VIX expiration is clearly playing by the book this month, and it certainly appears that 2 million calls will expire worthless. With markets trading on minuscule volume, a pin of 13 is looking almost easy which would burn another 500k+ puts under 13 as well. What happens after Wednesday and as September approaches is anybody’s guess, but here is a clue about what could occur:
The next two days I will be moving things around to prepare for the next cycle. (This week’s newsletter will be out tomorrow at around 10pm.) If the market wants to march higher in a straight line tomorrow, that will make things easier and offer the best prices.
Meanwhile, the NYMO is showing short-term overbought levels:
The NYMO is the black line plotted against the SPY. The high for the NYMO in 2014 was 68 in February (just before Feb’s VIX expiration, shocking), and while it does not portend of a drop in the S&P 500, it does usually mean that some sideways action is in order at a minimum.
If the market does turn lower after Wednesday, it will be interesting what the media invents for a reason this time….