Goldman Says Options Market Pushing Election Risk to December
- Implied S&P 500 move right after November vote has narrowed
- Yet VIX futures point to more investor anxiety in December
Option traders are tempering bets that volatility will spike in the stock market immediately after the U.S. election. Instead, they’re boosting wagers that price swings will stay elevated at least one month after the vote, according to strategists at Goldman Sachs Group Inc.
Options on the S&P 500 pointed to a 2.8% move on Nov. 4, the day after the presidential vote, down from an implied 3.2% swing seen in August, according to the bank’s analysis. What’s also shifting is the curve in futures tied to the CBOE Volatility Index. Specifically, VIX’s November contracts, which refer to volatility during the month through Dec. 18, have jumped above October ones for the first time this year, a sign that traders are adding protections well beyond Election Day, said Goldman strategists led by Ben Snider.