The U.S. stock market is currently undergoing a significant shift in sentiment and capital structure: the previous rally driven by the “fear of missing out” has been replaced by a risk-off logic rooted in the “fear of losing everything.” The sharp pullback in the AI sector, the resurgence of inflation and rate-hike risks, coupled with the “Black Friday” sell-off triggered by nonfarm payroll data, have prompted investors to rapidly increase downside protection for the S&P 500 and Nasdaq 100. Multiple indicators—including options skew, put/call ratios, and market makers’ gamma positioning—all point to a sharp rise in the demand for systemic risk hedging.
The latest options market data shows that investors have begun buying downside protection instruments for the S&P 500 and Nasdaq 100 on a large scale, preparing for potentially larger corrections in the coming weeks.
Mandy Xu, head of derivatives market intelligence at Cboe Global Markets, noted that the one-month skew, which measures the demand for downside protection options on the S&P 500, has been violently pushed from its lowest level in a year to the 72nd percentile of observed values. Xu said that last Friday’s sell-off was significant because it made traders aware of the hidden risks in the stock market. After everyone chased the rally, the market lacked downside hedging measures, but now the reversal at the index level indicates that investors realize the market may fall further.
From euphoria to panic took just one nonfarm payroll data release day. On “Black Friday,” June 5, the S&P 500 plunged 2.6%, ending a nine-week winning streak. The Nasdaq 100 posted its largest single-day drop in 14 months, falling nearly 4.8%. As of the close on June 9, the S&P 500 stood at 7,386.50 points, retreating about 2.9% from its peak of 7,609.78 points on June 2. The combined market capitalization weight of the S&P 500’s top five components (Apple (AAPL), Nvidia (NVDA), Microsoft (MSFT), Amazon (AMZN), and Google (GOOGL)) has climbed to an all-time extreme. According to Deutsche Bank data, the positioning in U.S. large-cap tech stocks has risen to the 97th percentile historically. The intraday structure of the options market is systematically amplifying downward momentum. After market makers transitioned into a negative gamma state, their dynamic hedging behavior shifted from “selling into strength and buying into weakness” to “selling on declines and chasing on advances,” triggering a self-reinforcing mechanism.
The current options market shows a highly divergent pattern. While buying popular AI stocks, the market is also massively accumulating S&P 500 put options to hedge concentration risk. Citigroup strategist David Chew pointed out that capital flows are exhibiting a two-polarization trend—short positions have been actively built recently, while long positions from before persist. The market is not worried about the fundamentals of any single company, but rather about a systemic shock triggered by the interaction of interest rates, inflation, and valuations, which could suddenly push stock correlations higher.
The change in retail investor sentiment has been equally dramatic. A little over a week ago, the five-day moving average of the Cboe equity put/call ratio fell to 0.452, the lowest since March 30, 2022. One week later, the proportion of puts in new retail positions in large-cap tech stocks soared from 15% to 27%. The speed of this shift is more alarming than the numbers themselves.从踏空到怕跌，美股期权市场闪现真实恐惧信号
