April 2nd? No, the options market is more concerned with two other dates

Despite investors remaining vigilant about the "tariff deadline" on April 2, the options market indicates that this is far from the only important date this month.

According to a report by Barclays analysts Anshul Gupta and Stefano Pascale, the options market data shows that the implied volatility of S&P 500 index options experienced a significant increase in the volatility curve on March 31 and April 4, even surpassing that of April 2.

March 31 and April 4 correspond to the first trading day after the release of the U.S. February core PCE price index and the release of the March non-farm payroll report, respectively. This suggests that investors seem more concerned about inflation and employment conditions than the tariff plan that Trump is set to announce on April 2.

The options market values economic data more than tariff threats

Although the S&P index has accumulated a 10% decline, entering a correction zone, the volatility indicators have remained unusually calm.

The VIX panic index shows that its fluctuations are not as intense as during the sell-offs in early August and December last year; moreover, the VVIX, which measures expected volatility of the VIX, fell to its lowest point since early December last week, indicating low demand for hedging against broader market turmoil.

Analysts suggest that the absence of peak volatility is partly due to some investors having reduced their positions and shifted focus to other regions of the world, decreasing the need to hedge against further declines.

Some viewpoints indicate that the real risk may lie in the economic fundamentals rather than the policy announcements themselves.

As recent erratic tariff statements have caused significant market fluctuations, an increasing number of traders seem to be waiting for "uncertainty" to turn into "certainty," and the PCE price index and non-farm data will directly reflect the price levels and employment market's response to a series of policies since Trump's inauguration, thus the market values them as highly as the April 2 announcement.

Henrietta Treyz, head of economic policy at investment firm Veda Partners, stated:

"There is a new perspective on Capitol Hill that once we get past April 1, there will be certainty, and the market will calm down."

"Most investors do not share this view; they believe uncertainty is the driving factor behind recent volatility, but they also place equal or even greater importance on economic impacts."

The volatility of "event days" has largely been priced in

Max Grinacoff, head of U.S. equity derivatives research at UBS, stated that investors holding U.S. stocks have not "rushed into put options as they did on August 5 last year," expecting the VIX to remain within its current range in the short term.According to Grinacoff, the implied market volatility for April 2nd options is comparable to the volatility level surrounding this month's Federal Reserve FOMC meeting. He added that volatility around event days has largely been priced in over the past few weeks.

It is worth noting that Wall Street previously mentioned that the negative economic impact of tariff "uncertainty" could be more far-reaching than expected.

Fitch's Chief Economist Brian Coulton stated:

"Tariff increases will lead to higher consumer prices in the U.S., lower real wages, and increased business costs, and the surge in policy uncertainty will impact business investment."

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