Analysis: Single stock implied volatility significantly surpasses S&P 500 ETF, spread hits new high since 2016, historical data suggests SPY options may be undervalued
Analysis indicates that over the past ten weeks, the average implied volatility (IV) of individual stocks has remained at a historical high of approximately 50%, while the average implied volatility of the S&P 500 ETF (SPY) has been relatively low, at around 13.5%. The spread between the two has approached 36%, reaching its highest level since 2016. Historical data shows that under such extreme divergence, SPY options (especially call options and straddles) are typically undervalued and exhibit positive returns, while individual stock options generally underperform.
Source:Yahoo财经 · Source Link
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