CBOE Volatility Index $VIX has closed under 19 for 64 consecutive trading days, the longest streak since early 2020
Source: Barchart
Stock market (sp500) volatility in 2023 has tracked alongside historical seasonality. A continuation of that trend would imply a spike in volatility is coming...
Source: Liz Young, SoFi, Bloomberg
Options specialists seem to indicate that $SPX 4350 is the new put wall to watch
Markets & Mayhem shows that we are deep in negative gamma territory, with dealers estimated to be short about $58.41B of gamma exposure This often leads to an increase in volatility as it is more likely that dips are sold and rips are bought.
VIX seasonality suggest some volatile months ahead for stocks
Vix Seasonality
The $VIX ended the day at 13.33, its lowest weekly close since January 2020
Source: Charlie Bilello
Forward S&P 500 Performance by VIX Decile
While a low VIX indicates that investors are complacent and signal that unexpected negative events could push the VIX upwards (and thus equity markets downward), a low VIX reading isn’t necessarily something to fear. As shown on this chart courtesy of Todd Sohn, it is a typical characteristic of bull markets. Source: J-C Parets
The market has NO FEAR. Extremely little risk priced for the FOMC meeting.
Chart shows SPX 1 week implied volatility skew within one week of FOMC meetings. Source: TME, Nomura
This is the first time the MOVE index has reached 200 with a VIX index below 40!
It is very rare that the volatility of the Treasury bond market (MOVE Index) is much higher than the volatility of the equity market (VIX Index)! The current level of the MOVE index should be accompanied by a VIX above 30 at least! How long will this dichotomy last? Source : Macrobond
