Up a fifth, still the cheapest session - Options Brief - 28 October 2026

The options market treats the Federal Reserve decision as the cheapest of the three remaining sessions, while unusually high implied correlation means shocks in large individual stocks could spread across the index.

• S&P 500 options price a 0.60% move for Wednesday’s expiry and 1.14% across the three sessions to Friday, leaving about 0.69% for each of Thursday and Friday.
• The Fed is expected to hold rates after September’s 25-basis-point increase, while futures price an 82.5% chance of a higher year-end rate by December; Thursday also brings US growth and inflation data, the ECB and reactions to Microsoft and Alphabet results.
• Microsoft’s options price a 4.7% move versus a 7.0% average over its last eight reports, making it the only one of five remaining reporters priced below its own history; Apple is priced at 3.6% versus 2.5%, Alphabet at 5.5% versus 4.1%, and Novo Nordisk at 6.6% versus 5.0%.
• The one-day volatility gauge rose 19.45% to 12.53, but remained at only the 62nd percentile of its 107-session range, below the nine-day gauge at the 79th percentile and the headline VIX at the 78th.
• Implied correlation fell 3.30% to 13.49 but remained at the 94th percentile of Saxo’s dataset, while SKEW stayed elevated at 149.22; across 524 identical underlyings, median implied-volatility rank fell to 44.0 from 45.9, mainly in stocks that had finished reporting.

Takeaway: Investors should not assume that the Fed session carries the week’s largest risk: the options market assigns more movement to Thursday, and the persistently high correlation reading argues that a surprise in one large company could transmit across the index.