Vol Market Update

Preparing for earnings

Sideways trading for US markets yesterday as the focus will shift from macro to micro over the next few weeks with a new reporting season underway.

We will kick off today with many US large caps including JP Morgan. The market is looking for around a 4% move over the next two days for the name.

BLK is also due today and is expected to move around 3.5% over the next 2 trading sessions as well as DAL with the market looking for a price change of around 4.75% over the next two days.

Some more names will be reporting on Thursday as well with UNH (market looking for around 3% over the next 2 days), C (market looking for 4.1% move over the next 2 days), GS (market looking for 4.4% over the next 2 days) or MS (market looking for 3.7% over the next 2 days).

As we approach earnings in JPM, it is interesting to note that the call open interest is sitting at its highest level over the past 12 months.


Given the inverted term structure, some traders might be interested in looking at calendar spreads, for instance selling May options to buy June options.


Using the RT Spread Scanner, we are able to identify bull diagonal spreads, for instance the 17th Jun’22 130c vs 27th May’22 131c for $2.


On the put side, the scanner identifies structures such as 17th Jun’22 130 p vs 27th May’22 129p for $1.55.


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