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

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