Hey OP Crew,

So to get the ball rolling here is my outlook for the week.

Vol Man here with my weekly analysis.  As usual, I will start with last week’s forecast…

Last week: “I think we have a deep VIX range next week with the flatter front end of the curve.  20 VIX is in play, as is 15.  100-point ranges for SPX as well.  Get ready for a wild week.”

I got a 100-point SPX range and a 16/19 range for VIX so I will call that a win.  We had a lot more market volatility overall before stocks started to rally hard at the end of the week.  For a while, the whole week was going to be a wash early Friday morning only to have all gains go away by midday and SPX even turned red for a bit.  Still, SPX turned in a 30-day low this week so all was not well in the USA.

SPX daily price action over the last 30 days

SPX sigma levels over the last 30 days.

Sigmas popped big time and finished flat for the week.  Ultimately that is a sign of no real followthough for volatility although some weekend risk due to a potential government shutdown lingered into the close.  It is clear that IV could not sustain highs so short term, SPX should chop around a bit with no big direction.

10-day Realized vol is 12.70% in SPX. Sigmas popped this week and are a bit high relative.  SPX will have to show more moves this week in order for VIX to hold 17.

VIX cash closed just higher this week after all the swings. Still a little higher is a little higher but like I said above, SPX needs to move to keep VIX here.  VIX cash closed just to the futures which historically signals more SPX and VIX action.

Closing VIX curve, Sep 22, 2023

Closing VIX curve, Sep 29, 2023

VIX jumped this week only to turn around and make a weekly low.  It is clear from the chart below that the low did not hold even with SPX unchanged into Friday.

VIX 30-day chart with 1 min candles

Once again I expect a wild week for SPX.  I think we test the lows once in SPX if the government shuts down.  I do not see that selloff holding unless Treasury Bond yields go to the moon.  On balance, the SPX selloffs do not hold and stocks want to bounce the first chance they get.  There should be another great opportunity to short VIX which we will do in the Pro Chat room and the Trading Desk.

Let’s go.

AG