The SPX OTM Calls IV has drastically fallen today and yesterday even though the market has not changed much. Why is that? Do options traders think the market will fall?
The 25D call vol is 27%... as is the same-strike put. The 25D put is trading at a 32% vol. The 25D RR is trading at 5. Same as yesterday.
The price of those calls have fallen. If someone bought Calls on Friday they would have lost money even though the market has gone up.
Well, yes, compared to Friday the near otm are lower today/yesterday, but, ummm, the market is actually higher than on Friday. Doesn't seem out of the ordinary to me. Do you have any specific examples? To me, recent craziness was from the low on 3/23 through say 3/28. Here's 3/24 to 26:
Cool story, Bro. You stated IV. IV and the curve are intact, but obviously not your account. Ever heard of decay?
Not too mention the vol skew inverted and then reverted plus the vol crush..which us what I think you said