SPY today saw the lowest volume since the half day after Thanksgiving, as the Rvol torture chamber dished out more bleed and nothing to see. It was for the most part pointless to be stuck to your screen as markets basically acted like they weren’t open by 10:30am on:
That short lived morning dip is so typical of this part of the OPEX cycle, now you see it, now you don’t. The main thing that will free markets up is to get closer to PPI/CPI/OPEX, meaning enough premium has been incinerated, unclenching price.
Back in April before CPI/PPI, things were stuck for a few days, hovering around 5200 on low volume April 8th, and then out of nowhere on April 9th, the Tuesday before CPI saw an interesting reversal move just after the open, as vol had been decimated to a point where they made sense to own naked or via spreads (a 30pt wide butterfly like 5190/5160/5130 was only a little over $3):
Now, I harp on this repetitively; event vol now gets mercilessly crushed before the event, and the CPI straddles two days before had already fallen to less than a 1% implied move: