23-03-2026      from：www.fxcg.com   author: FXCG

Currently, investors are looking back at the 2022 market performance in an attempt to find clues about how the Iran war risk may impact the stock market.
The core issue is: inflation shocks will increase the correlation between various stock indices and may trigger a prolonged period of high volatility.
At present, the surge in oil and natural gas prices is gradually spreading to the entire supply chain—not only may gasoline prices rise, but the prices of various goods and services will also be affected. This change has shifted traders’ attention from individual stocks to the macro level, and macroeconomic concerns have begun to overshadow niche investment themes such as artificial intelligence. In turn, this has led to a narrowing of the volatility premium of individual stocks relative to the S&P 500 index, and a simultaneous decline in market trading volume.
Although the VIX (Volatility Index) is more sensitive to the decline of the S&P 500 index, the overall actual volatility of the index this time is relatively moderate compared with previous crisis periods. So far this year, the VIX volatility indicator has not closed above 30 points, while during the tariff turmoil in April last year, the indicator remained above 30 points for two consecutive weeks.
In 2022, affected by Russia’s invasion of Ukraine, the VIX index once exceeded 30 points, with an annual average of 25.64 points, more than 6 points higher than this year’s average level. In the same year, affected by the Federal Reserve’s multiple rounds of interest rate hikes, the S&P 500 index fell by 19% cumulatively.
Michele Cancelli, Global Head of Structuring for Citi’s Multi-Asset Group and Global Head of QIS Trading and Structuring, said that although some independent traders have carried out short volatility trades through VIX put option structures, there has been no substantial change in investor behavior in the QIS field.
“Despite the high volatility risk premium of the S&P 500 index, there are almost no signs that investors will rush to participate in short volatility trades,” he pointed out. “The volatility window triggered by the Iran situation may not have lasted long enough for investors to be confident enough to profit from it.”
The low actual volatility of the S&P 500 index is in sharp contrast to the position strategies of option traders. Most derivatives strategists have reached a consensus that traders shorted gamma before the quarterly expiration date. The intraday actual volatility is significantly higher than the closing price, which may be a direct reflection of the greater impact of traders’ gamma on the market.
At the same time, the broader market microstructure has not changed significantly: there is still a large number of overbought call options at the index level, and condor options with one day left to expire are also being continuously sold.
However, even if index hedging strategies (whether directly shorting the S&P 500 index or going long on VIX call options, etc.) continue to incur losses, if the market really crashes, the risk-return of these positions will still be affected. In addition, some investors still believe that reversing popular trading strategies such as volatility dispersion strategies has certain value.
Another major feature of the current market is intraday reversal, which indicates that although option traders may short gamma, they are not the main driving force of prices in an environment dominated by macroeconomic news. This intraday reversal explains to a certain extent why the actual volatility around the closing price is relatively flat—it means that some investors are still conducting contrarian trades. For example, on Thursday, the stock market was weak intraday but rebounded sharply before the close.
This reversal in price trends may turn short-term price reversals into real upward momentum, thereby driving stock prices to rise acceleratedly near the end of the trading day.

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