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Stocks drifted lower today amid a $40 billion T-bill settlement and rising IV ahead of the Job report. Most of the action, though, came in the final hour or so of trading, with the S&P 500 dropping 33 bps and the NASDAQ 100 falling 56 bps.
Tomorrow, the Job report comes in the morning, and looking at the data points seems like a waste of time. They used to matter, and given that the next Fed meeting isn’t until mid-March, the market will probably look through the report anyway.
The VIX 1-Day closed at 13.6. The last three times the VIX 1-Day closed around this level and fell the next day, the market rallied 50 bps on January 23, 65 bps on January 9, and by 68 bps on December 10. If the VIX 1-Day rises tomorrow, then the condition is not met. I am doing this by eye, so I could have easily missed something. Anyway, it sounds about right to me.
Of course, we do not know what the powers that be will do with overnight volatility, or whether it will ramp up further. But as of right now, the post-Job report volatility crush seems fairly modest.
Of course, the settlement calendar will be no picnic, with $22 billion clearing on Thursday and just about $60 billion on February 17.
-Mike
Glossary by ChatGPT
Basis Points (bps): A unit of measurement equal to one-hundredth of a percentage point, commonly used to describe changes in interest rates or index performance.
IV (Implied Volatility): The market’s forecast of a likely movement in a security’s price, derived from options pricing.
Settlement (Treasury Settlement): The process by which buyers of Treasury securities pay for and receive their securities, impacting market liquidity on the settlement date.
VIX 1-Day: A short-term volatility index measuring expected market volatility over the next trading day, derived from S&P 500 options pricing.
Disclosure
This report contains independent commentary to be used for informational and educational purposes only. Michael Kramer is a member and investment adviser representative with Mott Capital Management. Mr. Kramer is not affiliated with this company and does not serve on the board of any related company that issued this stock. All opinions and analyses presented by Michael Kramer in this analysis or market report are solely Michael Kramer’s views. Readers should not treat any opinion, viewpoint, or prediction expressed by Michael Kramer as a specific solicitation or recommendation to buy or sell a particular security or follow a particular strategy. Michael Kramer’s analyses are based upon information and independent research that he considers reliable, but neither Michael Kramer nor Mott Capital Management guarantees its completeness or accuracy, and it should not be relied upon as such. Michael Kramer is not under any obligation to update or correct any information presented in his analyses. Mr. Kramer’s statements, guidance, and opinions are subject to change without notice. Past performance is not indicative of future results. Neither Michael Kramer nor Mott Capital Management guarantees any specific outcome or profit. You should be aware of the real risk of loss in following any strategy or investment commentary presented in this analysis. Strategies or investments discussed may fluctuate in price or value. Investments or strategies mentioned in this analysis may not be suitable for you. This material does not consider your particular investment objectives, financial situation, or needs and is not intended as a recommendation appropriate for you. You must make an independent decision regarding investments or strategies in this analysis. Upon request, the advisor will provide a list of all recommendations made during the past twelve months. Before acting on information in this analysis, you should consider whether it is suitable for your circumstances and strongly consider seeking advice from your own financial or investment adviser to determine the suitability of any investment.
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This report contains independent commentary to be used for informational and educational purposes only. Michael Kramer is a member and investment adviser representative with Mott Capital Management. Mr. Kramer is not affiliated with this company and does not serve on the board of any related company that issued this stock. All opinions and analyses presented by Michael Kramer in this analysis or market report are solely Michael Kramer’s views. Readers should not treat any opinion, viewpoint, or prediction expressed by Michael Kramer as a specific solicitation or recommendation to buy or sell a particular security or follow a particular strategy. Michael Kramer’s analyses are based upon information and independent research that he considers reliable, but neither Michael Kramer nor Mott Capital Management guarantees its completeness or accuracy, and it should not be relied upon as such. Michael Kramer is not under any obligation to update or correct any information presented in his analyses. Mr. Kramer’s statements, guidance, and opinions are subject to change without notice. Past performance is not indicative of future results. Neither Michael Kramer nor Mott Capital Management guarantees any specific outcome or profit. You should be aware of the real risk of loss in following any strategy or investment commentary presented in this analysis. Strategies or investments discussed may fluctuate in price or value. Investments or strategies mentioned in this analysis may not be suitable for you. This material does not consider your particular investment objectives, financial situation, or needs and is not intended as a recommendation appropriate for you. You must make an independent decision regarding investments or strategies in this analysis. Upon request, the advisor will provide a list of all recommendations made during the past twelve months. Before acting on information in this analysis, you should consider whether it is suitable for your circumstances and strongly consider seeking advice from your own financial or investment adviser to determine the suitability of any investment.