$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.

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To add to @GammaGirlLab’s post, $MU’s current implied move sits at ±7.85%, below its own ±9.74% historical average, an unusual discount into earnings. Yet the implied/actual ratio still runs 2.25x long-run, and IV crush on the following week averages -1%. Options are cheap by this name's standards but the crush has kept premium sellers paid.

So folks, @jam_croissant is fairly confident that $SPX will be down 25–40% by spring. The June board does not. Risk-neutral finish below −25% is about 5%. Below −40% is barely 2%. That is a 1-in-20 event, not a base case. If you believe the first 25%, do not buy the 4600. Buy Jun 7000 / 5800 put spread, sell the 8900 call against it. About 22 points debit, 0.28% of notional, upside capped at +15%, hole covered from −10% to −25%. Keep the 40% tail off that spread. If you do not believe him, you are the other side of that 5%. Do not wait for December. That expiry is already 1% on a −25% finish and it dies before the window closes. As always, not financial advice.

100% this! Always know your adjustment and exit triggers AT ORDER ENTRY. No emotions, no fear, no fomo…

Happy Sunday everyone! As we saw in yesterday’s post, the 9-day $VIX tells you if next week is the problem. The 3-month $VIX tells you if the whole quarter is. VIX3M is the same variance strip as VIX, stretched to ~90 days. Divide one by the other and you get a single number. Above 1.00, the next quarter is priced richer than the next month. That is the normal curve. People will pay more for time. Below 1.00, the 30-day has run through the 3-month. That is the medium-term version of the scramble. Friday that ratio closed 1.21. VIX 14.87. VIX3M 17.93. Last year it spent 95 percent of sessions above 1.00. The 13 days it flipped were not quiet tapes. March 6 was the ugly one. VIX closed 29.49. VIX3M closed 27.56. Ratio 0.93. A quiet front with a 1.21 three-month is not a crisis curve. It is the market still charging rent for time. Follow if you want what that rent actually costs when you hold the short-term product. And let’s like, comment and retweet!!

Going through my dashboard and noticed this insane skew in the $TLT 3-month book. Wow! Anyone else gets excited when seeing statistical extremes? How are you trading this?

Oh boy 🥲 Technical Analysis on yields? 🤦‍♂️ same like doing TA on the $VIX…. IT DOESN’T WORK THAT WAY!

Start with TailDex, ticker TDEX.

Ask away, don’t be shy 😉

Happy Saturday everyone! If you were to remember one thing, it should be this: a lift in $VIX is a markup. An inversion at the front is a scramble. VIX9D is the same variance strip as VIX, just on a 9-day fuse. Most days it sits underneath. People will pay more for the next month than the next week. When that flips, the market is saying the next nine days are the dangerous ones. Last year that happened on 28 sessions. Eleven percent of the tape. June 10 was the loud one. VIX9D closed 25.67. VIX closed 22.22. The 9-day was three and a half vol points richer. That is not a bump. That is the front of the curve going backwards. This week never got there. Friday the 9-day closed 12.76 against VIX at 14.87. Still two points cheaper. Blue on the chart is the inversion. Orange is business as usual. Follow if you want how the 3-month index sits against this 30-day when the front stays this quiet. And let’s like, comment and retweet!! I put a lot of time writing these posts so show them some love 😉

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History can rhyme into Oct, but the skew book is not marking a 90% $VIX rewrite from this shelf: $SPX 1M ATM 11.5 is 3rd %ile and 3M 13.2 is 1st, $IWM 1M 17.4 / 7th and 3M 18.2 / 1st, while live cash is $VIX1D 11.24 vs $VIX 15.02 with 3M/$VIX still ~1.20x contango. $QQQ 1M 25Δ P/ATM prints 0th %ile against C/ATM 99th. Index ATM is cheap. The call wing is not.

Daily Vol Regime - Sep 25, 2026 A full read on where vol is priced, what it means, and how the tape leans. ━━━━━━━━━━━━━ TERM STRUCTURE - CONTANGO (slope +63.0%) - front-end VIX9D→VIX30D +15.2% VIX9D 13.4 → VIX1Y 21.8. Near-term priced calmer than further out - the normal, healthy curve shape. → The 63.0% slope between 9D and 1Y VIX creates structural carry incentive, but front-end only rises 15.2% to 30D, suggesting near-term vol anchoring resists deeper contango. 30D VRP +4.77 (46th %ile) VIX 15.4 vs 20-day realized 10.6 - implied vol ~5 pts richer than what's actually been delivered. → At 4.77 points and only the 46th percentile, the current premium spread offers modest compensation relative to realized vol, leaving sellers exposed if realized accelerates. 9D VRP +1.70 (29th %ile) - the short-dated read on vol richness. VVIX 90.9 (22nd %ile, +0.4%) Vol-of-vol moderate and firming; the market isn't pricing big swings in VIX itself. → Vol-of-vol at 90.9 in the 22nd percentile signals unusually cheap volatility derivatives and tail hedges, though the +0.4% daily move suggests stability persists. SKEW 146.0 (61st %ile, -0.1%) Above-average demand for downside tails. → Put skew at 146.0 sits at the 61st percentile with a minor -0.1% daily decline, indicating structural tail demand remains present but not acutely elevated. SEASONALITY - Sep avg 20.0, VIX 23% below norm Seasonally quiet for Sep; Oct historically runs higher. → VIX trading 23% below September's 20.0 historical mean reveals a pronounced seasonal disinflationary bias relative to the month's typical profile. PUT/CALL - Equity 0.55 · VIX 0.38 Equity flow balanced - no fear, no complacency. VIX P/C low = call-dominant, positioning for a vol spike. → Equity put/call at 0.55 versus VIX put/call at 0.38 shows protective hedging concentrated in the spot market while vol derivatives lean directional long calls. CROSS-ASSET VOL (52wk %ile) VIX 15th · MOVE 98th · OVX 57th · GVZ 17th. MOVE the outlier. → VIX at the 15th percentile sits far below MOVE at the 98th percentile, indicating equities are priced for calm while rates volatility has spiked to extreme levels. SPY 25Δ RISK REVERSAL - -3.1 vol pts (put wings) 25-delta puts richer than calls - downside strikes bid up relative to upside. → SPY 25-delta risk reversal at minus 3.1 vol points confirms puts command a 3.1-point premium to calls, reflecting persistent demand for downside protection. ━━━━━━━━━━━━━ THE READ: Equity volatility sits structurally suppressed against seasonal norms and absolute percentiles, pricing stability despite moderately rich put skew and outsized rate vol, while carry incentive widens across term structure yet 9D realized vol remains constrained. Not a forecast. A vol read.

$SPX Expected Move Sep 25, 2026 SPX 7,727 | VIX 15.11 0DTE +/-31 pts (+/-0.40%) -> 7,695 - 7,758 Expected move well below 60-day avg (+/-39 pts) - unusually quiet session implied

Good morning! TGIF! Continuing our morning $VIX educational series. VVIX moved first when the weekly printed. The next question is whether the front of the vol curve actually flipped. $VIX is 30-day insurance. $VIX9D is the same recipe on a 9-day fuse. In a real scare the short one jumps over the 30-day and the front inverts. That is the market saying the next week is more dangerous than the next month. This recent pop did not do that. Tuesday VIX9D was 12.13 against VIX at 14.21. Thursday it closed 14.11 against 15.67. Both up. Still sitting underneath. Oct is 17.60. The curve is higher. It is not backwards. A lift in $VIX is not the same thing as panic in the front. One is a markup. The other is a scramble. Follow if you want what an actual 9-day inversion looks like when it does show up.

Pre-Market Setup - Sep 25, 2026 Before the bell: the overnight tape, the vol regime you're walking into, and today's catalysts. ━━━━━━━━━━━━━ OVERNIGHT ES (S&P) +0.36% - implied open ~7,732 (+28 vs close), range 7,695–7,738 NQ (Nasdaq) +0.66% - implied open ~30,680, range 30,473–30,710 → ES gapped up 28 points with +0.36% and NQ +0.66%, signaling risk-on momentum into the cash open despite overnight macro churn. VOL AT LAST CLOSE - VIX 15.7 · VVIX 91 · SKEW 146 · CONTANGO VRP +4.7 (VIX − RV20 10.9); vol closed richly priced - a seller's backdrop. → VIX at 15.7 with VRP +4.7 means implied vol is pricing richly versus realized, creating a structural headwind for long gamma positions through today. MACRO OVERNIGHT - 10Y +5bp · Dollar -0.3% · Crude -2.3% · Gold +1.0% · BTC +0.3% → The 10Y yield jumped 4.8bp overnight while gold rallied 1.0% and crude fell 2.3%, creating mixed signals that could trigger volatility around fixed-income sensitive names. GLOBAL - Asia: Nikkei +1.3% · Hang Seng -1.0% · Shanghai -1.2% Europe: DAX +0.7% · FTSE +0.3% · Euro Stoxx +0.8% → Europe closed in the green across DAX +0.7%, FTSE +0.3%, and Euro Stoxx +0.8%, but Asia was split with Nikkei +1.3% offset by Hang Seng -1.0% and Shanghai -1.2%. HEADLINES • Bond Selloff Fades, US-Iran Said to be Exploring Phased Deal, Trump-Xi Summit (Bloomberg Markets and Finance) • European Gas Prices Headed for 5% Weekly Loss But Storage Concerns Remain in Focus (WSJ) • Crypto exchange Bitget pauses withdrawals after $350 million stolen in hack (Reuters) ━━━━━━━━━━━━━ THE SETUP: small gap-up in equities, elevated VVIX at 91 suggesting underlying vol uncertainty, and contango term structure all favor vol sellers if cash opens hold the gap. Not a forecast. A pre-market read.

$SPX is only 1.22% under the Aug ATH while 94 of 503 names print daily RSI under 30. That is 18.7% equal-weight (98th %ile over 520 sessions) versus 6.4% cap-weight (88th). The +12pt EQ-CAP gap is the tell: smaller names are already in RSI stress and megas are still carrying the index. Index tape looks fine. Average-name tape does not.

$VIX 15.45 is sitting dead on its 30D mean (15.49) with a 30D z of -0.01 and a tight 30D SD of 0.98. After the recent spike to the +2σ band this tape is mean-reverted, not compressed into a -2σ coil. Mark: treat mid-15s as fair vs the last month; the cheap edge is still $SPX ATM %iles, not a z-score extreme on cash $VIX.

51st state or @XMoney ? 🤣

Full article in the comments! For short 0 DTE SPX condors, 82% of small losses (0.5x the initial credit) came from IV alone since 2022, meaning neither short strike was even breached. But once the loss reached 1x, the source flipped, and breaches (split roughly evenly between calls and puts) became the dominant cause. That shift also happened to line up with where recovery odds crossed the 50/50 mark. @tastyliveshow $SPY