Volatility Analysis | Report 1 – Semiconductor Stocks

The recent announcement by the US government adding more curbs on the sale of semiconductors to China hit Nvidia and Intel.  Today, ASML, the key maker of advanced lithography machines, announced a huge drop in demand.

The volatility surface of all three semiconductor stocks shows much higher implied volatility (IV) for puts.  This reflects the risk the market sees of downside risk, thus making put contracts more expensive.

ASML: puts show 10% (long-term) to 25% (short-term) more IV than the average IV.

NVDA: puts show 10% (long-term) to 45% (short-term) more IV than the average IV.

INTC:  puts show 10% (long-term) to 35% (short-term) more IV than the average IV.  Also, short term calls are about 15% more IV than average.

Note that we will analyze this in more detail in Macro Newsletter this week.   Thanks.