Yesterday’s options market saw an interesting dynamic play out, as fixed strike volatility held firm despite other risk parameters catching a meaningful bid. The skew steepened significantly across all tenors, with the most notable movement occurring in the front of the curve where buyers and sellers of near-dated downside and topside options respectively drove up the skew. Additionally, volatility of vol (VOLATILITY OF VOLATILITY) saw a significant pop following a flurry of VIX call buying in the market over the course of the session.

Dealers are believed to be very long in this spot range, and will only get longer on continued selloffs, according to the GS options desk. This highlights the importance of understanding the dynamics of fixed strike volatility and how it can impact overall market sentiment. As traders and investors navigate the complexities of the current market environment, staying informed about these types of developments can be crucial for making informed decisions.

In today’s options market, it is essential to keep an eye on fixed strike volatility and how it interacts with other risk parameters. By doing so, traders and investors can gain a better understanding of the underlying market dynamics and make more informed trading decisions. Whether you are a seasoned trader or just starting out, staying up-to-date on these types of developments can help you stay ahead of the curve in today’s fast-paced options market.