The largest call gamma level on $SPX rolled up to 6100 from 6000 this morning (for $SPY it's still at 600), which is a positive development if it holds. I still see 5900 and 6000 as the most important levels, but if 6000 is breached, there's a stronger magnet overhead now than

This morning feels an awful lot like a summer session from year's past: an important data print doesn't spook the market, the "event" vol burns off, equities rip, $VIX is pressured lower because of the equity action and the approaching weekend, and the $VX curve steepens. It's a

Not much (known) is on tap for today so unless we get a surprise headline, we may be in for a boring session. Fine by me. $VIX is doing its Monday thing and $VVIX lifted back into the low-90s this morning after closing last week below 90. $VX futures are all red, which is what

$VIX is flirting with a 16-handle and $VVIX is back in the 80s as $SPX/ $SPY hang out around 6000/600. It could/should be another quiet session ahead of tomorrow's CPI. Quiet means June $VX will keep drifting lower as it nears expiration next week. It still has 1 vol point of

Something I wrote about in this past weekend's market note (see pinned post) was the minuscule amount of over/under-vixing (o/u/v) last week. I borrowed the terms o/u/v from The Wizard Of Ops as well as his regression equation to measure o/u/v. O/U/V is simply a way to measure if a VIX

A cool CPI print and talks of a trade deal with China are doing more for VOLs than equities. $VIX and June $VX printed new post-Liberation Day lows, and $VIXEQ, $DSPX, and $COR1M are all lower. That said, a few things in the VOL landscape have my attention: $VVIX has been moving

The divergences I pointed out in yesterday's post proved to be prescient - $VIX popped higher in the final third of the session along with $VVIX and $VX futures. This happened as $SPX/ $SPY tested 6000/600. VOLs kept climbing in the overnight session but they've been sliding

$VX futures have come off significantly from their overnight highs when $SPX futures dropped below 6000 and revisited the low-5900s. $VIX is back to 20 with $VVIX ~110 - both are sticky levels that will require more fuel to push past. SPX/ $SPY now have to grapple with 6000/600

As the narrative has shifted from escalation to deescalation in Iran, markets have reacted quickly. VOLs got crushed, equities are rebounding broadly, and oil markets are down big. Gold, which was a preferred safe haven when the bombing started, is also sliding. Our focus now

Today's early action is essentially the inverse of yesterday's: equities red, VOLs green, oil green, and bonds green (although slipping). I'm not reading too much into it since all eyes are on Wednesday's FOMC. So long as $SPX/ $SPY don't dip too far below 6000/600, today should

Here's a volatility market analysis video I shared in this past weekend's thefreedominion note. The VOL complex gave some warning signs well before the Middle East escalation started. $SPX $SPY $NDX $QQQ $RUT $IWM $VIX $VVIX $VX

Happy VIXEx (and FOMC day) to those who celebrate. Expect some extra noise early as the June $VX contract expires this morning. The front of the VIX futures term structure is relatively flat post-expiry: August VX is only ~0.4 vols above July. There hasn't been much slope to the

This morning is June monthly OpEx and it's a doozy. The notional value of calls expiring far outweighs that of puts. These call heavy expirys can be destabilizing. The magnetic power of 6000/600 on $SPX/ $SPY will likely be greatly reduced going into next week leaving the short