In recent months, the options market has seen a significant shift in trends and strategies. According to data from MS PB Content, net equity leverage has decreased since January, raising the bar for additional selling. However, discretionary investors came into March with elevated index and ETF hedges, which helped cushion index-level volatility.

In options, customer put delta positioning has reached $50 billion, which is near record highs but still lower than the extreme levels seen at the start of March. As a result, 1m SPX put skew has flattened to the 58th 3Y %ile, while call skew remains elevated in the 98th %ile even after the recent rally. This suggests that upside calls continue to screen relatively cheap.

QDS likes owning vol at the index level here, particularly in QQQs where the NDX-SPX 1m ATM vol spread is <9th 3Y %ile. The 1m term captures some of the tech earnings as well.