Market Update: Options Implied Volatility Show Key Macro Events Ahead

Traders should prepare for heightened volatility as several key macroeconomic events approach. With significant economic reports and the Federal Reserve’s decision, implied volatility (IV) levels react accordingly.

Upcoming Macro Events and Their Volatility Impact

March 17 (Monday): Retail Sales (MoM)

• Additional IV Impact: +30%
• Historical 1-Day HV: 11.4%
• Market Influence: Retail Sales data, released pre-market, often sets the tone for the week. Substantial numbers indicate consumer resilience, while weaker data may stoke concerns over economic slowing.

March 19 (Wednesday): FOMC Economic Projections & Fed Press Conference

• Additional IV Impact: +30% (FOMC Projections)
• Historical 1-Day HV: 19.3% (Projections), 17.5% (Press Conference)
• Market Influence: The Fed’s rate decision and outlook have historically driven significant market movement, with IV spiking in anticipation. The press conference following the announcement often triggers further reactions as traders digest the Fed’s guidance.

March 21 (Friday): Current Account & Initial Jobless Claims

• Additional IV Impact: +46% (Current Account)
• Historical 1-Day HV: 18.0% (Current Account), 12.6% (Jobless Claims)
• Market Influence: While not as high-profile as the Fed decision, these reports influence near-term risk sentiment, especially in rate-sensitive sectors.

ORATS Macro Calendar

ORATS provides a Macro Calendar that tracks upcoming economic events and displays them against historical averages for the implied macro move (IMM), and ORATS calculated one-day historical volatility (orHv1d). ORATS uses a modified Parkinson's historical volatility calculation that allows a one-day reading instead of close-to-close measurements that require more days. This dashboard helps traders correlate macro releases with options market expectations, identifying key dates where volatility spikes are expected.

Why This Matters for Traders

Traders who understand how macroeconomic reports influence implied volatility can identify trading opportunities, hedge risk, and position for potential market moves.

With the FOMC decision and economic reports set to drive market action, traders should closely monitor how options pricing evolves leading up to these key events.

Want to stay ahead of volatility shifts? ORATS delivers the data you need to trade with precision.