Here is the Vol Man opinion based on the VIX action

Last week: “Traders held VIX up a bit into the end of the week as the early VIX rally pretty much failed.  With lower realized volatility, VIX will likely drop to the 12s next week as a quiet news week, no earnings, and little catalyst will beat down IV as the Liquidity Providers get ahead of the option sellers. SPX still wanted to rally after the China news so 4500 once again is the target. ”

Overall we got the 12-handle for VIX and 4500 SPX, winner-winner chicken dinner,  Even on vacation I got to close a lot of VIX puts on Thursday. Then the interest rate thing hit tech on Friday and stocks had a 50-point downday for SPX.  What I will remark is that realized volatility is very low and the selloff has so far stopped dead in its tracks.  The Fed speaks on rates this Wednesday and most think rates stay unchanged.

SPX daily price action over the last 30 days

SPX sigma levels over the last 30 days.

Sigmas are flat week over week. The drops down to 13 VIX have been great areas to close VIX puts. I think IV is priced low with regard to how the market reacts to the rate news.

Realized vol is 10.11% in SPX. Sigmas are around fair to just high to reflect Fed move potential.

VIX cash closed higher and the very back end for VIX is still dropping.  Overall that is bullish SPX.

Closing VIX curve, Sep 18, 2023

Closing VIX curve, Sep 08, 2023

VIX jumped from 13 to 14 on Friday but was flat Monday.  Nothing exciting there and in line with SPX moves.

VIX 30-day chart with 1 min candles

This week: Traders will hold the VIX bid until Wednesday.  the 9-Day VIX is flat to the 30-Day VIX so it is likely we see another 1% move there this week.  I think 4500 or higher is more likely than 4400 or lower for now, post-FOMC.

To your trading success,

AG