The SPX straddle in July is a tough nut

See Mark on Cramer here

SPX straddles in Jul are pinned at $88

SPX implied volatility is pinned around 15% for the VIX with SPX straddle volatility holding values for much longer than normal.  This makes options decay slower than normal. I did write not long ago that the SPX IV regime is starting to take on a macro “earnings cycle” outlook as the Fed rate cut in Jul looms large.  ECB once again is trying to walk rates lower into the negatives since it has worked so well in the past.  Since Draghi has perfected the art of getting EU members to pay to loan money there is only so far rates can go here.

table from @charliebiello

VXX dropped .26 today

What we have is very sticky VIX futures.  Normally VIX cash would drop way down to the low 14s or maybe 13 handle.  The handicapping going on to see how hard we rally or sell off on a rate change is resulting in stuck VIX futures in the short term.  Vol products like VXX are not participating or moving very much.  The ATM SPX straddle yesterday closed at a 13.66% vol and today’s ATM SPX Straddle 13.44% after the big move.  That is a anemic move for volatility.  The old ATM SPX straddle moved up to 13.91%.  As of now Jul volatility is stuck or even rallying a bit with SPX rallying which is never good for bulls.

Stuck VIX courteous of LIVEVOL PRO

Orbiting SPX looks likely

There are rare days when Iron Condors look really good but today looks like one of those days.  Anything that expires prior to Jul17 looks ok.  I would expect some kind of runup to the G20 meeting but not sure XI wants to go down as a 2 time loser in a month.   Jul 15 Weekly cycles in SPX don’t look like a bad sale.  NDX is too off the hook on trade issues so best to stay away from that for a bit unless very short term.

Follow Andrew@optionvol You can hear Andrew on Option Block every week. Follow Mark@optionpit You can hear Mark on Volatility Views every week.  Volatility View Crystal Ball is on Friday’s.

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