Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

Nasdaq-100 Stock Index / Equity Derivatives

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Context: The <a href="https://www.smartkarma.com/entities/chicago-board-options-exchange-volatility-index" target="_blank" data-smartkarma-citation="entities:31501:1" rel="noopener">VIX</a> / <a href="https://www.smartkarma.com/entities/cboe-nasdaq-100-volatility-index" target="_blank" data-smartkarma-citation="entities:49404:1" rel="noopener">VXN</a> ratio has reached a two-sigma extreme, with Nasdaq-100 implied volatility trading at a historically wide premium to S&amp;P 500 volatility despite a rising market backdrop.</li>
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What the dislocation signals: The widening VXN premium points to materially higher uncertainty in the tech- and AI-heavy Nasdaq-100, with implications for hedging costs, relative valuation, and tech/AI risk premia.</li>
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Key event risk — SpaceX IPO: The <a href="https://www.smartkarma.com/entities/space-exploration-technologies-corp-spacex" target="_blank" data-smartkarma-citation="entities:33284:1" rel="noopener">SpaceX (SPCX)</a>   IPO, with potential <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener">Nasdaq-100 (NDX)</a> inclusion, could sustain or widen the <a href="https://www.smartkarma.com/entities/cboe-nasdaq-100-volatility-index" target="_blank" data-smartkarma-citation="entities:49404:1" rel="noopener">CBOE NASDAQ-100 Volatility (VXN)</a> premium.</li>
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Context: The VIX / VXN ratio has reached a two-sigma extreme, with Nasdaq-100 implied volatility trading at a historically wide premium to S&amp;P 500 volatility despite a rising market backdrop.

What the dislocation signals: The widening VXN premium points to materially higher uncertainty in the tech- and AI-heavy Nasdaq-100, with implications for hedging costs, relative valuation, and tech/AI risk premia.

Key event risk — SpaceX IPO: The SpaceX (SPCX)   IPO, with potential Nasdaq-100 (NDX) inclusion, could sustain or widen the CBOE NASDAQ-100 Volatility (VXN) premium.


Nasdaq-100 Vol Premium Hits Two-Sigma Extreme Vs VIX

United States

The Cboe NASDAQ-100 Volatility IndexSM (VXN) is a key measure of market expectations of near-term volatility conveyed by NASDAQ-100® Index (NDX) option prices. It measures the market's expectation of 30-day volatility implicit in the prices of near-term NASDAQ-100 options. VXN is quoted in percentage points, just like the standard deviation of a rate of return, e.g. 19.36. Cboe disseminates the VXN index value continuously during trading hours. The VXN Index is a leading barometer of investor sentiment and market volatility relating to the NASDAQ-100 Index.

Cboe NASDAQ-100 Volatility Index (VXN INDEX)

Nasdaq-100 Vol Premium Hits Two-Sigma Extreme Vs VIX

Nasdaq-100 implied volatility trades at a historically wide premium to S&P 500 volatility, signalling higher Tech/AI risk pricing. The SpaceX IPO...

Gaudenz Schneider