Yo Pit Crazies,
We have been laughing – somewhat ruefully – that 20 is the new 12 for the VIX.
This means the old floor is not like the new floor.
In fact, 2022 could shape up to have a historically high VIX average.
The S&P 500 has tried to break through 3,700 a couple of times in the last two months.
1 month SPX with 1 day candles
Vol Man took note of that this weekend, thinking 3,900 was in the cards for this week. The inability to get past 3,700 and stay there was also noted the last several days.
Is the market finally able to digest all the bad news that is out there?
Let’s examine the evidence.
Very Sensitive SPX options Dropped in IV on Tuesdsay
The SPX Aug. 5 3,800 puts lost about one point in IV yesterday. That is not the stuff of impending doom.
I would expect to see that strike pumped up in IV since SPX got close to 3,700 and right back up again …
But it did not.
For the first time in a while I think VIX could break out here going into earnings. The sentiment is so bad it would be hard for the market to match it.
A net down implied vol on a large range day is generally bearish IV and good for stocks.
The Rundown
SPYMaster
I closed the put spread half of my SPDR S&P 500 trust (Ticker: SPY) strangle in the second SPY Master trade. It was only up 10% but SPY was not going down and I thought it best to take the money. Now I have a cushion to ride the upside SPY call spread.
To Your Trading Success,
AG