Tanvir Sandhu, chief global derivatives strategist at Bloomberg Industry Research, said that the S&P 500 index volatility premium related to the US presidential election fell a few weeks before the referendum. “In recent weeks, the S&P 500 options market price the one-day volatility premium associated with the US election was about 1.8%. Previously, it was around 2.4%,” Sandhu wrote in a report to clients.

Zhitongcaijing · 10/25 18:33
Tanvir Sandhu, chief global derivatives strategist at Bloomberg Industry Research, said that the S&P 500 index volatility premium related to the US presidential election fell a few weeks before the referendum. “In recent weeks, the S&P 500 options market price the one-day volatility premium associated with the US election was about 1.8%. Previously, it was around 2.4%,” Sandhu wrote in a report to clients.