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Tech stocks suffer as NASDAQ observes volatility uptick in August, how does this compare to the S&P 500?

Sep 07, 2018

  • Over the past year, the QQQs have exhibited a higher embedded risk premium with the spread between its 30-day implied volatility and the 30-day implied volatility for the SPY expanding to 5 vega points.
  • Over the past few weeks that spread has widened further, above 6 vega points but well of its 2-year high of 10.34 which was touched in April 2018.
  • A widening spread between the 30-day implied volatility of the QQQs vs the 30-day implied volatility of the SPY suggests there is greater investor uncertainty to tech stocks with a greater volume of put buying.


Source: Quandl, ORATS