As the recent election drew near I would periodically post a chart showing the implied volatility for ATM SPX options over the many expirations we have available for trading. Just for the heck of it I checked in on SPX implied volatility for every expiration available until the end of 2016. The shape was interesting with a couple of bumps that occur around known events which may impact the equity market. I decided to get out a calendar and see what other potentially market moving events are coming up and where they fall on the chart below. The line tells an interesting story.
As we head to next week’s holiday volatility trends lower, then turns upward. The week after Turkey Day will bring us the second report of 3Q GDP. This doesn’t seem to be worrying market participants too much. A few days later we get the November Jobs report. This number is always watched closely and it appears to be having an impact SPX option premiums. We plateau for a few days and then get another bump in volatility associated with the final FOMC meeting of 2016. It is a two-day meeting with the announcement coming the afternoon of the 14th. Finally, for good measure, since it may be a bit of a focus, I included the day that the Electoral College will make the result of the recent election official.
When we introduced multiple SPX expirations for each week, we knew people would use them to trade around certain events. An additional benefit is seeing how different scheduled events are being perceived by the market.