Key Volatility Expirations: What Options Markets Are Pricing In Options data near close Friday highlights notable volatility bumps for the following expirations: February 24, 2025: +16% February 27, 2025: +56% March 7, 2025: +106% These represent elevated volatility levels compared to baseline implied volatility, suggesting that traders are pricing in potential market-moving catalysts. For example, for Monday the market expects the volatility for this day to be 16% higher than the base implied volatility. By tracking and recording these shifts over time, we can measure how macro events historically impact market expectations. Market-moving events create volatility spikes that traders need to anticipate. At ORATS, we analyze options' implied volatility (IV) beyond zero-day expirations to identify the impact of upcoming macroeconomic events. By stripping out the noise from single-day price movements, we isolate additional volatility associated with key expirations and provide a rational baseline term structure for traders seeking a clearer picture of market expectations. ORATS Macro Calendar ORATS provides a Macro Calendar that tracks upcoming economic events and rates their expected impact on market conditions on a one-to-three-star scale. Events with three stars are expected to have the most significant effect. This dashboard helps traders correlate macroeconomic reports with options market expectations, identifying key dates where volatility is expected to spike. Macro Events Driving Volatility Spikes While February 24, 2025, currently lacks a major scheduled macro event, implied volatility suggests traders are positioning for the recent volatility markets have experienced to continue into Monday. February 27, 2025: Macro Events and Expected Volatility This expiration aligns with several significant economic reports, historically known to influence market sentiment: Event Additional Volatility Historical Averages GDP Price Index (QoQ) 57% Initial Jobless Claims 60% Durable Goods Orders (MoM) 61% Pending Home Sales (MoM) 63% Fed Balance Sheet Release 80% Compare these historical averages for Thursday with the current additional IV of 56% shown above. March 7, 2025: Major Market Catalysts With a +106% implied volatility bump, March 7 stands out as the most anticipated expiration. Key macroeconomic reports released that day include: Event Additional Volatility Historical Averages Non-Farm Payrolls 81% Average Hourly Earnings 104% Unemployment Rate 85% Baker Hughes Total Rig Count 58% Bank of England Consumer Credit 106% Compare these historical averages for a week from Friday with the current additional IV of 106% shown above. Why This Matters for Traders Understanding how macroeconomic releases influence implied volatility allows traders to find an edge by comparing current to historical moves, position for potential moves, and optimize risk-reward dynamics. ORATS’ historical tracking of these events offers deeper insights into how these volatility bumps compare to past occurrences, helping traders anticipate market reactions with data-driven confidence. Want to stay ahead of volatility shifts? ORATS delivers the data you need to trade with precision.
When we solve for the bumps, we don't seed the calculation with contango or backwardation, but the base term structure is sure showing a large backwardation indicating volatility is in our future.