Ben chabot(@chabot_ben):We're starting to get a little bit of concern in the stock market. We're still a long way from fear but the ES 25-delta risk-reversal for 9/15 is -2.8 which is ~70th percentile. Option buyers aren't concerned but the risk reversal has been above the 90th percentile many days lately. Also, the post-FOMC 9/16 risk reversal is -4.2 which is ~30th percentile*. That is still low for an important FOMC data day, but traders are willing to pay up a little for downside protection around the announcement.

Ben chabot

@chabot_ben

Professor at Northwestern University. Teach finance at UC-Booth. Former Economist and Senior Policy Advisor at Federal Reserve and Professor at UMich and Yale.

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Ben chabot@chabot_ben

2026.09.14 14:32

We're starting to get a little bit of concern in the stock market. We're still a long way from fear but the ES 25-delta risk-reversal for 9/15 is -2.8 which is ~70th percentile. Option buyers aren't concerned but the risk reversal has been above the 90th percentile many days lately. Also, the post-FOMC 9/16 risk reversal is -4.2 which is ~30th percentile*. That is still low for an important FOMC data day, but traders are willing to pay up a little for downside protection around the announcement.