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

I got the 1% move and then some but I did not get 4500.  4455 into the Fed announcement but that was about it.  The better signal was the higher realized vol expectation delivered by the 9-day VIX over the 30-day VIX.  30-day lows in SPX are still 30-day lows.  There is no relief in rates in the short term and likely next year if the Fed Funds rate is any indication. Stocks don’t like that.

SPX daily price action over the last 30 days.

SPX sigma levels over the last 30 days.

Sigmas popped big time and after a small selloff Friday morning, all systems were a go as IV jumped again.  

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 back end picked up everywhere for VIX.  Total repricing of implied vol with the front end is sharply higher.

Closing VIX curve, Sep 22, 2023

Closing VIX curve, Sep 18, 2023

VIX jumped from a 13.5 low to finish on the highs for the week.  Very bearish SPX close.

VIX 30-day chart with 1 min candles

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.

Let’s go.

AG