Futures Expiration Calendar 2023

Futures Expiration Calendar 2023 – It's not just stocks that have been up lately. Yields and the dollar are up, and both still have a ways to go. The federal funds futures market has reversed course and now sees interest rates higher than they were in early August, with rates likely to remain higher for longer. Fed minutes should echo this message for all to hear. After all, this is the message from the governor and board members for the July FOMC meeting.

Equity markets, as usual, ignore these changes in Fed funds futures, which fix Treasury and dollar yields. In contrast, CTA trends and short covering by volatility hedge funds have boosted equity prices. This systematic fund is estimated to have redistributed approximately $28 billion.

Futures Expiration Calendar 2023

The outflow of funds helped drive the VIX lower, but tomorrow marks the potential for a major pullback. The VIX's monthly close comes tomorrow (Wednesday) morning, followed by the Fed minutes at 14:00 ET. These two events are not in the spotlight, but will play a major role in the market entering the balance sheet this month and stop the equity market rally in its tracks.

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The difference between the spot VIX price for the October contract and the equivalent 3-month generic VIX futures is about -5, which has historically been consistent with peaks in the S&P 500. Most recently in August, the spread has narrowed to -5.712, indicating prices are bearish. The spot VIX may have fallen too low and equity prices may have been depressed due to the reverse high.

There was no open interest in the VIX for Wednesday expiration and futures options. Many August call options expire tomorrow.

Also, data from SpotGamma shows that the largest gamma strike price for tomorrow's VIX option expiration is 20, helping to pin the VIX to 20. This means that after tomorrow's close, the VIX can move more freely and give the current VIX. If the contract spreads with futures, the move looks set to increase, which is bad for stocks.

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The afternoon poses another threat to stocks, as the FOMC minutes will likely be more hawkish than how the FOMC press conference felt. The minutes will reflect all messages from the July press conference, but also the voices of all Fed governors and board members who will help reshape the Fed funds futures curve after the FOMC meeting.

Fed funds futures now see the highest terminal rate in April at 3.62% instead of February and the previous level of 3.26%. The change in outlook for fed funds futures is beginning to reflect a more realistic message from the Fed, which is that interest rates are rising and are likely to last longer than the market previously predicted.

Most of the moves in the futures market have already started, especially if the Fed remains on target with its message of a 3.8% overnight rate at the end of 2023, which will require more moves. The spread between the December 2022 Fed Funds futures contract and the December 2023 contract widened to -0.22% from -0.61%. If the Fed's guidance is correct, the December 2023 deal would need to be raised further.

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The shift in futures markets saw interest rates rise and the dollar begin to strengthen. The 2-year yield rose from recent lows on Aug. 1, while the 10-year and 30-year yields also started to rise again, the biggest moves earlier in the yield curve.

At the same time, it allowed the dollar index to continue its path of strengthening against its major peers, the euro, yen and yuan.

A move higher in interest rates and a hawkish official Fed debate makes sense for the dollar. But a similar tone from the Fed minutes could help accelerate the changes we've seen so far.

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Further moves in interest rates and dollar credit spreads will widen them, leading to tightening economic conditions. Financial conditions have eased significantly since the July FOMC meeting, which eased conditions surrounding the ability to access margin and leverage calculated by the Chicago Fed's leveraged broker-dealer debit balance in margin accounts. These easing conditions have provided a pull for equities, but the "re-tightening" of financial conditions will help stop the equity market rally in its tracks as access to margin is cut.

If stocks decide to continue their rally, the expiration date for August stock options and the index comes Friday, which has historically helped the market mark another turning point. March is the only month of the year that does not change the expiration of trend-following options.

So tomorrow could be a big pivot point for stocks, as a VIX-led scenario, dollar gains and rising yields put the market in a position to tighten economic conditions again and halt the equity market rally. the song

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Reading the market helps readers cut through all the noise, providing stock ideas and market updates and looking for opportunities.

We use an iterative and detailed process to view fundamental trends, technical charts and options trading data. This process helps to identify and determine where a stock, sector or market is headed in different time frames.

I'm Michael Kramer, founder of Mott Capital Management and creator of the SA marketplace service Reading the Markets. I focus on macro themes and trends, look for long-term thematic growth investments and use options data to find unusual activity.

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I use my 25 years of experience as a buy-side trader, analyst and portfolio manager to explain the vagaries of the stock market and where it is headed next. Additionally, I use data from leading vendors to inform my analysis, including sell-side analyst forecasts and research, news feeds, deep options data, and gamma levels.

Disclosure: I/We do not hold any stocks, options or similar derivative positions in any of the listed companies and have no plans to initiate such positions in the next 72 hours. This article is written by me and expresses my own views. I haven't found a solution for it (other than Seeking Alpha). I have no business relationship with any of the companies whose shares are mentioned in this article.

Additional Disclosure: Chart used with permission of Bloomberg Finance LP. This report contains independent commentary to be used for informational and educational purposes only. Michael Cramer is a member and investment advisory representative of Mott Capital Management. Mr. Cramer is not affiliated with this company and does not serve on the board of directors of any affiliated company that issued this stock. All opinions and analysis presented by Michael Kramer in this analysis or market report are the sole property of Michael Kramer. Readers should not consider any opinion, view or prediction expressed by Michael Cramer as a recommendation to buy or sell any particular security or follow any particular strategy. Michael Kramer's analysis is based on independent information and research he believes to be reliable, but neither Michael Kramer nor Mott Capital Management guarantees its completeness or accuracy and should not be relied upon. Michael Cramer undertakes no obligation to update or correct any information presented in his analysis. Mr. Statements, Guidelines and Opinions. Kramer is subject to change at any time without notice. Past performance does not indicate future results. Neither Michael Cramer nor Mott Capital Management guarantees any specific results or profits. You should be aware of the actual risk of loss when following any investment strategy or commentary presented in this analysis. The strategies or investments discussed may fluctuate in price or value. The investments or strategies mentioned in this analysis may not be right for you. This material does not take into account your specific investment objectives, financial situation or needs and is not intended to be a suitable recommendation for you. You should make independent decisions about investments or strategies in this analysis. Upon request, the consultant will provide a list of all recommendations made in the past twelve months. Before acting on the information in this analysis, you should consider whether the information is appropriate for your circumstances and strongly consider seeking advice from your own financial or investment advisor to determine the suitability of any investment.

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VIX Expiration Calendar 2022-2023 Expiration Calendar (Futures and Options) Below you will find a description of the 2022, 2023 and 2024 VIX Expiration Calendar futures and options, a complete VIX expiration date history (202104).

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