Options Brief - Iran Ceasefire Extends, Risk-On - 22 April 2026
By Koen Hoorelbeke, Investment and Options Strategist
Summary
Today's Options Brief discusses the implications of the recent extension of the US-Iran ceasefire, the resulting market movements, and key earnings reports affecting volatility in the options market.
Market Overview
President Trump has announced an extension of the US-Iran ceasefire, leading to a significant market reaction. Oil prices have dropped as the risk premium associated with the Hormuz Strait diminishes, with WTI futures at $88.85 and Brent at $97.56. US equity futures are showing positive movement, with the S&P 500 futures up by 0.56% and the Russell 2000 futures leading at 0.96%. The volatility index (VIX) has also decreased by 1.69% to 20.60, indicating a reduction in short-term volatility premiums.
Key Developments
Ceasefire Extension
The extension of the ceasefire has removed the binary event risk that previously pressured the markets. The immediate market response has been a shift from risk-off to risk-on, with equity futures rallying and oil prices falling.
Market Snapshot
- S&P 500: 7,064.01 (–0.63% on Tuesday)
- Nasdaq 100: 26,479.47 (–0.42% on Tuesday)
- Russell 2000: 2,764.97 (–1.00% on Tuesday)
- VIX: 19.50 (+3.34% on Tuesday)
Options Analysis
VIX1D Vol Crush
The recent spike in VIX1D to 16.20 exemplifies how implied volatility can price in discrete binary events. With the ceasefire extension, this premium is expected to deflate rapidly, impacting energy derivatives and other sectors sensitive to geopolitical risks.
UnitedHealth Group (UNH) Earnings
UNH's Q1 earnings report showed a significant discrepancy between implied and realized volatility, with a 4% implied move versus a realized move of approximately 9%. This highlights a common trend in sectors affected by regulatory uncertainties, suggesting that similar mispricings may occur in upcoming earnings reports.
Tesla Earnings Outlook
Tesla is set to report its Q1 earnings, with options pricing in a 5% implied move, while historical averages suggest an 8% move. The decision for traders lies in whether to adopt a long straddle or a short iron condor strategy based on their expectations of volatility.
Conclusion
The market has reacted positively to the ceasefire extension, with oil prices falling and equity futures rising. The focus now shifts to the implications of UNH's earnings and Tesla's upcoming report, as well as the ongoing uncertainty surrounding the Federal Reserve's direction under Kevin Warsh. The morning session indicates a risk-on environment, but the sustainability of this shift remains to be seen.