Discussion
NYSE advance/decline breadth has remained quite weak all day, but beneath the surface XLU relative strength has waned while NDX has gained. HY CDX has sort of stuck the move, but has definitely come off its mid-day highs. And, most importantly, VIX and VVIX have faded as SPX has rallied. I thought there would be a bit of a mid-day reprieve, and while certainly things could unravel in the final hour, I did not expect the reprieve to persist this long given how decisively bearish the morning was. With SPX sitting right on its 20dma and rates coming in a bit, I would not be surprised to see market strength in response to NFP tomorrow. (A key member of my flows & liquidity “team”, “@jaredhstocks”, outlined this set-up well from a VOL perspective this afternoon.)
Bottom line: It appears SPX is setting up for that final squeeze into July 19 opex.