GS Equity Index Vol Update 31Jul26

Summary: SPX: 7,489.72 (+0.70%) NDX: 28,274.20 (+0.60%) RUT: 2, %) VIX: 15.99 (-1.10pts) EEM: 64.09

The equity market rallied into month-end as strong earnings overshadowed inflation worries. Spot opened higher but was choppy in the morning. Fixed strike vols opened bid across the board and were more bid when spot sold off in the first hour of trading. However, as spot recovered the loss and ground higher through the rest of the session, vols were hammered. We think that this negative spot-vol dynamic will continue as the market trades below all-time highs. Term structure steepened on this move, with front end vols hit most. Risk parameters repriced lower, as skew flattened across the surface and vol of vol was offered. The VIX futures curve also steepened, with the front shifting lower while the back end of the curve remained firm. NDX and RUT vols were also crushed on today's move.

Flows on the desk were on the busy side today. We saw a general tilt toward buyers of vol through the day, especially on the downside. We also saw quite a few skew sellers in the morning. Post month-end, we estimate that dealers still peak long gamma to the topside and will flip short to the downside. Looking ahead to next week, we will see ISM on Wednesday, Initial Jobless Claims on Thursday, and July NFP on Friday. Next Monday’s straddle goes out at 62bps ($46.5) and next Friday’s straddle goes out at 1.31% ($98.5).

Notable trades: SPX Oct 3600 / Jan 3700 ps paper bot 3k for 7.2 live SPX 7Aug 7015p paper sld 2700 live @1.65 SPX 30Sep 8325/8700 cs paper bot 3k for 1.8

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 31Jul2026. 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.