Volatility Update

Quick Update of the Implied vol, skew,  Vix and SPX charts. Divergences in the below charts have increased, and imply that larger moves could occur. Although we think the market is heading lower short term at least, the approaching holiday season will depress liquidity. Therefore we don’t find it very likely the big move to occur until next year. With mean reversion at elevated levels, one shouldn’t get too carried away either way for the moment. Charts below;

Implied vol skew vs Vix.

Implied vol skew vs SPX.

Charts Macro Story.