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Volatility Anomaly Is Turning Perceptions of Safety Upside Down

  • Amazon, Alphabet implied three-month volatility below SPY’s
  • Seeking refuge in tech may point to more pain ahead for stocks
The New Safe Haven

Investors are redefining what constitutes safety in the stock market as the unprecedented lockdown of the U.S. economy takes hold.

Options pricing is showing traders have more faith in Amazon.com Inc. holding up than they do in the broader market. The anomaly, never before seen in data going back to 2010, puts the three-month implied volatility of the e-commerce giant below that of the SPDR S&P 500 ETF Trust. It has been an average of 15.6 points higher during the past decade.