Options on the S&P 500 are pricing only about a 0.8% move for Tuesday’s session, after Monday’s 2.35% rally used most of the range the market had priced for the week, with the US inflation report still to come.
MoneyTurkey Options Desk | 10 November 2026
Key points
- The S&P 500 closed at 7,549.94 on Monday, up 2.35%, according to Saxo Bank and Reuters, as cited by OptionsPilot
- Saxo said that rally used 98% of the roughly 2.39% weekly range options had priced around Friday’s close
- Options on Tuesday’s expiry, which includes the inflation report, price a move of about 0.79% to 0.81%, or about 60 points, Saxo and OptionsPilot said; the quotes were taken before the US session
- The Cboe Volatility Index closed at 19.92, down 5.72 points, or 22.31%, both firms said
What the options say
Saxo Bank’s 10 November options brief said the S&P 500 started the week with a move of about 176 points, or 2.39%, priced around Friday’s close of 7,376.86. Monday’s close at 7,549.94 sat just under the top of that range. The same brief said options on today’s expiry were pricing about 60 points, or 0.79%, and that those quotes were indicative before the open.
OptionsPilot, using Cboe bid-ask midpoints after Monday’s close, put the same-day straddle on the S&P 500 exchange-traded fund at about 0.81%. That lines up with Saxo’s reading. Options on the 13 November expiry price a move of about 1.49%, or 113 points, Saxo said, leaving roughly 0.73% a session for Wednesday to Friday.
Short-dated implied volatility fell sharply. Saxo said its one-day volatility gauge, which tracks what options charge for protection over the next session, dropped 39.75% to 17.31, while the one-month Cboe Volatility Index fell 22.31% to 19.92 and the curve from short to long tenors sloped upward again. OptionsPilot also had the Cboe Volatility Index at 19.92, down 5.72 points after a high of 23.37.
What stands apart
Not every reading eased as far. Saxo said Nvidia fell 4.3% on Monday while the index rose, and that Nvidia’s volatility rank, which places current option prices in their range over the past year, edged up to 84.9. The Cboe SKEW index, which tracks the price of protection against a sharp fall, eased only 2.09% to 150.34, still above its median, the brief said.
The US consumer price index for October is due at 13:30 London time. OptionsPilot, citing a Dow Jones poll reported by CNBC, said economists expect a 0.3% rise on the month in the headline index and 0.2% in the core index, which excludes food and energy.
What to watch
- The October consumer price index at 13:30 London time
- Whether Tuesday’s S&P 500 move stays inside the roughly 0.8% range priced in the options
- Whether short-dated implied volatility keeps falling after the release
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For information only. Not investment advice.
Sources
- Saxo Bank, Options Brief, 10 November 2026: home.saxo
- OptionsPilot, 9 November 2026, citing Reuters, Cboe and CNBC: optionspilot.app
