Brent Kochuba of SpotGamma closes the Last Call monthly wrap with Jack Forehand by reading the options market's verdict on Kevin Warsh's Jackson Hole speech, delivered while they are recording: almost nothing. He walks through the pricing of the September Fed meeting, why he treats event volatility as a tax, and what his positioning data says about where Nvidia runs out of room.
👤 Guest: Brent Kochuba of SpotGamma
🎙️ Host: Jack Forehand
📰 Published: 30 August 2026
🔴 YouTube | 🟢 Spotify | 🟣 Apple Podcasts | ⏱️ 63 min | ✅ Time saved: 52 min
Key Takeaways
The options market priced Warsh day as a non-event
The implied move for the day was about 38 handles, and the S&P 500 was up 30 basis points on the initial reaction
Monday's options carry a 7% implied volatility, which is close to a holiday reading
"You may occasionally see a six. On Christmas Eve, you'll see a four."
The pricing of future dates is at 90-day lows
"This is a market that has zero concerns, right now."
Nobody owns downside protection
"implied do not care. People don't own put options at large."
Only one date is priced as an event, and it is the September Fed meeting
The 16th is also a very large options expiration
Event volatility is a tax, paid whichever side you are on
Buy calls into an event and the calls pay it too
Markets overprice events until they get run over, then reprice
"traders need to get their hands slapped and they sort of reset and change the pricing regime in these events"
He bought short-dated put spreads as a lottery ticket, and they did not pay
The holiday shortens the calendar, which he reads as a lift
"Time is a tax on options markets."
Nvidia's ceiling is where the street is short calls, not where the fundamentals are
"stock probably not going over 275 really out in time is what the positioning is telling me"
The Disco Background and the Dilution Dance
Kochuba arrived on a rave-styled background, saying he did not know whether kids still go to raves but that "this background is lit, as the kids like to say these days." Forehand said he had chosen the wildest one available and that it fit the fake private jet the hosts used to open the episode.
The background belongs to Forehand's own set, and Kochuba compared the whole thing to the MicroStrategy videos where the executives do a synchronized routine
What he called that routine: "I think they call that the we are diluting our investors dance."
Forehand cut it off there — "I don't think anyone wants to see us dancing on this thing, Brent, though" — and moved to the options
Warsh Day Was Priced as a Non-Event, and Traded Like One
They were recording while the Jackson Hole speech was being delivered. "It is an interesting time to talk because Warsh is speaking, I think, as we speak right now. And I think the market is enjoying what he's saying."
"people were worried about Jackson Hole, but it seems like it's not going to be maybe as big a deal for the market as people thought"
What the tape was doing at 10:45 Eastern: "The initial reaction here is up 30 bips."
What had been priced in advance: "The implied move for today was only about 38 handles, Jack, which is the zero DTE straddle. That's not a lot of market movement on Warsh day, right?"
Against the amount of conversation going into the event, the morning itself was very quiet: "You wouldn't have even known that there was a significant thing happening today."
Monday's Options Are Priced Like Christmas Eve
Kochuba moved to the S&P 500 term structure and pointed at the following Monday's expiration.
"That's a 7% implied vol for Monday's options"
The comparison he gave for how low that is: "You may occasionally see a six. On Christmas Eve, you'll see a four. But this is very very low."
The whole curve is at the bottom of its recent range: "It's at 90-day lows, which is that range. This is a market that has zero concerns, right now."
How that makes him read the event: "And so Warsh is just sort of like this speed bump. It's like, hey, just get out of the way. Don't spoil the party."
He said he expected the market to move higher after Nvidia's earnings
The Only Date Priced as an Event Is the September Fed Meeting
Forehand asked whether Fed meetings themselves will become more volatile now that the outcome is not known in advance — "I have no clue what they're going to do in the next meeting" — and Kochuba took him through the measure that answers it.
"the lighter teal line is what we call forward implied vol and what that does is it compares the vol between two expirations", and the value of it is that it isolates what an event is being priced at
"when you see spikes in the forward implied vol that tells us there's an event"
"the big spike on the chart here is for September FOMC"
The rest of the calendar barely registers: "here you have non-farm payrolls there's a little consternation around that date and then here is the bigger move around the 16th which is also a very very big options expiration"
The overall reading: "with term structure this low and implied vols this low, there's really just not a lot of concern going forward"
He listed what is feeding the calm and what could disturb it: "oil is a big part of this, right? Oil's been coming down", and "we have Bessent who's been jawboning at least we'll call it jawboning rates lower", layered on whatever the Fed itself thinks is happening in the economy. "So, it's a cloudy soup."
The line he takes away from all of it: "the thing I take away from this is implied do not care. People don't own put options at large. Put open interest is very low. It's just a market that in my view just wants an excuse to rally."
"as long as these other risks stay kind of in their box, then the market seems just poised to kind of start to move higher into September expiration"
What the Hike Odds Say, and Why They Will Keep Moving
Forehand asked what the odds of a September hike are. Kochuba pulled them up: "this is the latest from the FedWatch. I know a lot of the kids these days like to use the prediction markets for this", with the caveat that he was not sure of the update frequency.
"So 55% are saying hike for September"
Why he treats it as provisional: "this is going to be dynamic obviously as Bessent does what he does and maybe oil comes down and who knows what non-farms and some CPIs and stuff do before September 16th meeting"
Event Volatility Is a Tax, So He Steers Clear of It
Asked whether more volatility around Fed meetings would be an opportunity for an options trader, Kochuba said the opposite.
Events carry extra premium, so "the options get a little bit expensive because there's the event so the event passes then the options prices come in it's like a tax"
The risk on the other side: with protection this cheap and nobody expecting a move, "if you're short options for example you can get steamrolled in these kinds of things" if Warsh says one sentence the market does not like
And buying does not escape it: "if you're buying calls right and the event rolls off well those calls pay a tax as well"
His answer: "you got to wait for the event to pass and then kind of play the outcome or try to play a trend that sets up after these types of events"
Markets Overprice Events Until They Get Run Over, Then Reprice
Forehand asked whether the general rule is that events get overpriced, with occasional dramatic exceptions. Kochuba agreed and described the cycle he sees.
"there's sort of a I guess I call it like an autocorrelation to these events"
The overpricing phase: "if you remember a couple of years ago CPI would continuously price like 2 3% market moves around the CPI print"
Then the market swings the other way and starts underpricing, which is where he thinks it is now on a new chairman saying he needs to raise rates
What he actually did about it: "I actually had on some very short-term put flies, which to me were extremely cheap today, just on a lotto in case he said something wrong. Now, that's not paying off anything. That's fine. I thought it was a low odds, but very high reward in that case cuz the market's just pricing in no movement."
How the regime resets: a shock arrives, the market prices more risk into the next few events, and then "traders need to get their hands slapped and they sort of reset and change the pricing regime in these events"
Forehand said the same rotation happens to which data matters: "for most of my career, the CPI print was irrelevant", then it became the most important number, and now it is fading again. His guess is that "maybe in the Warsh regime, Fed meetings might become a little bit more important just because we don't know what's going to happen in advance."
The Midterms, and Everyone Expecting Trump to Gas the Market
Kochuba added the election to the list of things sitting on top of the pricing.
"I think everybody and their brothers expecting Trump to try to gas the stock market into midterms. I'm not going to say that's wrong. I mean, if any president or political regime thinks about the stock market, it's Bessent and Trump."
On the rotation of what the market cares about, he pointed to Treasury auctions being watched not long ago when things were getting squirly there
What he thinks is rising up the list now: "I think the unemployment data seems to be picking up a little bit in terms of importance here."
Why it is harder than it used to be: "there's just all these kind of exogenous effects that are a little bit tough to skate through"
Forehand joked that viewers would want an hour of detailed political analysis from the two of them on the midterms, and Kochuba said they would bring the macro segment back for it, calling it the least watched video of all time for them.
Labor Day Shortens the Calendar, and He Reads That as a Lift
Kochuba's summary of where the options market leaves the index is that it drifts higher.
"as it stands right now from out of the options market is markets moving higher, vol's starting to come down", which is what the term structure showed
"We have Labor Day next week, right, which shortens time. Time is a tax on options markets."
"Vol's going to crunch." He expects people to look at the midterms, conclude there is nothing to worry about yet, and let the pricing come off further
Where that points: "that time vol coming down dynamic is just something I think can really help the market probably look at taking out all-time highs at this point"
Where the Street Is Short Nvidia Calls, and Why He Reads 275 as Fair Value
The segment closed on Nvidia, which had just reported. "Nvidia just reported earnings. They seemed like some of the best earnings in the history of stocks, right?" Kochuba said he could not speak to what the fundamentals look like underneath, but the reaction was strong and the positioning map is his own contribution.
On the data itself: "I think we're really one of the only groups, banks included, that have this kind of data. And we are looking at where hedge funds are buying and selling options."
How to read the colors: "if you see blue on this chart, what that's telling you like in this range traders that means buy side are selling calls in that area" — seen from the market maker's side, "market makers own calls in this blue zone and there's short calls in this red zone"
Where the stock sits: "So the stock right now last I looked is around 225, 226, right? There's a lot of long calls. You can see there's a very clear band right at 250."
What the map says above that: "Traders are short calls above 250 and they're really short calls into that 275 area into September."
The trade that follows for a holder: "I do know that the street is largely short calls above call it 250, 255. And so if I'm long that stock, I'm thinking that's probably my resistance point kind of in that 250 to 260 area roughly."A rally through the red zone is possible because that is where market makers are short, and then "around 245 or 250, I'd start to think about maybe I want to sell some calls or maybe I want to try to monetize my position if we get that kind of a rally"
The downside is unremarkable: "to the downside, there's light positive gamma in here." Going into earnings "There was a small short put position, meaning buy side was selling put options. They really weren't worried about Nvidia into earnings.""the put wing is pretty cheap on a historical basis and it's just kind of a non-event"
The feature that matters: "The big feature of this stock is traders long calls in this, 225 to 240 band", with a heavy short call position higher up
How he uses the map: "I also like to think about this as fair value for the stock", because the level where traders are willing to sell calls is the level at which they think the stock stops. "stock probably not going over 275 really out in time is what the positioning is telling me", and "Everyone seems to have this consensus writ large that stock could move up to 250, but 275 seems to be over fair value or fair value based on where people want to sell calls."
Kochuba's bottom line is that nobody is paying for protection, the calendar is about to shorten, and a market that has priced nothing at all is the kind that drifts up through its old highs — with Nvidia running into a wall of short calls somewhere between 250 and 275.
Products, Companies & Tools Mentioned
Nvidia (Just reported what he called some of the best earnings in the history of stocks; the positioning map shows traders long calls in the 225 to 240 band and heavily short above 250, which he treats as the resistance and roughly as fair value)
The S&P 500 (The index whose term structure is at 90-day lows and whose zero-day straddle priced Warsh day at about 38 handles)
MicroStrategy (The dancing videos Kochuba compares the show's rave background to, and what he says the routine is really celebrating)
CME FedWatch (Where he pulls the September hike odds from, noting that younger traders prefer prediction markets)
The Federal Reserve under Kevin Warsh (The one date the options market prices as an event, alongside the 16th of September, which is also a large expiration)
Scott Bessent and the US Treasury (Named as one of the forces holding the calm together, jawboning rates lower)
Riverside (The recording platform whose background library supplied the rave set)
Get the latest market chatter as it happens: