As a premium seller I’m looking to get into June’s cycle this coming week and I must admit that I’m a bit nervous about certain levels. For the second week in a row the front-month $VIX showed increased fear of a “weekend event” versus the traditional fear of an eroding Theta. What’s the event? I haven’t a clue as it could be anything given the current geopolitical environment we live in.
May was a solid cycle and the 1360s for $SPX have been hot on the call side with an open interest of 37,627 contracts and 16, 684 contracts moved on Friday. I’ll need to check the open interest when the markets open on Monday to see the current open interest but that 1360 is of interest at this point. I’ve been short the 1390/1400 call spread the entire May cycle and it has worked out well.
One statistic I like to track is the number of stocks in the S&P 500 and where they are according to their 14-day relative strength index (RSI). As of Friday’s close, two components were at 80 or higher ($DF $ERTS) and none were at 20 or lower. No real edge seen there and that’s to be expected heading into option expiration.
I’m enjoying this move in the $USDX and the correlation between it and equities never ceases to amaze me. The move almost looks parabolic so it will be interesting to see if it continues or if we see a pullback to test the 50 SMA or lower levels.