SOXS Options: What the Market Is Pricing

30-day at-the-money implied volatility and the volatility the price actually delivered over the previous 21 sessions. Implied volatility usually exceeds recent realized volatility; the gap looks backward and is not a profit anyone has earned.

The 25-delta put’s implied volatility minus the 25-delta call’s at 30 days. Higher means investors pay more for downside protection relative to upside (on SOXS, downside for the fund is a rally in the NYSE Semiconductor Index, so this is the price of protection against one). It reads −25.9 pts, the 33rd percentile, against −31.7 pts a month ago.

Tail premium and call skew

Implied volatility by maturity today and a month ago, then the 30-day minus the 90-day over time. Above zero, the near term is priced above the longer term, the shape of stress.

Implied volatility by strike for the expiry nearest 30 days, out-of-the-money puts to the left of the price and calls to the right, today against a month ago.

How the charts’ marked dates are defined: five fixed rules that compare what options price with what the price is doing. They retain their original thresholds. The corrected study uses each rule’s required inputs and counts episode starts before checking whether their next 21 sessions are complete. Percentile rules require 120 earlier valid readings; every rule waits at least 120 sessions. Missing inputs make a state unavailable. Historical results are retrospective associations, not established forecasts. The earliest eligible state here begins April 14, 2025. SOXS re-expresses SMH, so its episodes are the same market moves: they are listed here but kept out of the pooled grade, which would otherwise count one selloff twice.

Next month = 21 trading sessions. Each rule uses its own eligible baseline for the median, bootstrap and symbol sign agreement. Association requires a 95% month-block interval excluding zero and agreement across two thirds of symbols; 1 meet that descriptive criterion. Matched controls use the same symbol, within 3 percentage points of 20-session return and drawdown, and 15 volatility points of realized volatility, separated from event windows by more than 21 sessions. These comparisons use the historical sample. 0 completed prospective episodes so far across the unleveraged study symbols. A separate prospective record freezes new detections after October 18, 2026 and fills outcomes only once 21 sessions have elapsed. No prospective forecasting claim is established yet.

Compare options markets

Percentiles compare each symbol with its own history. Leveraged funds and individual stocks carry different risks; raw IV is not a risk ranking.

• Implied volatility is computed from each contract’s daily close against the underlying close (Black-Scholes with the dividend yield and the fed funds rate), using weekly expiries within 200 days, a strike range of Two lagged realized-volatility moves over 30 days, at least 0.5–2× spot and at most 0.25–4×, and contracts with at least 10 traded and a close of $0.05 or more.
• Last trades are not one synchronized surface: within an expiry, a put cannot cost less than a lower-strike put (nor a call more than a lower-strike call), and contracts whose last trades break that are dropped, the thinner-traded one first. On Oct 19, 2026 that removed 26% of the traded contracts (median 3% across the history); today’s surface is lower quality than usual.
• Closes are last trades, not synchronized quotes, and American options are treated as European. Dividend yield uses trailing distributions, which can be especially unstable for leveraged funds. The per-symbol vendor comparison above measures disagreement between two models and price inputs, not accuracy against a known true volatility.
• The history starts in October 2024, as far back as our data plan serves daily option prices, and lengthens every day. Open interest cannot be rebuilt for past days, so its history builds forward from the first daily chain snapshot (2026-10-16, 2 daily snapshots so far); the OCC put/call record starts October 23, 2024.
• The states remain descriptive. Price-only and matched comparisons test whether the options conditions add information; a short, revised historical sample cannot establish that they will forecast future returns.