Calendars
Butterflies Calendars Desk Notes Diagonals Synthetics
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Dow Drops 1.2%, VIX Rises to 19.45: Desk Notes for the 2-Year Auction and Fed Week
Oil above $100 sank the Dow 1.2% as tech steadied, the VIX edged up to 19.45, and the MOVE eased to 103.31 while yields gave back part of Thursday’s rally. Desk notes for the 2-year auction, the Fed decision, GDP and PCE, and megacap earnings.
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Nasdaq Sinks 2.6%, VIX Jumps to 19.03: Desk Notes for PMIs, Michigan Sentiment and Fed Week
AI-spending worries sank the Nasdaq 2.6% as the VIX jumped to 19.03 and the MOVE to 106.84, while Treasuries rallied and the 10-year slipped below 5%. Desk notes for flash PMIs, Michigan sentiment, and Fed week.
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VIX Dips to 16.68 as Tesla Slips After Hours: Desk Notes for Claims, TIPS and Intel
The VIX fell for a third day to 16.68 and the MOVE index dropped to 95.94, while the 20-year auction tailed at the highest yield since 1986 and Tesla slipped after hours as Meta rose. Desk notes on jobless claims, the 5-year TIPS auction, Intel earnings, the Fed blackout, and what the setup means for calendars, diagonals, butterflies, and parity.
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Dow Gains 1%, VIX Slips to 17.31: Desk Notes for the 20-Year Auction and Meta, Tesla Earnings
The Dow rose 1% and the VIX fell 6% to 17.31 as oil and long-end yields eased, while the MOVE index edged higher and Netflix slid after hours. Desk notes on housing starts, the 20-year auction, Meta and Tesla earnings, the Fed blackout, and what the setup means for calendars, diagonals, butterflies, and parity.
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Yields Climb, VIX Eases to 18.44: Desk Notes for Housing Starts and the 20-Year Auction
Tech led a rebound as the VIX fell 7.75% to 18.44, while the 10-year rose to about 5.135% and builder sentiment hit its lowest since 2012. Desk notes on housing starts, Netflix, the 20-year auction, the Fed blackout, and what the setup means for calendars, diagonals, butterflies, and parity.
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VIX Jumps to 19.99 on the Chip Rout: Desk Notes for an Earnings-Heavy Week
The VIX jumped 21% to 19.99 as chipmakers extended their slide and the Nasdaq fell 2.5% Friday, while the 10-year eased to about 5.07% after its biggest weekly drop in more than a year. Desk notes on short-dated vol, the earnings week, the Fed blackout, and what the setup means for calendars, diagonals, butterflies, and parity.
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Forward Volatility: What a Calendar Really Buys
A calendar spread really owns the volatility between two expirations. Here is how to back out forward vol, read contango and backwardation, and think through earnings calendars and IV crush, with simple illustrative numbers.
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Yields Ease, VIX at 16.46: Desk Notes for Expiration Into the Fed
Yields eased with the 10-year near 5.07%, the VIX slipped to 16.46 while the MOVE rose to 102.50, and October monthly options expiration settles today with the Fed two weeks out. Desk notes on import prices, industrial production, and what the setup means for calendars, diagonals, butterflies, and parity.
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Hot Core CPI, VIX at 16.87: Desk Notes for PPI and Retail Sales Day
Core CPI ran hot, the S&P 500 had its worst day since July, and long bonds still rallied as the VIX rose to 16.87 and the MOVE slipped to 99.06. Desk notes on PPI, retail sales, Friday’s expiration, and what the setup means for calendars, diagonals, butterflies, and parity.
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10-Year at a Two-Week Low, VIX at 15.27: Desk Notes for CPI and Beige Book Day
The 10-year fell to 5.216%, its lowest since September 25, as banks split and stocks closed flat. Desk notes on September CPI, the Beige Book, and what the setup means for calendars, diagonals, butterflies, and parity.
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Bonds Reopen Into Bank Earnings and Bill Auctions: Desk Notes Ahead of CPI
Cash Treasuries are back after Columbus Day. Bank earnings, bill auctions, Fed speakers, and Friday’s MOVE at 98.47 and VIX at 14.84 set up Wednesday’s CPI.
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Bond Holiday, Equities Open: Desk Notes Into CPI Week
The bond market is closed for Columbus Day while stocks trade. Treasury’s Friday close, MOVE under 100, VIX at 14.84, and desk notes into bank earnings and CPI.
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30-Year Clears at 5.618%, MOVE Near 100, VIX at 15.4: Desk Notes for Michigan Sentiment Day
Treasury sold 30-year bonds at the highest auction yield since August 2000, the long end rallied, and the MOVE slipped to 100.70 while the VIX rose to 15.41. Desk notes on today’s Michigan inflation expectations and what the setup means for calendars, diagonals, butterflies, and parity.
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Strong 10-Year Bid, 2002-High Yields, VIX at 15: Desk Notes for 30-Year Auction Day
The 10-year touched 5.365%, its highest since 2002, then a $39 billion auction stopped 1.7 basis points through with 80% indirects, while the VIX closed at 15.08. Desk notes on today’s 30-year reopening and what the setup means for calendars, diagonals, butterflies, and parity.
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Weak Payrolls, Higher Yields, Cheaper VIX: Early-October Desk Notes
Friday’s 29,000 payroll print sank the VIX and still pushed the 10-year higher. Desk notes on where the volatility lives now, this week’s Treasury auctions, and what that means for calendars, diagonals, and parity.
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Yield Whipsaw, Cheap Equity Vol Into Payrolls: October Desk Notes
Thursday’s Treasury whipsaw and a collapse in October Fed hike odds leave equity vol still cheap into Friday’s payrolls—desk notes on calendars, diagonals, and rate-equity vol divergence.
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The Index Held, the Average Stock Did Not: October Desk Notes
Quarter-end left the headline index barely changed while equal-weight fell three times as much. Bond vol set another high; equity vol still looks cheap relative to the dispersion the cash tape delivered.
