I was discussing the current state of the markets with a trader today and noted that VIX is perking up based on the uncertainty surrounding the upcoming French election. He challenged me on this and said the geopolitical situation had more to do with the recent rise in VIX, not the French election. I know I’m right and the picture below proves it.
Above is a depiction of the at the money implied volatility for SPX options expiring each Monday, Wednesday, and Friday for the last two weeks of April. The first round of the election falls right in the middle of this time frame. Do note the implied volatility jump between April 21st and April 24th options. That’s how I know what the market is concerned about.