The September 29 session was marked by subdued realized volatility, yet the market is already pricing the risk of upcoming events into option premiums. Implied volatility rose across the entire surface, in both the put and call wings; as expected, put-wing volatility repriced at a faster pace.
The repricing of volatility resulted in a moderate loss for the portfolio on the session.
The key question now is how the upcoming events play out and how strongly the market reacts to them.
Editor’s Note reflects the author’s market perspective at the time of publication and should be read as commentary, not investment advice.
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