S&P Options Hit 1-Year Bullish Extreme as Traders Keep 10-Delta Crash Hedges
Updated
Updated · CNBC · Aug 12
S&P Options Hit 1-Year Bullish Extreme as Traders Keep 10-Delta Crash Hedges
3 articles · Updated · CNBC · Aug 12
Summary
Cboe data showed the strongest bullish skew in S&P call options versus puts in at least a year on Monday, with the one-month 25-delta put-call ratio at its lowest since mid-2024.
A sharp post-earnings rally and upside squeeze drove the shift, after Nasdaq options logged one of their most bullish days in 10 years and Cboe recorded call-option trading at a record.
Tail-risk demand has not disappeared: the ratio of 10-delta puts to 25-delta puts sits in the 66th percentile of the past five years, signaling traders still want cheap crash protection.
That caution follows a summer of hidden turbulence, including a 25% semiconductor pullback, record volatility gaps between the S&P 500 and Nasdaq 100, and historic put buying in the SMH ETF.
Small-caps have emerged as a volatility refuge as well, with Russell 2000 volatility dropping below 17 last week — a 2nd-percentile low over five years after the index's 20% gain this year.