Once again we find ourselves back within the zone of tremendous potential for volatility in either direction. While neither the VIX nor the Volatility of VIX (VVIX) has yet to reflect any sort of market capitulation, all ingredients are in place for some wild price action.
Specifically, for the week the SP500 Option Implied Move is + / - 58 points with an upper edge of 2810.23 and a lower edge of 2693.89. Based on our Levels below we would anticipate plenty of trade between 2734.50 and 2812.50, with the Weekly Magnet of 2781.25 serving as an important marker for bias.
With a new month upon us and so much chaotic, binary headline risk, Implied Correlation has us squarely focused on macro factors and larger themes driving flow.
We can see some of these themes playing out in our Weekly Trend map.
The potential known catalysts from Fedspeak to the Employment Situation Report, may weigh particularly heavy this cycle given the recent parabolic moves in Bonds, Financials and Oil. Expectations for a rate cut are near 50% at July's FOMC Meeting now and an almost certainty in the 4th Quarter.
Many companies will be highlighted with Conferences this week, but given our Macro focus, they will likely have minimal price impact.
Earnings Season is over and only a handful of companies report this week.
June in the SP500 is a toss-up from a seasonality perspective, but trailing 10-year average performance is -0.39%.
From a tactical perspective, this week should have significant short-term opportunities for nimble players and previewing the Levels points to short-term extremes that should yield violent reversals across last week's particularly active instruments. Recall though, if what we anticipate to happen fails to occur, then the opposite is more reactionary.
Have a great week.
All the best,