- Expected SPX Closing Range 3876-3927.
- Continued VIX Contraction.
- Bullish Tilt.
SPX continues a bit of a bullish tilt in the near term with neutrality/equilibrium between 3900 and 4050; very centered near 4000. VIX does seem poised to head for the upper teens as the market becomes a bit more calm. Intraday volatility will be less than the past few days and predictability should return. The low to negative dealer gamma is resolving itself after some low probability outsized moves into the close in the past week (< 2.5% chance closing values).
Over the near-term, a nice little slow grind higher is likely while more market participants hedge their portfolios against declines.
I will consider continuing to short some VIX here today with any move up and consider a bullish risk reversal (short OTM SPX put(s) and long OTM SPX call(s)).
Tickers: SPX /ES SPY VOO IVV
Analyst's Disclosure: I am/we are short VIX.
I am an active trader and may initiate long or short positions in /ES and /VX at any point.
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