FAST FIVE: As May Expiration Looms, Options Skew Crashes To Its Lowest Since Powell Flip-Flop In Late 2018
Option markets have taken an opposite stance to stocks: a sharp drop in put-vs.-call implied volatility skew has boosted the price of out-of-the-money call options.
The Index Volatility Strategist sees a number of factors contributing to the drop in skew: Spot sell-off.
The strategy should be profitable at all spot levels between 4050 and 4600.
though faces unlimited losses if the S&P tops 4600.
Brent from SpotGamma is joined by Imran Lakha of Options Inisght to discuss the positioning around the May OpEx.