The Nasdaq-100 index is experiencing a significant increase in the spread between its implied volatility and that of the S&P 500, reaching near record highs. This trend, driven by heightened demand for put options, contrasts with earlier months when call options were in high demand.
Specifically, the spread between the implied volatility of 25-delta puts in the Nasdaq 100 and the S&P 500 has surged from 3 points in mid-March to 13.6 today, as reported by Bloomberg. Kevin Davitt from Nasdaq noted that this shift reflects a changing sentiment towards the tech sector, indicating potential downside risks for high-performing tech stocks.
The semiconductor ETF (SMH) has also seen a decline, dropping 4.5% recently. Despite the increase in put demand, call-buying remains relatively high, although it has decreased from earlier in the year. Additionally, seasonal factors may be contributing to lower volatility expectations for the S&P 500, while the Nasdaq 100 is anticipated to remain volatile due to ongoing fluctuations in tech stocks