u/ryansilk1

As of Monday the September 16 SPX expiration trades about 12.2 implied vol at the money, the market's price for future movement. The same expiration prices its 10 delta put at 19.7 and its 10 delta call at 10.4. That is one index on one date, with the downside strike costing almost twice the vol of the upside one.

Delta works as a rough probability tag, so a 10 delta option has roughly a one in ten chance of finishing in the money. Those two strikes are mirror image long shots. The put sits at 7,200, about 7% below Monday's 7,755. The call sits at 8,100, only 4.5% above.

The distances are lopsided for the same reason the vols are. Downside moves are priced as bigger and faster, so you have to walk 7% away to find a one in ten put but only 4.5% to find the matching call. The put still costs about $17.70 against $8.90 for the call.

The cheapest vol on the whole September line is not at the money. It sits around the 10 delta calls at about 10.4, almost 2 points under ATM, partly because funds that sell calls against stock for income keep that side supplied all year.

The gap also grows with time. The 25 delta put trades 1.7 vol points over the 25 delta call for Tuesday's expiration, 3.5 points for September, 4.3 for October, and about 7 points a year out.

The part I find interesting is that this is the skew, the extra charge on downside strikes, near its flattest of the year. The slope of the put side sits in the bottom decile of the past twelve months, and 30 day vol has been higher on about 90% of days in that window. Even at its sleepiest, the index never prices the two sides symmetrically.

For those who buy index puts for protection, do you pick the strike by its dollar price or by what it costs in vol terms? I ask because the far wing is the cheapest line on the board in dollars and the most expensive one in vol.

At Friday's close, one month SPX implied vol sat at 11.3 while the index has realized 12.4 over the past month. Implied is what options cost in vol terms, realized is how much the index actually moved. The spread between them is negative by about a point, which is unusual for the index.

That spread is normally positive on SPX. Option sellers usually collect implied above realized, and that gap is the whole premium selling edge. Right now buyers of one month index options are paying slightly less than recent movement would justify.

This is not a case of realized spiking into sleepy options. Realized vol has been falling all summer, from 15.2 at the start of July to 12.4 on Friday. Implied has simply fallen faster.

IV rank on SPX is 6 out of 100 and the one year percentile is 10. In plain terms, implied vol has closed higher than this on about 90% of days in the past year. VIX finished Friday at 14.25.

The curve is telling a story too. The next two weeks of expirations carry single digit at the money vols, from 5.5 out to 8.9, while 60 day implied sits at 13.1. Next week's expected move works out to about 0.9%, roughly 70 SPX points. The market is pricing calm now and more movement into the fall.

None of this predicts a selloff. Cheap options can stay cheap, and realized can keep grinding lower underneath implied. It does mean index short premium currently starts from a negative spread instead of a positive one.

For those of you selling SPX or SPY premium here, are you sizing down, going further out, or treating this as business as usual?

Palantir jumped 29% in a single day after its August 3 report. Ten days later, with the stock near $174, the September 18th $190 call bids $3.90. That is $390 against 100 shares, about 2.2% for five weeks, and in volatility terms it is some of the thinnest PLTR call premium of the past year.

Whether that $390 is fair depends on which realized vol number you believe. Realized volatility measures how much the stock has actually been moving, scaled to a yearly rate. PLTR's trailing 30 day reading printed 91 on Friday, against an implied vol of 42, which is the market's forecast of future movement. On that comparison, anyone selling calls here is giving them away.

Almost all of that 91 is one candle, though. A single 29% day adds roughly 85 points to a 30 day reading by itself. Strip it out and the remaining sessions net out to around the low 30s. Since the report the stock has gone quiet, and the past week's net change is about 1%.

So the honest version has two sides. If the post earnings calm holds, collecting 43 vol on the $190 call against a stock realizing in the 30s is a normal premium, arguably a decent one.

But PLTR realized in the 50s and 60s for most of the summer before the report, and vol forecast models that still carry the earnings month sit near 52. That is why every strike on the call side currently screens cheap against the model in the second chart. If the stock goes back to its old pace, the premium is thin.

Two calendar points matter for anyone writing calls. The next report is expected in early November, so September and October expirations do not sit over an earnings date. And implied vol steps up to about 52 at the 90 day mark, which is that November report getting priced in.

The cap is the other side of the ledger. A $190 call keeps the first 9% of upside plus the premium, on a stock that just did 29% in a day and 30% in a month.

For the holders here who write calls, are you taking the $390, or is capping PLTR at $190 into the fall an easy no?

OUST closed Wednesday at $46.12 with one month implied vol at 102. The stock has realized 132 over the same window. In plain terms, the options are priced for typical daily moves around 6.4%, and the shares have actually been delivering closer to 8.3%.

What makes this one interesting is that the gap is not a one day artifact. I pulled the 30 day realized series back to July 1 and it never printed below 130 in that stretch. It peaked at 159 last week. The wildest days from late June have already rolled out of the window, and realized still sits 30 points over implied.

Meanwhile the options market is treating this as a normal OUST month. IV rank is 44, so implied sits mid range for its own past year. The term structure is close to flat out to early October, with every expiry priced within a few points of 100, and the only bump in the curve sits out at the November earnings cycle. The three week at the money straddle costs about 21% of the stock price, which sounds enormous until you notice the stock still moved 7% net over the past month while swinging hard in both directions. There is no earnings date on the calendar between now and early September.

The usual explanation for a discount like this is that realized vol clusters and then decays, and the market is leaning on the decay. That lean has been wrong for six straight weeks. This is a 4.6 beta name, meaning it moves roughly four and a half times the index on a typical day, and the tape has not calmed.

I am not arguing for either side here. When a stock keeps moving more than its options price in, do you read that as movement on sale, or as the market correctly refusing to pay for the past?

PLTR is at 179.67 as I write this, up 5% on the day, up 15% on the week, up 34% on the month. Seven weeks ago it printed its 52 week low at 106.37. It has now retraced most of the way back toward the November high at 207.52.

The options board has not come along for the ride. One month implied vol is 46, which is the 9th percentile of the past year and an IV rank of 15. The 52 week IV range is 43 to 62, so implied is sitting a few points off its yearly floor while the stock does this.

Realized vol, close to close:

* 5 day: 72
* 10 day: 147
* 20 day: 117
* 30 day: 86
* one month implied, for contrast: 46

The 10 and 20 day windows contain the early August earnings gap, so discount them if you like. The 5 day window sits after the gap and still prints 72. For scale, a 46 vol implies a typical daily move of about 2.9%, and the stock moved 5% today.

Implied minus realized is the volatility risk premium, and it is usually positive in liquid names. That gap is the structural edge premium sellers get paid, and the reason this sub exists. On PLTR right now it is roughly minus 40 points depending on the window, the most negative reading of the past year. Anyone short PLTR premium over the past month collected something in the high 40s and watched the stock deliver an 86.

Term structure tells the same story from another angle. Tomorrow's weekly trades at a 56 vol, the only point on the curve that acknowledges the current tape. From next week out the board flattens to 47 through October, with next Friday's expected move at 10.16, about 5.7%. The November 20 expiration holds the next earnings report on November 2 and trades at 55. In between there are 81 days with nothing on the calendar, which is exactly what a flat 47 curve is saying.

So the market is pricing the last month as the anomaly. The 20 day vol forecast on the second screenshot sits at 49, in line with the curve rather than the trailing tape, and realized does tend to collapse quickly in momentum names once the trend stalls. The counterargument is that volatility clusters, and a stock with a one month beta near 4 that just moved 15% in a week rarely goes straight back to sleep.

The reflex with a stock this hot is to assume the premium is rich. The board says the opposite right now. PLTR premium is at its thinnest of the year while the stock is at its wildest, and that seems worth knowing whichever side of it you trade.

Numbers as of Thursday afternoon, Aug 13. Screenshots are from ApexVol (disclosure: I build it).

Last year I sold to one customer, then they left me...

Then I didn't sell for a couple of months.

Spiralled for a while thinking is it worth it? Is staying up until midnight worth the stress for essentially nothing?

But, now I have an ARR of £5,000+ which is scaling month over month.

I hope to scale to £10,000 ARR by the end of the year.

Hopefully this acts as a small amount of motivation for someone going through what I went through last year!

Never. Give. Up. !!

For context, VIX is at 15.4 and SPY weeklies are pricing daily moves under 1%, so index vol is quiet. The Musk names are the outliers right now, and very little of their movement is reaching the index. TSLA's one year correlation to SPY is sitting at -0.11 on my feed, which surprised me when I checked it.

I'll start with TSLA. It lost 26% in July, its worst month since December 2022, and that drop is still inside the realized window. 30 day realized vol is 62 while one month implied is 41, which is the 10th percentile of the past year on a 52 week range of 37.5 to 60. The options market is pricing nearly the calmest TSLA of the year one month after the most violent month in four years. This has been the premium seller's favorite name for years, and right now the short vol trade is collecting 21 points less than trailing realized.

Two details strike me as more interesting than the headline number. The skew has flipped, with 25 delta calls going out at 41.3 against 39.7 for the same delta puts, and the slope sits in the 9th percentile of its one year range, so whoever is paying up here is paying for the bounce rather than for protection. The term structure also slopes up into the fall, from 39.4 in the front month to 45.2 by November, which tells me the market has already moved on to the October report. For reference, TSLA has averaged a 9% close to close move on its last 12 reports.

SPCX is the newer story. It has been public for 40 trading days and trades like it, with 14 of the first 39 sessions moving more than 5% and 30 day realized vol at 96. One month implied is 77, so it has the same setup as TSLA with options priced below realized, just on a much wilder base.

The lockup calendar is doing a lot of the work here. The post IPO closing low of 108.27 printed on Aug 5, one session before the first insider unlock of roughly 911 million shares hit on Aug 6, and three sessions later the stock closed at 138.74, up 28%. The unlock everyone spent two weeks bracing for has marked the bottom so far. Further tranches are reported around Aug 21 and Sep 10, the main 180 day lockup lands Dec 8, and Musk's own 6.4 billion shares are locked until June 2027. Front vol reflects all of this, with the curve inverted at 95 for this Friday, 85 for Aug 21, which has an unlock inside it, and 74.5 by mid October. Skew is even more lopsided than TSLA, with calls over puts by 7 points at 25 delta. My feed also puts the market cap around $1.8 trillion, which is now larger than Tesla itself at $1.3 trillion.

The one number I would ignore is IV rank. My feed prints 13.7 for SPCX, but that is computed on 37 days of history, and IV rank only means something against a full year of a name's own past. On young listings the honest comparison is implied against realized, and 77 against 96 tells you what the rank cannot.

Where I keep going back and forth is that negative VRP usually resolves with realized cooling off rather than IV catching up, so the base rate favors the sellers. The word usually is carrying a lot of weight, though, when one name just had its worst month in four years and the other is a two month old IPO with a supply calendar attached. I'm curious whether 0.66x realized on TSLA reads as opportunity or as a trap to the sellers here, and if anyone has traded SPCX options I'd like to hear how the fills are, because the quoted markets look wide from where I sit.

On methodology, since someone will ask: realized vol is close to close and annualized over 30 trading days, the earnings average is close to close over the last 12 reports, and IVs are end of day interpolated ATM. A couple of chips in the screenshots show different VRP numbers because they use different windows, either the front expiry or a 20 day forecast, while the table is 30 day trailing. All data is end of day rather than intraday. Charts are from my terminal (disclosure: I build ApexVol).

Everything below is Friday's close, so it all reprices Monday morning. With that said:

If you sold earnings premium last week, my condolences. PLTR moved 29.5% against a 9.7% implied. Not a miss, three times the priced move. SHOP did 17.0% against 10.6%. ABNB did 17.4% against 6.2%. And before anyone concludes straddles are free money now: BKNG, AMD, DIS and LLY reported the same week and all stayed comfortably inside their implieds. Three blowups out of seven. The problem is none of the three were close.

PLTR wasn't even a one-off. Here's its last 12 reports, straddle breakeven vs the realized gap. Green bars are buyer wins. Six of twelve beat the breakeven, and it's priced at 10.0% against a 13.0% average gap going into the next one. The market keeps quoting this thing like it's a normal stock.

Meanwhile the index could not care less. VIX closed Friday at 14.90, down 1.1 on the week, lower in six of the seven sessions since the July 29 spike to 20.66. SPY one month IV is 12.7, the 18th percentile of the past year, and below the 14.3 the index actually realized over the last month. Single names are blowing up one at a time and index vol is priced like it's a beach day. That divergence is the whole setup right now.

The weekly SPY curve says the same thing: Monday's expiration is priced around 7.5 vol, stepping up to the mid 10s by Friday. Clean contango, nothing feared.

OK, this week. The table is the implied event move against what each stock has actually averaged over its last 12 reports (close to close, AMC and BMO handled properly). Above 1.00 you're being paid more than the stock usually delivers. Below 1.00 you're not.

Two things jump out at me.

One: after a week like that, you'd expect everything to be priced rich. It's not. SE (0.76), CRWV (0.90), ONON (0.94) and SMCI (0.96) are all priced at or below their own 12 report history. SE especially: it has averaged 12.8% moves and options are asking 9.7%. That is the exact shape ABNB was in a week ago, right before it moved 17.4% on a 6.2% implied.

Two: the rich premium is concentrated. PLUG is at 1.73x its own history, and AMAT at 1.47x, which is a real markup for a $400B company that averages 5.3% moves. CSCO is a milder 1.24x on Wednesday. Monday alone is stacked: MNDY before the open with the biggest implied on the board at ±17.4%, then PLUG and RKLB after the close.

Genuine question for the room: after watching sellers get run over three times in five sessions, is anyone still selling the below-history names this week, or does last week change how you size? I keep going back and forth on SE.

Screenshots are from ApexVol (disclosure: I build it). Not advice, just what's priced.