Scalping Ranges and the Gold/Silver Divergence
Implied volatility has remained sticky throughout Q1 of 2025, and that implied volatility has generally been realized.
Whether you pin it to the upcoming tariff news, Q1 rebalancing, the JPM quarterly collar trade or something else ... realized volatility over the last couple trading sessions has been near highs.
This past week's intraday high-to-low ranges in /ES have been in the top 2.5% of historical ranges.
Here are the one standard deviation historical high-to-low ranges—we call them our "scalping ranges.”
About 68% of the time, the high-to-low range are under these ranges. If the market intraday range is out of this, it could be considered "unusual.”
For example, in March the one-standard-deviation, high-to-low range was 122 points. That was an increase from February's 83 point range.
Gold has increased in price considerably more than silver.
The gold-to-silver ratio has hit a new high at almost 92 ounces of silver per a single ounce of gold. It peaked in August 2024 at around 91. Gold and
Silver have had strong rallies this year—it's just that gold's rally has outpaced silver.
Trading for the ratio to contract (move lower) would be to short gold and long silver.
The airlines have been hit hard over the last couple months, with both United Airlines (UAL) and Delta Air Lines (DAL) down nearly ~30% year-to-date. Volatility has stayed high - DAL currently has an 72 IVR with monthly implied volatility at 58%. If you think there might be a bottom or a bounce, the 40 strike put in May trades at $2.17 with a roughly 35 delta and only uses around $650 in buying power.
The markets are sinking to their lowest points so far this year as the tariff news finally hits the tape. Is the worst already baked in? Volatility remains high with the VIX at 23, and the /VX curve remains very flat through the end of the year. If you think there might be some relief from the known/unknown—an upside play in SPY would fit the bill.
Long the JUN 575 call provides some gamma, while the short 2x/1x May 585/595 provides some short vol and positive theta decay.
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Michael Rechenthin, Ph.D., (aka “Dr. Data”), managing director of research and development, has 25 years of trading and markets experience. He’s known best for his weekly Cherry Picks newsletter. On Thursdays, he appears on Trades from the Research Team LIVE.
Nick Battista, tastylive director of market intelligence, has a decade of trading experience. He appears Monday-Friday on Options Trading Concepts Live. On Wednesdays, he co-hosts Johnny Trades. @tradernickybat
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