The Boring OpEx...
Historic Option Pricing & Intraday patterns
VIX is set to close the week sub 15, just 10 days after hitting 65. Fastest mean reversion ever recorded… and it doesn’t get better on OpEx. Despite the hype around options expiry, the day looks rather boring from realized vol perspective.
Lets take a look at how options perform throughout the day:
Overall, bearish bias for the day but not large.
RTH quite a clear bearish bias throughout last 4 years.
Post london close, as is usual on Fridays, rvol dies off completely…
Very strong pin towards the close after March 2023 (SVB collapse…) Can see the daily changes collapse from that point onwards.
Even the close is disappointing, nothing like the eom last 10 min play…
On average, 7 bps move last hour into OpEx close…
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