China crashes, US moves higher, Volatility is unchanged
October 25, 2022
US markets continued to push higher yesterday despite some selling pressure around the open. The SPX settled 1.2% higher, the NDX 1.06% higher and the DJIA 1.34%.
The main event yesterday was once again found in China with the HSCEI losing almost 8% over the session. We had highlighted the significant underperformance of the Chinese index over the past weeks in a prior market update and things have continued to escalate on that front.
![Ivolatility spot price chart](http://www.ivolatility.com/market_news/market_102522_1.png)
Over the year, the HSCEI is now around 37% lower and with yesterday’s price action, we saw implied volatility jump by around 10 points for the HSCEI as shown below.
![Ivolatility spot price chart](http://www.ivolatility.com/market_news/market_102522_2.png)
US markets seemed driven by more defensive stocks yesterday with the two best performing sectors being the healthcare and the consumer staples segments which are respectively -7.5% and -9% YTD while the more speculative parts of the market seemed to struggle, for instance with consumer discretionary stock up around 0.5% or energy stocks up 0.6%.
Looking at implied volatility for the SPX below, we can see that IV moved higher by around 0.5 points over the session despite the market moving higher.
![Ivolatility spot price chart](http://www.ivolatility.com/market_news/market_102522_3.png)
Looking at the IVX30 for the SPX over the past 5 years, we can see the options market makers have kept implied volatility close to the 30% mark despite the rally in spot back above 3800.
![Ivolatility spot price chart](http://www.ivolatility.com/market_news/market_102522_4.png)
This is pretty much in line with the historical volatility seen over the last 20 days as shown below.
![Ivolatility spot price chart](http://www.ivolatility.com/market_news/market_102522_5.png)