Upside Call Skew Starting To Get Excited
From Macro-To-Micro Options Power Hour recorded on Sep 17, 2025
In this short clip from Macro-To-Micro Options Power Hour, recorded on Sep 17, 2025, Samantha LaDuc and Hans Albrecht discuss why upside call options have been unusually cheap, with implied volatility and call skew compressed even as demand for 6–12 month calls starts to rise.
They explain that realized volatility has fallen to exceptionally low levels (SPX ATM IV near ~5%), which tempts traders to sell premium, but a single 2% down day can punish short-vol strategies.
Hans outlines how he’s adapting—shifting to structures like broken-wing butterflies to stay long upside while respecting higher short-term option pricing—and highlights relative value in names like Micron versus richer AI semiconductor peers.
They also note that post-Fed churn can lead to brief rotations from mega-cap AI leaders into more rate-sensitive, “real-world” sectors, without changing the longer-term AI-driven bull narrative.
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