Will September Live Up to the Volatility Hype?
–Holiday trade drives SP500 into a low vol slopfest–NFP takes a nose dive, weak Chinese data–Financials tank, tech rips–Bonds are back in play September Volatility Spike?–VIX, VVIX–9 day VIX vs 3 month VIX–contango is massive–volatility depth chart–SKEW has been relentless–exogenous shock needed to kick off Sep vol fest SPX Expected Move––last week EM– 57.49–next week– 50.13 expected move