The FOMC Volatility Premium: Evidence from 1-Day Nasdaq-100 Straddles

The article highlights a sharp December 2024 outlier in 1-day NDX ATM straddles around FOMC day, with the option priced at 187.40 the day before settlement and finishing at 790.69. The note is primarily a historical volatility comparison tied to FOMC events, underscoring how Fed days can produce extreme option repricing. It is informational rather than directional and is unlikely to have immediate market-moving impact on its own.

Analysis

The article highlights a sharp December 2024 outlier in 1-day NDX ATM straddles around FOMC day, with the option priced at 187.40 the day before settlement and finishing at 790.69. The note is primarily a historical volatility comparison tied to FOMC events, underscoring how Fed days can produce extreme option repricing. It is informational rather than directional and is unlikely to have immediate market-moving impact on its own.