” individuals … messy, i know

Brian Garrett

Goldman, Sachs & Co.

200 West Street, 5th floor. | New York, NY 10282

Tel: (212) 357-5232 | brian.garrett@gs.com

Fax: (212) 428-3541