​Russell’s Maidel: SPX Call Implied Vol, Skew Dynamics Offer Attractive Opportunities

The recent recovery in SPX spot following the Brexit vote and subsequent lower levels of implied volatility in call options out to September maturities in the index has made it attractive to own upside on an outright basis or delta hedged, according to Scott Maidel, senior portfolio manager, Equity Derivatives, at Russell Investments. Furthermore, skew in SPX puts versus calls has just started to come in but still allowing investors to explore selling a put option to purchase multiple call options.