There's a very noticeable kink in the vol curve - Friday (Oct. 4) is trading around 39 vol and Saturday (Oct. 5) is trading 51 vol. The market is pricing in a risk premium from nonfarm payrolls data, but more importantly, some probability of an Israeli retaliation post-Rosh Hashanah.
The implied volatility term structure indicates bigger price swings on Saturday (Oct. 5) than on days leading up to Oct. 25, according to Deribit options data tracked by Arbelos Markets.
Traders seem to be bracing for price turbulence post Friday's NFP and potential retaliatory strikes by Israel, indicating a shift from the usual quiet weekends.
The term structure is usually upward sloping, with longer duration options trading pricier in terms of implied volatility relative to short duration ones, but a kink indicates current unusual market conditions.
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