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Implied Volatility Weekly Example
A. Market Thesis
The SPX rose ~1.9% for the week and set a record closing high on Friday at 6,807, lifted by cooler-than-expected September inflation and upbeat earnings. The CPI came in slightly softer than forecasts, reinforcing expectations of another Fed cut, while earnings beats broadened the rally beyond megacap AI names. The S&P Global flash PMIs showed services at a 3-month high and manufacturing in expansion, even as tariffs weighed on export sentiment—supporting the soft-landing narrative. The volatility eased, with the VIX ending near 16.4 on Friday, consistent with risk-on positioning into mega-cap earnings next week (AMZN, AAPL, GOOG, META, MSFT).
My Next Week's Thesis:
Mixed but “good enough” earnings; guidance cautious but not alarming.
SPX oscillates 6,700–6,810; intraday spikes fade, dips get bought.
VIX 15–17; curve stays in contango (3% - 6%).
Strategies: Theta-positive trades (SPX Best, SPY Ride) remain optimal; good environment to open VXX Delta negative ( VXX Short Call Verticals)
Cloud/AI spend strong; iPhone/services and AWS/retail margins surprise positively; capex outlooks remain healthy.
SPX to clear 6,850, and maybe beyond.
Vol: VIX 13–15; contango steepens (5% - 7%).
Strategies: Positive-delta income spreads (SPX Best, SPY Ride) will perform well, as well as directional plays like the VXX Short Call Verticals.
AI/ads/cloud softer; hardware units or margins disappoint; cautious C4Q guides.
SPX to test 6,660; risk to 6,500 on negative momentum.
Vol: VIX 22–25; curve flattens or briefly inverts.
Strategies: Adjust Vega-heavy positions, if needed (SPX Best, SPY Ride); hedges (short-term Put spreads) will help balance exposure.
Next Week's key events:
The Volatility Indicator is YELLOW
B. Hedge Fund Performance
NetLiq: $67667 (YTD 29.1%) ( +237% since Jan 21)
SPX: 6791 (YTD +15.5%) (+42% since Jan 21)
Weekly Highlights & Short-Term Considerations:
✅ The Fund recovered strongly due to the IV decrease. All the SPX Best Trades recovered due to IV decay. I adjusted the 28NOV SPX Best Trade to deliver a positive Delta as we are judging from the current market bias.
✅ All open SPX Best Trades are well-positioned vs SPX price, capturing time decay.
✅ The VIX Short Call Vertical was closed for a circa $700 profit.
🎯SPX Key level to watch to consider taking adjustments: 6500
📊Portfolio Greeks: SPX: Delta: +5.9 / Theta: +99 / Vega: -593
C. S&P Quantum Research
In summary, what Quants are revealing from November (and including this week) is the continuation of a strong likelihood of a market move up into year-end. Our positions should therefore maintain a positive bias; we should continue to manage trades, maintaining their positive Delta; any correction should be small and IV peak should be used to add premium to trades or open directional trades like the VXX Short Call Verticals.~~
Bluekurtic team: A brief pullback in Oct was expected but came early amid trade tensions with China. When SPX traded above its 100-day MA from June–Sept and Sept ended positive, Nov-Dec was positive 100% of the time, with an average gain of 6%.
Also from Bluekurtic: On Friday,SPX, NDX and DJIA all hit new all time highs on the same day! A powerful signal of broad market strength. Since this bull market began, it’s happened 38 times, and the forward 3-month returns were positive 87% of the time. Aligns with the base case of a Q4 rally.
Recovering from a past post (IV Weekly 22AGO):
We are now entering the week OCT26-NOV2... in the last 10 occurrences, this week ended always positive with an average gain of 2.27%!
In just 1 week, markets will enter the Best 6 Month Period to own stocks, November - April.
Positivity rate = 78% ; Average 6-month return = +7%
~
SPX is now on 121 day streak above 50-DMA. This is actually the 3rd longest streak since 2007. The 2011 streak ended 130 days. Nevertheless, both streaks have ended with at least -20% declines (2011 intraday) thereafter. When we look for excess in markets, that ALWAYS a mean-reverting. Be aware of the excess move up!
C. Market Summary
Note: The color Square below checks the market conditions to open the 15 SPY Put Spread: GREEN means conditions to open trades are met; RED means conditions are NOT met!
SPX Technical Analysis:
1. Key zones near the SPX price that, if broken, may change SPX price bias:
No Resistance: SPX at All-Time High
Support at 6695
2. SPX continues in positive bias
VIX futures structure analysis:
All expirations moved down strongly compared with the previous Friday.
VIX closed at 16.37, a sharp decrease from 20.7 of the past week's close
The 2-Front Month moved back to Contango (+3.8%)
Implied Volatility Weekly Example
A. Market Thesis
The SPX finished the week at 6,664.01, up about +1.7% (from 6,552.51 on Oct 10), but the price behaviour was very choppy with big swings during the days. The 61.8% Fib retracement acted as support for the SPX, being touched 3 times. Volatility spiked mid-week (VIX briefly ~29 intraday) but closed Friday near ~20.8, well off the highs and slightly below the prior Friday’s close, underscoring a sharp fade in hedging demand into the weekend.
My Next Week's Thesis:
Earnings broadly in line; macro mixed but not threatening.
Price: SPX oscillates 6,600–6,750; dips are bought, breakouts fade; 6695 resistance is broken to the upside
Vol: VIX 17-20; curve flat to low mild contango (2%-5%)
Strategies: Theta-positive trades (SPX Best, SPY Ride) remain optimal; good environment to open VXX Delta negative ( VXX Short Call Verticals)
Mega-caps/semi-adjacent names guide solidly; PMIs hold expansion; China tariffs cleared
Price: Clear 6,710, probe 6,740–6,760; momentum breadth improves.
Vol: VIX 15-18; term structure steepens
Strategies: Positive-delta income spreads (SPX Best, SPY Ride) will perform well, as well as directional plays like the VXX Short Call Verticals.
Soft guidance or a negative PMI revives growth fears.
Price: Lose 6,620 → test 6,580, with risk to 6,520.
Vol: VIX 22–25; curve flattens or briefly inverts.
Strategies: Adjust Vega-heavy positions, if needed (SPX Best, SPY Ride); hedges (short-term Put spreads) will help balance exposure.
Next Week's key events:
The Volatility Indicator is RED
B. Hedge Fund Performance
NetLiq: $65556 (YTD 25.1%) ( +226% since Jan 21)
SPX: 6664 (YTD +13.3%) (+39% since Jan 21)
Weekly Highlights & Short-Term Considerations:
✅ The Fund is recovering due to the IV decrease. The big swings of SPX price did not hurt the longer-term SPX Best Trades. I recognize I was a bit nervous on Thursday when I saw the SPX moving down and decided to close the 31 OCT SPX Best Trade. I think I was too defensive here, as the SPX price did not reach the upper wing butterfly price. But we never know what the future brings and I closed the trade... it got filled at a bad price, and the trade produced a loss... To offset this loss, I opened a new SPX Best Trade for 19DEC expiration, capturing a higher credit.
✅ All open SPX Best Trades are well-positioned vs SPX price, capturing time decay.
✅ The SPY Ride Trade was closed for a big profit ($1400). When the Volatility decreases, I will open a new one.
✅ Due to the peak in VVIX (and VIX itself), I decided to open a VIX Short Call Vertical. This is similar to a VXX Short Call Vertical but it uses directly the VIX futures and avoids the Backwardation in VXX (that drives its price up).
🎯SPX Key level to watch to consider taking adjustments: 6400
📊Portfolio Greeks: SPX: Delta: +11.7 / Theta: +88 / Vega: -599
C. S&P Quantum Research
In summary, what Quants are revealing, even though we could continue to have a bumpy road during this month, continues to indicate a strong likelihood of a market recovery into year-end. Our positions should therefore maintain a positive bias; consider opening SPX Best Trades in any IV peak that may occur, capturing a higher premium. These corrections are normal and are good to open new positions.
From May until October are the worst 6 months to own stocks since 1950. But when SPX gains 5%+, Q4 has NEVER been negative. The average Q4 return is +6.64% (from Sept 30th close: 6,688).
With the below Quant from Bluekirt evidencing a 100% positivity rate through year-end and from the September closing value, we would understand that any price below 6,688 has rewarded investors by year-end when they buy the dips... I hope you bought SPX (or have in place +Delta positions) during this week that delivered plenty of opportunities!
This continues to be true, after one more week in October... Bluekurtic research summarizes the Volatility along the year. October is the most volatile month for the S&P 500, with the highest number of single-day 1%+ moves in both directions. Big swings, both ways, with the VIX staying above 20 and VIX Futures in Backwardation.
I posted this Chart in the Discord channel: When VVIX rises above 130, it has proven a good idea to start selling Volatility (Short VXX/VIX Call Verticals). It doesn't survive at these levels for very long.
D. Market Summary
Note: The color Square below checks the market conditions to open the 15 SPY Put Spread: GREEN means conditions to open trades are met; RED means conditions are NOT met!
SPX Technical Analysis:
1. Key zones near the SPX price that, if broken, may change SPX price bias:
Resistance at 6695
Support at 6480
2. SPX is under indefinite bias
VIX futures structure analysis:
All expirations moved down a bit compared with the previous Friday's selloff.
VIX closed at 20.78, a bit lower than the previous Friday
The 2-Front Month Contango moved to Backwardation (all week they were in Backwardation). The Backwardation level is decreasing, showing potential for a move to Contango next week
Next Tuesday is the October future expiration, which will bring extra volatility to the VXX price
Implied Volatility Weekly Example
A. Market Thesis
The SPX erased the prior week’s gains, finishing at 5,977—down 1.1% on Friday—driven largely by heightened geopolitical tensions in the Middle East. Israel’s attack on Iranian nuclear sites triggered a surge in crude oil prices (+7%), which fueled investor anxiety and risk-off sentiment. For the week, the SPX posted a −0.4% loss, halting its two-week winning streak and reflecting broader market hesitation amid global uncertainty. The VIX spiked from ~17 to approximately 20.8 by Friday, marking a ~22% increase for the week. This sharp rise underscores growing fear in the market following the escalation. The VIX futures curve remains in contango, though at a shallow level (2.8%), signaling lingering uncertainty that could either intensify or ease depending on weekend developments. The weekend's geopolitical news may set the tone for early-week trading, as investors watch for further escalation or de-escalation signals that could define near-term direction.
My Next Week Thesis:
Key levels to watch:
Support: 5,870 remains the primary support level. A breakdown here could trigger short-term bearish momentum until next key support level at 5770. All our SPX Best Trades are protected even below this level!.
Resistance: 6,010 remains the immediate hurdle, with a breakout potentially clearing the path toward 6,140 (ATH).
Expected Scenarios:
Baseline (60% probability): If geopolitical tensions cool over the weekend and no negative macro data surprises emerge, SPX should recover toward 6,010 again. The upward grind will help our Best Trades that are theta-positive and benefit from IV retracement (Vega negative).
Risk-Off Pullback (30%): Continued war escalation or a spike in oil beyond $85 could send SPX retesting 5,870 region. IV will stay elevated, and short vega trades will suffer (but theta is on our side!).
Breakout Rally (10%): A clear diplomatic resolution could spark momentum back above 6,010, challenging ATHs.
Volatility Outlook:
With the VIX near 21 and contango at only 2.8%, the market remains sensitive. Sudden relief (even temporary) could lead to a vol crush. With 80% probability, the VIX will remain elevated for the whole week (above 17).
The Volatility Indicator moved to RED
B. S&P Quantum Research
A June market S&P500 peak? Unlikely! Since 1980 there was no June peak! That leaves a 98% probability the market will achieve another new all-time high sometime later in 2025.
S&P500 short interest at a Multi-year high with SPX only ~2% below All-time High! Short interest represents future buying power, with squeeze situations increasing during rallies. Melt-up in SPX should not be a surprise, given this short interest level!
Scheduled Fund Flows will start to increase! In fact, they will enter their most bullish 4-week period of the calendar year! And this means pressure for the SPX to move higher in the coming weeks!
C. Market Resume
Note: The color Square below check the market conditions to open the 15 SPY Put Spread: GREEN means conditions to open trades are met; RED means conditions are NOT met!
SPX Technical Analysis:
1. Under this high IV, key zones near the SPX price have less relevance:
Resistance at 6010
Next Support at 5870
2. The SPX is under positive bias
3. The VIX futures structure moved up in all expirations and Contango in the 2 front-months (important for VXX) decreased sharply to 2.6%. The war Israel-Iran brought new risk for the market and participants started to hedge. The spot VIX closed at 20.8, higher than past week. The Roll Yield is now positive (ratio of spot VIX / front-month future), showing some turbulence in the market.
D. Hedge Fund Performance
NetLiq: $58631 (YTD 11.9%) / % Invested: 78% ( +192% since Jan 21)
SPX: 5977 (YTD +1.6%) (+24% since Jan 21)
The Fund erased all the gains of the week on Friday due to the increase in IV, mainly. Nevertheless, all the open SPX Best Trades are well-positioned vs SPX price. There is a long way down before the trades need adjustments. In fact, the 18JUL trade benefited from this correction. The good thing about this strategy is its robustness when there is a Volatility spike. All of them continue to benefit from options time decay that, in a simplistic way, is our key value source. This strategy is an income trade that benefits from options time decay. Yesterday I was about to open a VXX Short Call Vertical, but I prefer to wait for Monday to understand if the market continues to correct and, in this case, we would have a better entry point. We continue to wait for better days to open 15 SPY Put Spreads.
At the moment, the Investment Fund has the following positions open:
a. 6x 18JUL - "soft hedged" with unbalanced Butterfly (30/60)
b. 5x 31JUL - "soft hedged" with unbalanced Butterfly (30/60)
c. 6x 15AGO - "soft hedged" with unbalanced Butterfly (40/60)
a. No Trades
a. No trades
IV Weekly Example
A. Market Thesis
The SPX rebounded during the week of May 26–30, 2025, closing at 5,911.69, a gain of 1.9% (+109.69 points) from the previous week's close of 5,802. It also broke up the strong resistance at 5870, although printing a lower high. This recovery followed a prior decline driven by trade tensions, with investor sentiment improving due to easing concerns over tariffs and encouraging inflation data. The VIX decreased to 18.57, down from 22.14 the previous week, indicating reduced market volatility and a shift back to a more stable environment. The VIX futures curve steepened, moving further into Contango, reflecting expectations of continued market stability (but the SPX lower high may indicate some small corrective move).
The market may shift behavior next week. My thesis for the coming week reflects this potential inflection point. Following last week’s rebound, the SPX is now at a critical juncture. The long upper wick on Friday’s candle suggests possible recovery but the printed lower high may open the door for a healthy technical correction (eye on the unfilled gaps below). However, if bullish momentum persists, the index may continue climbing toward the 6000 resistance region, which I do not feel will be broken to the upside. Both scenarios are on the table: a short-term pullback to digest gains, or a push higher into resistance. Either way, it remains a favorable environment for our open SPX Best Trades, especially since the SPX price continues to trade safely above our BWB structures of all SPX Best Trades we have open.
The Volatility Indicator is RED
B. S&P Quantum Research
When May is higher by 4% or greater! (currently +5.5%).
The S&P 500 has NEVER closed lower 12-months forward (10 observations): Years of 2024 2020 2009 2003 1997 1990 1986 1985 1980 1975
Smallest 12-month forward return was 7%.
Below is chart comparing a similar correction in 1997 with 2025
C. Market Resume
Note: The color Square below check the market conditions to open the 15 SPY Put Spread: GREEN means conditions to open trades are met; RED means conditions are NOT met!
SPX Technical Analysis:
1. Under this high IV, key zones near the SPX price have less relevance:
Resistance at 6010
Next Support at 5670
2. The SPX is under positive bias
3. The VIX futures structure is moved down in all expirations, and Contango is seen in the 4 front expirations (is now above 5% in the 2-front months). This is a sign that the market is calming down and an up slope curve is being observed. The spot VIX increased to 18.57 vs last Friday (an above-average reading). The Roll Yield continues negative (ratio of spot VIX / front month future), showing improvement also towards market normalization.
D. Hedge Fund Performance
NetLiq: $58103 (YTD 10.9%) / % Invested: 88% ( +189% since Jan 21)
SPX: 5912 (YTD +0.50%) (+23% since Jan 21)
The Fund improved its value reaching a record valuation. This was mainly due to the positive Delta impact of our portfolio and some also due to options time decay - especially from the 20JUN SPX Best Trade that is now increasing faster. Probably I will not wait too much and close this trade next week to reduce portfolio risk. It is better to cash-in the record profit of that trade! As per this week the Fund correction during the "tariff crisis" is over and we are benefiting from the SPX Best Trades opened under the IV peak. All of these trades continue perfectly positioned versus SPX price. The VXX Short Call Vertical opened before is also under profit due to IV decay (which caused the VXX to reduce its price). We continue to wait for better days to open 15 SPY Put Spreads.
At the moment, the Investment Fund has the following positions open:
a. 5x 20JUN - "soft hedged" with unbalanced Butterfly (30/60)
b. 6x 18JUN - "soft hedged" with unbalanced Butterfly (30/60)
c. 5x 31JUL - "soft hedged" with unbalanced Butterfly (30/60)
a. 20JUN - "hedged"
a. No trades