Options Brief - CPI spike, Iran deal fades - 13 May 2026

Inflation came in above forecast and the Iran ceasefire collapsed on the same afternoon, pushing crude above 100 dollars and rotating investors out of growth names.

April US consumer prices rose 3.8% year-on-year, slightly above the 3.7% consensus forecast and the highest reading since May 2023, driven by a 3.8% monthly surge in energy costs as conflict near the Strait of Hormuz kept pressure on crude. On the same day, President Trump described Tehran's latest ceasefire proposal as unacceptable, effectively declaring the truce dead. Brent crude settled near $108 and WTI near $102. Combined, the two developments pushed the Nasdaq 100 down 0.87% and the Russell 2000 down 0.97%, while the Dow edged up 0.11% as investors rotated toward defensive names.

Market snapshot

All equity and index values are Tuesday 12 May closes. Futures represent live prices at approximately 7:20am Copenhagen time. European markets had not yet opened at time of writing.

• S&P 500: 7,400.96, -0.16%
• Nasdaq 100: 29,064.80, -0.87%
• Dow Jones Industrial Average: 49,765.97, +0.11%
• Russell 2000: 2,842.83, -0.97%
• WTI crude oil: settled near $102 per barrel (Tuesday close); Brent crude near $108
• Gold: $4,710, +0.50%
• DAX / Euro Stoxx 50: 23,954.93 (-1.62%) / -1.48% (Tuesday closes)
• Nasdaq 100 futures / S&P 500 futures: +0.41% / +0.16% (live at 7:20am CEST)
• Market regime: Low Vol Bull - VIX 17.99 (Tuesday close), 20-day realised vol 9.9% (decreasing), S&P 500 +7.50% above its 50-day moving average

Options angle

VIX closed Tuesday at 17.99, having declined 2.1% on the session. Front-month VIX futures sit at 20.56, a spread of roughly 2.5 points above spot. That contango reflects residual uncertainty priced into forward vol even as near-term realised vol remains subdued.

The CBOE SKEW index (which measures the premium investors pay for out-of-the-money downside protection relative to equivalent upside exposure) holds at 139.41, signalling elevated tail-risk demand despite the nominally calm spot-vol regime.

The equity-only put/call ratio (PCCE, which measures how much protective put trading is occurring relative to bullish call activity on individual stocks) surged 14.12% on Tuesday. The total put/call ratio (PCC) climbed 10.08%. Both moves reflect a session where traders were actively adding protection. Chipmakers and megacap technology stocks fell more than 1% across the board, in line with the Nasdaq's broad decline.

When equity put/call ratios spike alongside elevated call volumes from prior weeks, it can indicate that market makers are carrying significant short-gamma exposure. Dealers in that position tend to buy on rallies and sell on declines, amplifying moves in both directions. Watch for this dynamic around the next large options expiry or a major single-stock event capable of triggering a de-hedging unwind.

Important note: The strategies and examples provided in this article are purely for educational purposes. They are intended to assist in shaping your thought process and should not be replicated or implemented without careful consideration. Every investor or trader must conduct their own due diligence and take into account their unique financial situation, risk tolerance, and investment objectives before making any decisions. Remember, investing in the stock market carries risk, and it's crucial to make informed decisions.

Strategy insight - Call spreads on the Nasdaq rather than outright calls. When the CBOE SKEW index is elevated, put volatility is systematically more expensive than call volatility. That structural asymmetry makes buying outright calls comparatively cheap, and buying a call spread (buying a call at one strike and selling a call at a higher strike) cheaper still while preserving the bullish directional view. With Nasdaq 100 futures up 0.41% this morning, a defined-risk call spread costs less than an outright call and exploits the relatively inexpensive call skew.
The maximum loss is the net premium paid if the Nasdaq fails to rally through the long call strike.

Strategy insight - Protective puts on the iShares Russell 2000 ETF (IWM) while vol is still low. With 20-day realised vol at 9.9%, well below long-run averages, the premium required to buy downside protection on IWM is compressed. The Russell 2000 fell nearly 1% on Tuesday and, as a rate-sensitive, growth-heavy index, remains the equity segment most exposed to a higher-for-longer repricing if April's CPI reading hardens the Fed's stance. Buying near-term puts here costs less than it would in a more elevated vol environment, and the energy shock provides a concrete scenario where that protection pays off.
The main risk is that implied volatility continues to compress, eroding the value of the put position even if markets drift slowly lower rather than sell off abruptly.

Conclusion

Tuesday's session confirmed two things the market had been hoping to avoid: inflation is not returning to target on schedule, and the Middle East backdrop is deteriorating rather than resolving. Heading into Wednesday, US futures are attempting a modest recovery, but European markets had not yet opened at the time of writing. With no major US data on Wednesday's calendar, crude oil headlines and any Iran-related developments are likely to set the tone. The elevated SKEW and VIX futures contango suggest the market is not ready to declare an all-clear.