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Amy Wu Silverman
RBC Capital Markets, head of derivatives strategy
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Opening answer on whether this earnings season's after-hours whipsaws showed up in the options market, with the Dow coming off a record on the first trading day of August.
Yeah, I will tell you, specifically when you look at an Amazon and when you look at a Microsoft, their one-day earnings realized move was the largest on record. So pulling it back to all the previous quarters, I think it was plus 15% and plus 17%, respectively. But overall, when you look at earnings seasons, specifically as it relates to the hyperscalers, they're beating these implied moves that are happening on options, and that's historically not the case. Typically, options tend to overprice the earnings move, and then they under-realize we're seeing the opposite this time.
Nasdaq since this was said: ▼ -0.5% · 26,585 → 26,456 · as of 2026-08-05
'It's not the hyperscalers you married' exchange - massive AI capex funded by debt has changed the character of these stocks.
When you spend that much capex and then you issue that much debt, they're far more rates sensitive and they're far more sensitive when you think about that negative free cash flow. So it's not the same beast. And because of that, there really is a volatility regime shift and how volatile these stocks will be going forward that was not the same as the past.
Asked if the 'frothy factor' and AI concern have played out; her skew-inversion monitor (count of S&P stocks with call vol outweighing put vol) fell from highs near 80 to about 50 after last week's 'situational awareness' shakeout.
So about average levels that tells you froth has been sucked out of the market. However, as we get past this earning season, August tends to be a volatility vacuum. And then we hit into midterms. I would expect some of that to reoccur.
S&P 500 since this was said: ▲ +0.1% · 7,737 → 7,742 · as of 2026-08-05
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