Traders there are two very strange things going on in the option world right now.
1. The HV IV spread is insanely insane. With SPX IV trading at nearly 3X, realized volatility the market is pricing in options for a VERY big relative move in the near term.
Livevol (r) www.livevol.com
If we consider that, in order for the VIX to be this high and HV this low, expectations of a 1 or 2 day major realized vol spike must be the culprit.
This is further proven by our second strange thing, VIX term structure.
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