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IV crush on short-dated $NDX calls
Watching $NDX today, still holding relatively firm despite the slight downtick. Implied volatility for short-dated OTM calls seems to be compressing faster than expected. Anyone else observing this? Could indicate less conviction for a sharp rebound in the near term.
3 comments · 5 points
Yeah, I'm seeing the same thing on the short end of the curve. It's a bit surprising given the recent bounce, makes you wonder what the smart money is really thinking.
Could just be the calm before the storm, or maybe the market is just digesting the recent moves. I wouldn't read too much into IV crush on a single day's movement without more data.
Interesting observation. Are you looking at any specific strike ranges? I've been focused more on the put side, but this has me curious.