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6/17/24
#Stocks:
#Macro: $VIX, $SPY
Recent Titles for Members:
- The Winds Of Change
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I wasn’t planning on writing today, but I saw that the equity market was higher, and I figured I’d weigh in and mention that today seems like a pre-VIX opex type of day. The S&P 500 traded higher, while the VIX was basically flat to up. Odd. With tomorrow being VIX opex, it looked a lot like VIX opex games, with the big gamma level clearly at 13 and that giant amount of put gamma at 13 clearly serving as resistance.
Bloomberg
Just a lot of negative delta also built up above 13, which was likely suppressing the VIX today and probably keeping it from going higher.
Bloomberg
So I think that today was mostly a reflection of trying to keep the VIX pegged and below at 13 or low. The VIX opened above 13 and really held above 13 for most of the morning until about 10:30 AM when the volatility selling seemed to come. When implied volatility is being sold, it is usually hedged by going long S&P 500 futures.
It is possible that my theory is entirely wrong. But it makes sense to me, given that tomorrow is VIX opex instead of Wednesday due to the holiday and the market being closed. The only way we will know is if tomorrow we see the VIX move higher and the S&P 500 give back the day’s gains.
The other tidbit I noticed today is that the average bid-ask spread in the SPY has blown out since the beginning of May, in fact, to levels that you typically see during periods of heightened volatility and stock moving lower. The move higher in the S&P 500 appears to be getting treated with the same type of reaction function, which could be an indication that liquidity is just not that ample in the market.
We will at this some more in the coming days. There will be no write-up tomorrow.
-Mike
Charts used with the permission of Bloomberg Finance L.P. 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.