August Purgatory/Chop in the Forecast

CPI/PPI Trades and More Aug/Sep vol pairs (DASH)

This has been a recurring theme in the notes and chats here - that August downside vol will continue to disappoint and thus selling August vol to own cheap September vol will be a solid trade premise.

So, last week in the Smash-chat I started a $560 put calendar, August opex/September opex, 35 days wide for 5.40:

These are already $6.60/22%. And in the note last week, AMD with the same premise, sell Aug vol/own Sep vol for $2.61. And then I layered on to this some Aug8th/15th put diagonals at $160/157.5 for .41:

The diagonals are a double overnight and the put calendars are up 70%, not too shabby.

Now it’s time to look toward CPI/PPI vol and what is curious about these releases are that they are part of the BLS release schedule, so you have to wonder how much China-like rigging of the figures will occur. I mean, this is his tariff/rate cut enemy #1, so it makes perfectly logical sense that they are going to get their hands dirty in this area:

So, I’m going to make the assumption that they will be benign/come in as/or better than expected…..which means that vol for these days is overpriced.