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S&P 500 Options Looking Like a Steal Before Referendum on Brexit

  • 30-day implied volatility on index lower than 1-year average
  • VIX has declined 12 percent since reaching four-month high
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What Investors Are Saying About the Possibility of Brexit

Updated on

The U.S. options market is underpricing the risk of British secession from the European Union, according to a New York-based firm that arranges volatility trades.

Implied volatility for S&P 500 Index at-the-money contracts expiring in 30 days sits at 15.1 percent, a price that is actually below the average level of the past year, according to data compiled by Bloomberg. Placidity can also be seen in the benchmark index’s fear gauge, the options-derived benchmark which has fallen 12 percent in the last week after reaching a four-month high.