Realized volatility in the S&P 500 has compressed to 30 basis points for a 0-DTE straddle, the lowest level observed since before the COVID-19 crash, indicating the market is pricing in virtually no expected movement despite record options positioning
factualpending
Speaker
Brent KachubaEvidence Quote
“we had a 30 basis point0 DTE straddle... which is the lowest that we've seen since before the co crash”
Source
Tesla, MicroStrategy and An Inside Look at the Biggest Options Expiration in Market History— Excess ReturnsCreated: 8/11/2026, 8:03:54 AM
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