GS Equity Index Vol Update 13Aug26

Summary: SPX: 7,798.99 (+0.65%) NDX: 30,084.50 (+1.15%) RUT: 3,052.847 (+0.24%) VIX: 14.63 (+0.08pts) EEM: 66.68

Fresh all-time highs for equities as more evidence of moderating inflation eased concerns about a hawkish Fed. PPI was unchanged month-over-month. The vol story of the day was spot up vol up across the board. Fixed strike vols opened higher as spot opened in the green. Spot then ripped through the first hour of trading before chopping in a tight range for the rest of the session, with vols floating alongside. The vol bid was also parallel across tenors. NDX vols reversed yesterday's crush, outperforming among the three indices. RUT vols were offered in sympathy with spot underperformance. Skew flattened across the surface again. With SPX and NDX skew relatively flat, the desk thinks owning SPX and QQQ puts screen attractive as a way to play for a pullback from all-time highs here. On the back of some buyers of VIX calls, vol of vol was bid.

Flows on the desk were on the quiet side today, though we did see a tilt toward buyers of skew throughout the day. Notably, there was a sizable buyer of Nov 25 calls in the VIX complex in the morning. On the macroeconomic calendar tomorrow, we will see the U. of Mich. Inflation print. After realizing today's straddle ~1.5x to the topside, tomorrow's straddle goes out at 41bps ($32).

Notable trades: VIX Nov 25c paper bot 35k for 1.925 vs 20.15 on 39d SPX Oct 8700/9100 cs paper bot 1100 for 2.25

Max loss of buying options is premium paid, max loss of selling options is unlimited. Charts and tables source: Goldman Sachs FICC and Equities Division as of 13Aug2026. Past performance not indicative of future performance. Desk has positions in securities mentioned. All references to "we/us/our" refer to the views and observations of the trading desk. This is Marketing Material.