Maybe it’s just me, but lately the days have felt painfully long. It could be because the kids are off to school and out of the house by 8 a.m., which makes the days feel longer since I’m out earlier, too. Not sure. It could also be that there’s such a state of nothingness and predictability in the market that it isn’t even interesting anymore.

Today’s open just looked like leftover volatility that didn’t reset at the end of the day on Wednesday. The VIX opened lower, futures traded up with that lower open, and then moved inversely to volatility all day. At this point, the volatility reset seems complete.

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More interesting was that while the VIX fell slightly on the day, constituent volatility actually moved higher. That means volatility across individual stocks in the index was higher. To me, this signals there was plenty of volatility supply and suppression ahead of tomorrow’s OPEX, likely an effort to position the index for tomorrow’s open.

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Additionally, today we saw 9-day realized volatility fall to 4.77, an extremely low level, while 60-day realized volatility ended at 8.3, also very low.

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Basically, at this point, it looks to me like volatility is simply being suppressed, and that could change in a meaningful way after OPEX. The first leg of the monthly S&P 500 OPEX comes at the open, with the 0DTE options expiring at the end of the day.

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Moving on, today is Thursday, and we got the reserve balance update, with the number coming in at $3.02 trillion—right about where I expected it to be. Additionally, primary dealers saw their positioning for equity repo financing decline again this week. It wasn’t a major decline, but when you factor in the amount of liquidity pulled from reserves, it raises the question: what exactly is keeping the market higher at this point, other than perhaps gamma pinning into tomorrow?

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Finally, rates moved higher today, with the 30-year up 4 bps to 4.72%. It seems to me that the spread between the 30-year and the 3-month is about to steepen in a meaningful way, most likely through the 30-year rate rising. We’ve seen the same kind of rising pennant pattern break to the upside often enough in equities, so why not in bond yields too?

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