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GSJPMCBACWFCMIXEDSubstantive discussion · 3/5

Earnings straddles price rich implied volatility across major banks

Implied volatility in options straddles ahead of Q2 bank earnings is pricing in significantly larger moves than historical averages, creating a potential over-pricing environment.

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GS: Earnings straddles price rich implied volatility across major banks · Zortix