GS Vol Views

GS Vol Views - GS Vol Views 14 Oct 2026 Robbie Stankard, Stephen Brennan, Cullen Morgan, George Eid, Erin Briggs · Goldman Sachs · Derivatives desk, FICC & Equities 14 Oct 2026

GS Vol Views – our periodic update on flows, ideas, and content from our derivatives desk. Open to feedback so please let us know what might be most useful...

Overview: With poor sentiment and low net exposures, investors seem hesitant to play offense. As such, our flows have had a defensive tilt, and skew has steepened off the back of this downside demand. That said, the options complex is exuding limited panic overall -- our Vol Panic Index reads 2.7/10 (Chart).

As we enter into a catalyst-heavy stretch (3Q earnings, FOMC, Midterms), gamma and vol both screen cheap to us and we expect clients to engage more tactically.

We'll get additional macro data (PPI, Retail Sales) and earnings reports from ~7% of S&P market cap before the end of the week -- implied move through Friday goes out at only 0.76%.

I) With 3Q earnings season underway, it's worth noting the options complex continues to price considerable dispersion through year-end; 3m implied correlation sits below the 2nd %-ile over the last twenty years (Chart).

II) Our cash desk has flagged consecutive days of Generalist/LO outflows from AI/Memory. Consistent with this, our desk has seen several notable restructurings of prior bullish options positions in the market.

- SKHY 20Nov26 195/225 call spreads rolled down-and-in to SKHY 30Oct26 175/195 call spreads, 20k around.

III) Trade Idea -- GSX1MEGA 15Jan2027 95% puts indicatively cost 3.05% (-30d, 30v) ... our PB data shows net exposure to Mag7 constituents is in the 100th percentile vs the last 5 years, yet interestingly the average 3-month implied volatility is approaching multi-year lows (Chart). We like puts on our Mag7 basket as a hedge through earnings and year-end (provides a 0.92% discount to the avg individual name).