Options Brief - 11 September 2026
Summary
The options market experienced significant activity leading up to the expiry on September 11, 2026. The week saw various markets utilizing their price ranges, with the Nasdaq 100 fund, gold, and bitcoin fund nearing their respective limits. The S&P 500, however, exceeded its range significantly, indicating a mispricing in the options market.
Market Overview
The market regime is currently transitioning, with a VIX of 17.84 and a term structure in contango. The skew is elevated at 147.02, indicating a heightened perception of risk. The front-month VIX futures are priced at 19.05.
Market Activity
As of the last session, the Nasdaq 100 fund had utilized 91% of its option market range, gold 99%, and bitcoin 97%. In contrast, the S&P 500 had spent 161% of its band, closing below its lower bound. This suggests that the options market had priced in a calmer week than what transpired.
Headline Drivers
Brent crude oil prices surged over 6% due to escalating tensions in the Middle East, impacting Saudi energy operations. Additionally, US producer prices rose by 0.4% month-over-month, leading to an annual rate of 5.4%, slightly above expectations.
The European Central Bank raised its deposit rate by 25 basis points, which influenced bond yields across Europe and the US, with the US 2-year yield reaching a cycle high above 4.58%.
Market Snapshot (as of September 10, 2026)
- S&P 500: 7,591.70, down 0.58%
- Dow: 52,069.22, down 0.61%
- Nasdaq 100: 29,103.51, down 1.08%
- Brent: USD 108.65
- Gold: USD 4,344.20, down 1.43%
- US 2-year yield: 4.594%
Options Flow Sentiment
On September 10, the large-cap technology sector saw a confirmed-opening premium of USD 392 million, predominantly in puts, indicating a defensive posture. The overall market recorded a total of USD 3.63 billion in confirmed-opening premium, with 88% in puts, reflecting a cautious sentiment ahead of the inflation print.
Volatility Surface
The VIX term structure shows an upward slope, with the front-month VIX at 17.84. The skew remains elevated, indicating a market that is pricing in potential volatility rather than a crash.
Market Pricing Insights
The session implied move for the September 11 expiry is priced at 63 points, reflecting the market's anticipation of the upcoming inflation report. The market has been willing to pay up for options, indicating a shift in sentiment as the expiry approaches.
Conclusion
The options market appears to have underestimated the volatility of the week, with significant movements observed across various asset classes. The correlation readings suggest a broader market response rather than isolated movements, particularly in light of the impending inflation report that could influence Federal Reserve decisions.