VIX Cash - Puts being Bid, VX Curve BidWe are beginning to see the effects of Roll Over take hold.
We are one week from settlement.
Ideally we want to see the VIX Cash/Spot complete the Gap FIll
below.
Vixcurve
VIX - Scatter Pattern 11 Days of Ranging ChopThe VIX Complex has been range bound for the prior 11 Sessions.
This is typical Summertime behavior, it is not at all unusual.
There is a Micro Gap @ 19.70 that was front run last night in the
Globex Session - the FR was 1 Tick or .05 @ 19.75.
We closed all of our VX Curve Positions yesterday during the Second
Attempt at the Highs.
We believe the VIX will exit this range and move to 22.50 initially.
The reaction there will be telling and instructive.
For now, we will patiently wait for the Micro Gap to fill and observe
the reaction there as there appears to be an accumulation of SELL
positions on the ES / SPY / SPX.
The VX Curve has widened to its largest spread since rollover.
Cash VIX remains @ 150 in the range of 130-165.
10Yr - A Very Clear Capital Return PanicSince January there has been a stealth accumulation out the Curve.
In March it began to quietly accelerate.
While Algo's drove ZN into the 131s, buyers were gobbling up
each and every drive lower, building an outsized position which
saw Volume peak in May from May 2nd to May 31st.
Dark Pools began their acceleration in March.
There is a clear trend deeply concerned with an "Event" - one
which saw Volumes begin to accelerate June 16th.
Volatility in Bonds should begin to pick up dramatically.
Extreme Caution is warranted for Equity Complex, in particular
Technology and Regional Banking.
The VIX Curve, specifically SEP/OCT spread should be closely watched.
We are seeing clear signs of Backwardation that could quickly invert.
