Goldman Sachs quants says S&P 500 to swing +/- 2% on a wild election day

A heads up via a Goldman Sachs derivatives research note.

Citing options markets, GS says it’ll be a volatile election day (November 5):

• SPX options pricing implies a plus/minus 2.1% move on the day
• options on the top 25 macro ETFs which imply an average move of +/- 5.3% for U.S. elections when compared to the past realized moves of ~+/-2.8% during the 2016 and 2020 elections
• options market implies a move of more than 7% for ProShares Bitcoin ETF (BITO)

Two of the funds with the highest implied volatility are linked to China:

• both Dems and Reps have an aggressive posture toward China
• but Trump’s tariff proposal could pose a more sizeable threat

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Yeah, like the sub heading says, wait until after Tuesday’s close and then it’s a 6 hour wait until Tokyo opens (US changes off daylight saving this weekend so maybe its 5 or 7 hours, whatever – strap in for wild moves!)

I’m ready!

This article was written by Eamonn Sheridan at www.forexlive.com.