Expected Stock Dispersion Near 5Y High as Earnings Under Way

Link to Report: Macro Volatility Digest

WHAT STANDS OUT:

• While US Treasuries caught a bid last week, the US Dollar did not, with the DXY Index falling for a fourth consecutive week to a 3-year low. Positioning in the FX market indicates investors expect the USD to continue to weaken vs. major peers, with EURUSD 3M 25-delta risk reversal hitting a 5-year high (and highest since 2009 outside of covid).
• While equity volatility declined across the board last week, it was led by non-US indices, particularly China and Europe. The 1M implied volatility spread between SPX^® vs. MXEF (MSCI^® EM Index) and SPX vs. MXEA (MSCI EAFE Index) widened to near 5-year highs as US policy risk remains elevated.
• As earnings get under way, expected stock dispersion (as measured by the DSPX^SM index) is near a 5-year high (see chart below). While actual earnings results may be less important in this environment (since they’re backwards looking), investors will be turning to company guidance for clarity on the impact of tariffs.

***REMINDER: Join us this Thursday April 24th at 8:30am ET as we discuss the evolution of SPX 0DTE options trading with JJ Kinahan (CEO, tastytrade) and Ellen Greene (Head of Business Development and Market Structure Strategy, IMC Trading). Pre-registration is required here. ***

Chart: Expected Stock Dispersion (DSPX Index) Near 5-Year High

^{Source: Cboe}

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