Skew malfunction! Goldman Sachs volatility team: A 10% surge and a 10% plunge in US stocks are actually being assigned the same pricing.
Market fear over downside risks has virtually disappeared, and a core pricing mechanism in the options market is failing.
Goldman Sachs derivatives strategist Brian Garrett pointed out in his latest weekend report that the S&P 500 options volatility skew has fallen to an 18-month low, with the market