Smashing Volatility

Smashing Volatility

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Smashing Volatility
Smashing Volatility
IVol Surface Trades For NFP/EOM/Tariff Vol

IVol Surface Trades For NFP/EOM/Tariff Vol

Fed meeting and vixpiration collide again

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Scott Murray
Jun 17, 2025
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Smashing Volatility
Smashing Volatility
IVol Surface Trades For NFP/EOM/Tariff Vol
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Last December the Fed and vixpiration met, and this happened:

December Vixpiration Redux

Scott Murray
·
December 19, 2024
December Vixpiration Redux

There is your spot vix in dashed green and the insanely flat vix futures curve after Santa Powell the grinch awakened the convexity Kraken. Why he holds these meetings during the most important expiration of the year, I have no idea. So much for his price stability blather; it’s like he doesn’t know that options volume has exponentially grown over the l…

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It is an interesting re-read, even for me, the option charts in there are quite humorous. But, that combination of the Fed meeting and vixpiration occurred after December quarterly opex. Looking back at March quarterly opex, the twain met again, but with the market in a dealer short gamma regime and thus it was predictably quite choppy:

You can see that SPX had quite the bounce after the press release and during Jay’s podium show, about 100 points. The reaction day of Thursday saw it give most of that back in the morning and then just heavy chop from there into opex. Yet, while it is important to review how these option/vol driven variables resolved in the past, it appears we have an entirely different scenario this time around.

Not only is the market/dealers in a positive gamma regime, the Thursday holiday certainly seems to make this far more unpredictable. Add to that the obvious giant 6000 open interest and we have a sort of witches brew of incredibly speedy vol burn tomorrow afternoon combined with how much Trump/macro/Iran risk the market wants to hold over the market closure and lots of tech stocks sitting on huge call open interest that has propped them for some time, like PLTR. There are just so many vol balls in the air here.

Looking forward to the unclench/end of month, a window for more realized volatility until the markets will want to ramp into July 3rd (a half-day of trading BTW), pensions have a lot of selling to do while the buyback blackout window opens up:

This comes as the hedge fund community has gone quite long giga tech of course (the QQQ May-July automatic ramp) and has been forced to cover shorts, so now they have very significant market exposure:

And CTAs are now full (even though vol control, the dumbest of the dumb buying, hasn’t really started yet):

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