SPXVIX

I price where options are rich, cheap, and lying.
VRP · Skew · Earnings implied vs realized · Risk ·
Premium seller. Not financial advice.

[SPXVIX @SPXVIX]

$DELL reports after the close. Options price a ±9.45% move, close to its own ±8.93% norm, but the 8-quarter average actual move is 11.59%, an implied/actual ratio of 1.47x. Straddle buyers have averaged +2.7% P&L historically, with beat rate a coinflip at 50%. Setup favors realized vol again.

[SPXVIX @SPXVIX]

@FinancePhoton

[SPXVIX @SPXVIX]

Well done Julia! I have this bookmarked to watch later.

[Julia Spina @FinancePhoton]

Hit from Power Lunch today where we discussed how $ORCL calls are trading significantly richer than equidistant puts leading into earnings, with investors paying higher prices for upside exposure compared to downside protection. This is a trend we have been seeing in ORCL over the last several earnings cycles. It is also a trend that has been accelerating over the last couple weeks, alongside the stock's momentum. Check out the full clip below!

[SPXVIX @SPXVIX]

@Brownmoose Well done! 😎

[SPXVIX @SPXVIX]

@TslaGroupie They are just jealous. Keep doing what you’re doing!

[SPXVIX @SPXVIX]

@FinancePhoton Just watched it (I am stuck at a conference for a few days 😩). Julia forget about $ORCL, skew, options, expected moves, earnings,… you looked absolutely stunning on that show!! WOW!

[SPXVIX @SPXVIX]

Daily Vol Regime - Sep 09, 2026
A full read on where vol is priced, what it means, and how the tape leans.

━━━━━━━━━━━━━

TERM STRUCTURE - CONTANGO (slope +44.2%) - front-end VIX9D→VIX30D +5.6%
VIX9D 15.2 → VIX1Y 21.9. Near-term priced calmer than further out - the normal, healthy curve shape.
→ The 44.2% slope into year-end contango creates structural incentive for short-dated vol sales, though the modest 5.6% front-end steepness suggests near-term roll resistance.

30D VRP +7.54 (85th %ile)
VIX 16.1 vs 20-day realized 8.5 - implied vol ~8 pts richer than what's actually been delivered.
→ At 7.54 points and the 85th percentile, the realized-implied spread offers premium sellers asymmetric compensation, with 20-day realized vol sitting 88.2% below the VIX level.
9D VRP +5.39 (57th %ile) - the short-dated read on vol richness.

VVIX 92.8 (30th %ile, +4.6%)
Vol-of-vol moderate and firming; the market isn't pricing big swings in VIX itself.
→ Vol-of-vol at 92.8 and the 30th percentile keeps tail-hedge costs subdued despite a 4.6% intraday move, allowing put buyers minimal structural friction.

SKEW 148.9 (75th %ile, -1.8%)
Heavy demand for downside tail protection - OTM puts bid vs ATM.
→ Put skew at 148.9 and the 75th percentile reflects elevated left-tail demand, though the 1.8% decline today signals marginal relief in crash-protection premiums.

SEASONALITY - Sep avg 20.1, VIX 20% below norm
Seasonally quiet for Sep; Oct historically runs higher.
→ With VIX running 20% below September's 20.1 historical average, the calendar offers no seasonal tailwind to current volatility levels.

PUT/CALL - Equity 0.48 · VIX 0.30
Equity flow complacent (light put buying). VIX P/C low = call-dominant, positioning for a vol spike.
→ Equity put/call at 0.48 signals structural call dominance over hedging demand, while VIX put/call at 0.30 shows minimal protective positioning in derivatives markets themselves.

CROSS-ASSET VOL (52wk %ile)
VIX 28th · MOVE 72nd · OVX 54th · GVZ 71st. MOVE, GVZ the outliers.
→ VIX ranks only at the 28th percentile while MOVE sits 72nd and GVZ 71st, indicating equity vol compression relative to duration and FX stress.

SPY 25Δ RISK REVERSAL - -4.7 vol pts (put wings)
25-delta puts richer than calls - downside strikes bid up relative to upside.
→ The 4.7 vol-point put richer risk-reversal in SPY 25-deltas confirms market-priced downside skew, embedding systematic tail cost into call strategies.

━━━━━━━━━━━━━

THE READ: Equity volatility sits structurally suppressed against cross-asset peers and seasonal norms, with robust term-structure contango and elevated VRP offsetting modest tail hedging and put skew that remain priced into short-dated wings.

Not a forecast. A vol read.

[SPXVIX @SPXVIX]

$SPX Expected Move Sep 09, 2026

SPX 7,652 | VIX 16.15

0DTE +/-30 pts (+/-0.40%) -> 7,622 - 7,683

Expected move well below 60-day avg (+/-40 pts) - unusually quiet session implied

[SPXVIX @SPXVIX]

Semis are paying up for upside.

$SMH 1M ATM closed 36.38%, +2.21 points.
The 25-delta call is now richer than ATM. 1.005, 100th percentile on the year.

Puts are the other side of that. 10-delta put / ATM is at the 0th.

Market wants the call. It is not bidding the crash put the same way.

Want the full board and more actionable ideas in your inbox every morning? Let me know in the comments if you’re interested.

[SPXVIX @SPXVIX]

Good morning! ☕️

It’s 5:03 AM here. I’m jet lagged, about to hit the gym, and still doing the morning $VIX educational series. So this one stays simple.

Yesterday we agreed that we can’t buy the VIX. We buy the futures curve.

That curve still slopes up this morning.
Spot 16.36
Sep 16.95
Oct 18.55

The stuff people buy when they say they want VIX: $VXX, $VIXY sits in the first two months and rolls a little every day. Sell the cheaper near contract. Buy the richer one behind it. Do that again tomorrow.

Last year:
VIX went from 15.11 to 15.72. Basically flat.
VXX got cut almost in half.

The headline number can go nowhere and the product still leaks. That’s the slope, not a glitch.

Follow if you want the slower-bleed mid-term version next.

[SPXVIX @SPXVIX]

@MFT_Get_Funded The old one was @isellpremium

[SPXVIX @SPXVIX]

Daily Vol Regime - Sep 09, 2026
A full read on where vol is priced, what it means, and how the tape leans.

━━━━━━━━━━━━━

TERM STRUCTURE - CONTANGO (slope +44.2%) - front-end VIX9D→VIX30D +5.6%
VIX9D 15.2 → VIX1Y 21.9. Near-term priced calmer than further out - the normal, healthy curve shape.
→ The 44.2% slope into year-end contango creates structural incentive for short-dated vol sales, though the modest 5.6% front-end steepness suggests near-term roll resistance.

30D VRP +7.54 (85th %ile)
VIX 16.1 vs 20-day realized 8.5 - implied vol ~8 pts richer than what's actually been delivered.
→ At 7.54 points and the 85th percentile, the realized-implied spread offers premium sellers asymmetric compensation, with 20-day realized vol sitting 88.2% below the VIX level.
9D VRP +5.39 (57th %ile) - the short-dated read on vol richness.

VVIX 92.8 (30th %ile, +4.6%)
Vol-of-vol moderate and firming; the market isn't pricing big swings in VIX itself.
→ Vol-of-vol at 92.8 and the 30th percentile keeps tail-hedge costs subdued despite a 4.6% intraday move, allowing put buyers minimal structural friction.

SKEW 148.9 (75th %ile, -1.8%)
Heavy demand for downside tail protection - OTM puts bid vs ATM.
→ Put skew at 148.9 and the 75th percentile reflects elevated left-tail demand, though the 1.8% decline today signals marginal relief in crash-protection premiums.

SEASONALITY - Sep avg 20.1, VIX 20% below norm
Seasonally quiet for Sep; Oct historically runs higher.
→ With VIX running 20% below September's 20.1 historical average, the calendar offers no seasonal tailwind to current volatility levels.

PUT/CALL - Equity 0.48 · VIX 0.30
Equity flow complacent (light put buying). VIX P/C low = call-dominant, positioning for a vol spike.
→ Equity put/call at 0.48 signals structural call dominance over hedging demand, while VIX put/call at 0.30 shows minimal protective positioning in derivatives markets themselves.

CROSS-ASSET VOL (52wk %ile)
VIX 28th · MOVE 72nd · OVX 54th · GVZ 71st. MOVE, GVZ the outliers.
→ VIX ranks only at the 28th percentile while MOVE sits 72nd and GVZ 71st, indicating equity vol compression relative to duration and FX stress.

SPY 25Δ RISK REVERSAL - -4.7 vol pts (put wings)
25-delta puts richer than calls - downside strikes bid up relative to upside.
→ The 4.7 vol-point put richer risk-reversal in SPY 25-deltas confirms market-priced downside skew, embedding systematic tail cost into call strategies.

━━━━━━━━━━━━━

THE READ: Equity volatility sits structurally suppressed against cross-asset peers and seasonal norms, with robust term-structure contango and elevated VRP offsetting modest tail hedging and put skew that remain priced into short-dated wings.

Not a forecast. A vol read.

[SPXVIX @SPXVIX]

$SPX Expected Move Sep 09, 2026

SPX 7,652 | VIX 16.15

0DTE +/-30 pts (+/-0.40%) -> 7,622 - 7,683

Expected move well below 60-day avg (+/-40 pts) - unusually quiet session implied

[SPXVIX @SPXVIX]

$INTC - plays for Options Traders based on @Brownmoose levels

Weeklies are a tax. Sep 105c is 83% IV. 20-day realized is 55.

Sellers: Oct 16 97.5 / 92.5 put credit
Credit 1.80 · Max profit 1.80 · Max loss 3.20

Buyers: Nov 20 110 / 140 call debit
Debit 6.83 · Max profit 23.17 · Max loss 6.83

Oct 16 110c is 73k OI. If this stalls, that’s where the premium goes.

[SPXVIX @SPXVIX]

Semis are paying up for upside.

$SMH 1M ATM closed 36.38%, +2.21 points.
The 25-delta call is now richer than ATM. 1.005, 100th percentile on the year.

Puts are the other side of that. 10-delta put / ATM is at the 0th.

Market wants the call. It is not bidding the crash put the same way.

Want the full board and more actionable ideas in your inbox every morning? Let me know in the comments if you’re interested.

[SPXVIX @SPXVIX]

Good morning! ☕️

It’s 5:03 AM here. I’m jet lagged, about to hit the gym, and still doing the morning $VIX educational series. So this one stays simple.

Yesterday we agreed that we can’t buy the VIX. We buy the futures curve.

That curve still slopes up this morning.
Spot 16.36
Sep 16.95
Oct 18.55

The stuff people buy when they say they want VIX: $VXX, $VIXY sits in the first two months and rolls a little every day. Sell the cheaper near contract. Buy the richer one behind it. Do that again tomorrow.

Last year:
VIX went from 15.11 to 15.72. Basically flat.
VXX got cut almost in half.

The headline number can go nowhere and the product still leaks. That’s the slope, not a glitch.

Follow if you want the slower-bleed mid-term version next.

[SPXVIX @SPXVIX]

Pre-Market Setup - Sep 09, 2026
Before the bell: the overnight tape, the vol regime you're walking into, and today's catalysts.

━━━━━━━━━━━━━

OVERNIGHT
ES (S&P) -0.28% - implied open ~7,652 (-22 vs close), range 7,640–7,684
NQ (Nasdaq) -0.37% - implied open ~29,399, range 29,337–29,603
→ ES futures -22 points with a -0.28% decline suggest a modest gap down into the open, while NQ's steeper -0.37% loss points to relative tech weakness.

VOL AT LAST CLOSE - VIX 15.7 · VVIX 89 · SKEW 149 · CONTANGO
VRP +7.2 (VIX − RV20 8.5); vol closed richly priced - a seller's backdrop.
→ VIX at 15.7 with VVIX at 89 and a +7.2 variance risk premium indicates volatility is richly priced relative to recent realized moves, potentially capping downside convexity.

MACRO OVERNIGHT - 10Y +2bp · Dollar -0.2% · Crude +2.3% · Gold +1.4% · BTC +1.2%
→ Overnight moves saw 10Y yields rise 2.2 basis points and crude climb 2.3% while the dollar dipped 0.2%, a mixed signal that favors neither a sustained risk-off nor risk-on flow.

GLOBAL - Asia: Nikkei -0.2% · Hang Seng -0.2% · Shanghai +0.3%
Europe: DAX -1.6% · FTSE -1.1% · Euro Stoxx -1.9%
→ Europe's steeper declines led by Euro Stoxx -1.9% and DAX -1.6% contrast with Shanghai's +0.3% gain, suggesting fragmented conviction in the handoff rather than synchronized selling into the US open.

HEADLINES
• Readers Respond to Audit and AI Advice; More Trade Disruptions Ahead (WSJ)
• Fearless US stock market vulnerable to shocks as midterms loom (Reuters)
• Demand for riskier mortgages rises again, along with interest rates (CNBC)

ON DECK - COO
→ COO earnings today represent the primary named catalyst, though the catalyst list is sparse, leaving price action vulnerable to intraday vol repricing without a major fundamental anchor.

━━━━━━━━━━━━━

THE SETUP: ES and NQ futures point to a small gap-down open, but VIX's elevated pricing at +7.2 VRP and term contango may throttle momentum sellers, making today's COO print a key test of conviction.

Not a forecast. A pre-market read.

[SPXVIX @SPXVIX]

@theoptionslord I know lol like what would 25D put / ATM skew at the 95th percentile mean to anyone 🤣 nothing 🤣 for someone who understands how to trade it, that’s real $$$$

[SPXVIX @SPXVIX]

@HunterAllen4 What happened and who are these guys?