Equity Derivatives in 2022

The main themes in equity vol this year has been the underperformance of vol, despite the declining the market. There are collapse in the options skew and convexity pricing. The continued theme of the S&P grinding lower in 2023 can see the market reluctant to mark up in play fall. And secondly, there has been a shift in the return distribution to the right tail as reflected in record activity and call options.