U.S. — The Cboe Volatility Index (VIX) touched 15.6 on Thursday, reflecting low market-wide volatility even as single-stock swings remain elevated. The spread between the VIX and Cboe's S&P 500 Constituent Volatility Index (VIXEQ) is the widest since January 2023, according to exchange data.
VIXEQ, which measures average implied volatility across individual S&P 500 stocks, is near its highest level in more than a year. "What stands out in the current market is just how calm things are at the index level even as single stock volatility remains near a 1-year high," Mandy Xu, head of derivatives market intelligence at Cboe, wrote in an email.
Stock dispersion is extremely elevated and correlation levels have fallen to historic lows as traders shift focus from macro risks, such as geopolitical tensions involving Iran, to company-specific drivers like artificial intelligence developments and earnings reports.
Implied volatility in the VanEck Semiconductor ETF (SMH) is about 50%, more than three times higher than that of the S&P 500 and near its highest level in a year. Within that sector, Micron's implied volatility stands at 101%. Put-buying in the SMH ETF dominates at a record level.
Selling puts in the State Street SPDR S&P 500 ETF (SPY) was the most popular trade on Thursday. Gross options premium traded across semiconductors tracked by Citadel Securities is 25% above the prior record from March 2024 and five times the historical monthly average.
"My thought is when you're having historical disconnect like this it's more likely you get a little bit of broadening out," Noel Smith, chief investment officer of Convex Asset Management, said by phone. The VIX stood at 35 in March when geopolitical fears drove daily whipsaw moves in the market.