Kobeissi Letter, citing Goldman Sachs data, reports that the one-month standardized put/call skewness for Nasdaq 100 constituent stocks has fallen to 0, the fourth lowest in nearly 20 years, with a long-term average of approximately 0.11. This indicates that the implied volatility premium of put options relative to call options has disappeared, possibly due to decreased demand for protection or increased demand for call options. During the same period, the one-month implied volatility of individual stocks is reportedly down 17 percentage points to approximately 40%, showing that the market has simultaneously reduced both directional protection and short-term volatility premiums.
