Many moons ago we had the Deepwater Horizon leak. It was terrible.

Recently, we had the Supreme Court leak. Gosh only knows about that.

Now we have the CPI leak.

Or was it just the fact that the European Central Bank is facing the reality of 10 years of easy money and starting to raise rates to combat inflation. It might be that.

The S&P 500 gave up 2% yesterday with most of that happening in the last half of the day.

The VIX did not do what you think it would do. There is a reason and you need to know why if you want to survive the CPI number today.

The VIX July 20 Straddle Was Up .60 from the Close  Wednesday

Recall that the straddle – at-the-money call and put – value is the market’s best guess for an underlying until expiration.

That straddle value went from $5.75 to $6.35 by the end of the day. Now, on the face of it, a 10% jump in the straddle value was pretty good, but the market was already pricing a straddle of near $6.

VIX July 20 Straddle close on June 8, 2022.

VIX July 20 straddle into the close,

Once again there was a strong intraday move with a 34% daily volatility in the SPX, yet the cash VIX could not get off the mat.  It moved up, as it should, but this is not really a change in expectations quite yet.

If VIX blew above 30 I would believe that this selloff has legs. At this point the market expects the CPI number to be bad and the Fed to keep their rate hikes going until there is an inflation tingle somewhere looking south.

Today, we will see if the selloff has legs. If it does it will be a good time to dump any VIX upside.  I am still carrying some upside VIX in Power Gains and in several products so today will most likely be the exit.

The Rundown

Pro Chat Room

Richard is trading the range is SPX well a la OP Mentoring style (and a good part of his own):

To Your Trading Success,

AG