“The Calm Is Ending”: This Is Where Options Predict The Biggest Volatility For 2018
by Tyler Durden
ZeroHedge.com
Thu, 01/04/2018
2017 was a great year for bulls and vol sellers: so good, in fact, that cross-asset volatility dropped to never before seen levels while making millionaires out of former Target managers who “sell vol for a living”, while the Dow Jones Industrial Average ETF (DIA) posted one of the best volatility adjusted returns last year of the ETFs in Goldman’s universe, closing +28% (S&P500 +22%) on a realized vol of 7%, in line with the S&P500.
However, according to a just released report by Goldman’s derivatives strategists Katherine Fogarty and John Marshall, the clam appears to be ending, and the options market is now pricing in higher volatility in the fund as well as in junk bonds, the S&P 500, consumer and tech stocks.
Meanwhile Gold, E&P, and Biotech stocks are pockets of the market where option investors expect a similar level of volatility in 2018 as seen last year.
The Rest…HERE
