S&P 500 put options are historically cheap
The S&P 500 put-to-call implied volatility skew has dropped to extreme lows, making downside protection historically cheap.
The argument
The speaker cites data showing the S&P one-month 25 delta put-to-call skew is in the fourth percentile, indicating that puts are exceptionally inexpensive relative to calls.
The thesis, stress-tested
✓ What validates it
- ✓A rise in the 25 delta put-to-call skew back toward historical means
▸ Risks discussed
- ▸Implied volatility continues to grind lower, causing cheap options to decay further
Hear it yourself
"This podcast is for informational purposes only, and the views expressed by anyone on the show are solely their opinions, not financial advice or necessarily the views of BlockWorks. Our hosts, guests, and the Blockworks team may hold positions in the company's funds or projects discussed. As always, investments in BlockChain technology involve risk, terms, and conditions apply. Do your own research. What's going on, everybody? Welcome back to another round of edition for guidance. I've managed to wrangle back hosting duties from the inmates after I let you guys take over the shop last week. Looking good with your haircuts, boys."
00:30
AFFILIATE LINK · ZORTIX MAY EARN A COMMISSION · NEVER A RECOMMENDATION TO TRADE