Option Prices Imply Very Little Will Happen This Coming Month
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Research<br>Option Prices Imply Very Little Will Happen This Coming Month
By Wojciech Gryc · August 16, 2026 · 6 min read
If you look at current options prices and indices derived from them, they seem to be saying<br>something similar: everything is fine, everybody is happy, and don't worry—for at least the next<br>30 days.
The Chicago Board Options Exchange (CBOE) manages options trading and runs indices to help<br>understand how options markets are behaving. Option prices are great financial instruments for<br>understanding where investors are expecting prices to go. Given that options are priced to track<br>various price levels of stocks (i.e., their strike prices), have expiries (i.e., time frames), and<br>Greeks (i.e., metrics to track price in relation to time frames, volatility, and interest rates),<br>one can use them to get a rigorous perspective on market perceptions of risk and the price<br>the market is willing to pay to avoid or accept that risk.
Interestingly, the major indices tracking S&P 500 constituents imply that the next 30 days<br>will be some of the quietest and calmest of the year… It's as if nothing is happening<br>this coming month!
Of course, this is what option prices imply the market expects. More importantly,<br>do we agree with this conclusion? Absolutely not—and when markets expect nothing to happen,<br>and something does, then you can likely expect a pretty aggressive response in terms of selling,<br>buying, and price changes. An unexpected crisis tomorrow can be an opportunity today.
Here, we explore the various indices and what they are telling us.
The “fear gauge” is hovering at a<br>52-week low
The Volatility Index (VIX) tracks how much the market<br>expects share prices to move on an annualized basis, but specifically covers data for the coming 30 days.<br>It's often described as the “fear gauge” because most investors<br>buy 30-day options to cover potential losses—i.e., protect themselves from downside<br>risk, rather than upside rewards.
The VIX can be converted to the market's expectation of the coming<br>30 days' movements in S&P 500 prices by dividing it by √12.<br>Friday's close of 14.25 implies the market expects a price move within ±4.1%. More<br>importantly, as shown in Figure 1, this is one of the lowest values over the past<br>~12 months.
Cboe Volatility Index (VIX)
Daily close · 30-day expected S&P 500 volatility implied by SPX options
Data: CBOE<br>Source: Emerging Trajectories
Figure 1: VIX
The VVIX, or the “volatility of the VIX” index, is a measure of<br>market expectations of the volatility of the VIX itself; the higher the score, the<br>more options prices imply buyers and sellers expect an “explosive”<br>event—something where the volatility doesn't just rise, but it does so very<br>rapidly. Lower scores imply expected changes to be slower in nature. Friday's close of 87.48<br>put the metric close to this year's lowest level of 85.75.
As an illustration of how wrong the market can be, the VVIX's lowest value<br>in the past two years was on March 24, 2025—about a week before Liberation Day. The market then corrected itself by hitting the highest VIX and<br>VVIX for the year shortly after tariff announcements.
Cboe VIX of VIX Index (VVIX)
Daily close · expected 30-day volatility of the VIX itself
Data: CBOE<br>Source: Emerging Trajectories
Figure 2: VVIX
Dispersion is low
Dispersion on S&P 500 options (DSPX) measures how different the<br>expectations around volatility (up or down!) are between companies. High dispersion can<br>be interpreted as market participants expecting certain stocks to go up or down while others<br>remain relatively flat or do the opposite. Low dispersion means that whatever is expected<br>to happen will likely happen across most companies in one form or another.
Using dispersion and volatility together illustrates the sorts of return expectations options buyers have for S&P 500 constituents. For example, high<br>volatility and low dispersion implies expectations that many stocks will be volatile, while low<br>volatility and high dispersion implies no volatility in most cases, with a few outliers.
Cboe S&P 500 Dispersion Index (DSPX)
Daily close · implied dispersion across S&P 500 constituents
Data: CBOE<br>Source: Emerging Trajectories
Figure 3: DSPX
Today's low volatility and dropping dispersion, as shown in Figure 3, imply the market expects less volatility and with that trend<br>applying across the S&P 500. To be clear, DSPX is not at a historical<br>or 52-week low, but the trendline is interesting. In the last 3 weeks, the index has dropped about<br>25%, implying the market is feeling like stocks will move with more alignment compared to the past few weeks.
You can see just how high-stakes this past earnings season was, given the DSPX was at 2-year highs around July 21. Market expectations for some stocks were very...