Traders work on the floor of the New York Stock Exchange during morning trading on July 1, 2026 in New York City.
Michael M. Santiago | Getty Images
When you’re in the middle of a hurricane, umbrellas are more expensive no matter which way the wind is blowing. A hurricane for stocks Nasdaq 100 Indexthe wind direction may have changed.
Nasdaq 100 1-month implied volatility (as of 28) and S&P500 Anything below 16 is close to an all-time high. This gap has widened throughout the year as stock market returns have been concentrated in big tech winners, but the reason for this recent gap widening is different from a few months ago, when Nasdaq option prices were distorted by extreme call demand.
Right now, it’s coming from demand for puts, and the price of the put is rising while the premium for the far out-of-the-money call is tapering. The spread between the implied volume of a 25 delta put (a bearish contract with a one-in-four chance of winning) between the Nasdaq 100 and the S&P 500 has risen from just 3 points in mid-March to 13.6 points, according to Bloomberg data compiled by Nasdaq. In 2020, the spread reached 13.3. Prior to that, the only time it was higher was in September 2008.
Nasdaq-100, year-to-date
“Back then, nobody cared about puts. Everything was up,” Kevin Davitt, Nasdaq’s head of index options content, said in an interview. “But now that sentiment has changed.” “This speaks to the potential downside of high-tech elements.”
The rise in put demand coincides with a slowing of momentum in AI stocks, which have consistently delivered gains for speculators. semiconductor ETF (SMH) It fell 4.5% on Thursday, below $592, a level it first reached in late May.
VanEck Semiconductor ETF, year-to-date
The stock market has been sideways for more than a month, and while it may be of interest to the bears, it may not be setting off any alarm bells yet. In the first half of this year, call buying was extremely intense, and although the upward trend has waned, the stock is still at a fairly high level.
The price of a 1 standard deviation out-of-the-money call (a contract with a 16% probability of expiration in the money) on the Nasdaq is currently in the 58th percentile, down from the 99th percentile in May, according to the Nations Index Coldex index.
Another innocuous factor that may be keeping S&P’s volatility low and widening its spreads is daylight saving time.
“Traders are expecting the S&P to calm down, which is normal for the summer,” Scott Nations, president of Nations Index, said on a conference call. “They don’t expect that for the Nasdaq 100 index. They think the Nasdaq 100 index will continue to be volatile due to the surge in tech stocks.”
