Zero-day spikes vanish as bank worries exceed inflation fears
Implied volatility for short-dated options points to shift in sentiment after SVB failure
A pattern that emerged last year in the risk premium for zero-day options has gone into sharp decline following the collapse of Silicon Valley Bank.
Implied volatility of one-day options on the S&P 500 repeatedly spiked ahead of key macro data releases and events late in 2022. Since March, though, the spikes seem to have vanished.
Dean Curnutt, chief executive officer Macro Risk Advisors, a New York-based brokerage firm, believes the decline in risk premium reflects a shift in market
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