Yesterday’s trading session in the S&P 500 was marked by a low realized return, with the index closing unchanged. However, there were some interesting movements within the market that deserve closer examination. In particular, chipmakers drove the NDX to its first record since June, while oil prices dropped amid hopes for easing geopolitical tensions.

Spot prices opened little changed and traded within a tight range throughout the session, with fixed strike vols being offered across the curve. Notably, NDX vols outperformed once again, in line with the spot performance. The belly and back end of the curve were more bid in NDX, while skew softened across the surface. Volatility of vol, on the other hand, remained firm due to some buyers of VIX options.

It’s worth noting that we believe there is still a pocket of dealer long gamma in the market, which can explain the choppy spot price action. This phenomenon has been observed in previous sessions as well, and it highlights the importance of understanding the dynamics of volatility trading.