GYP: Market Intelligence Report
Monday, August 10, 2026
The one-line read
The index went nowhere, energy had a 3% day on Iran, and the near end of our volatility curve is cheap against the far end.
Volatility
VIX closed at 15.23, up 2.2%.
Our own scanner prices SPY’s zero-day expected move at 0.206%. We won’t put that side by side with the VIX and call it cheap, because the two are built on different conventions and the comparison doesn’t hold up. What does hold up is the shape of our own curve, measured the same way at every point on it.
If you divide each expected move by the square root of the days involved, you can see what’s being charged per unit of time-risk:
Equity vol is in contango past the two-week mark. SPY runs 0.430 a week out, dips to 0.388 at two weeks, then climbs steadily to 0.761 at thirteen months. That two-week dip is an expiration-calendar artefact rather than a signal, but it’s the one place the curve isn’t monotonic. Take the ends and the market’s charging about 77% more per unit of time-risk thirteen months out than it is for next week. Calm now, less sure later, which is the normal shape when nothing’s wrong.
Gold doesn’t do that. Its curve sits between 0.946 and 0.984 at every horizon, dead flat, and it’s above SPY’s the whole way. GLD’s one-week expected move is 2.25 times SPY’s. Right now gold is the nervous asset in this book, and it’s nervous the same amount no matter how far out you look.
The Nasdaq premium behaves differently again. QQQ runs 1.70 times SPY at a week, 1.75 at two weeks, then falls steadily to 1.37 at thirteen months. Whatever the market’s worried about in the Nasdaq, it expects the worry to resolve rather than persist.
Bonds down a little means yields up a little, and credit’s fine. The thing worth noticing is that LQD fell three times as fast as HYG. High grade carries the long duration, high yield carries the credit risk and much less duration. When the long-duration one lags and the risky one holds up, you’re looking at a rates move rather than anything to do with credit. Convertibles finishing green says the same thing. So do real estate and utilities being the two worst sectors.
Cross-asset
Crude and Brent both added 2.8% after Iran talked down any prospect of the Strait of Hormuz reopening. Tehran’s deputy parliament speaker said it won’t return to pre-war operating conditions and there’s no military solution to reopening it. Natural gas put on 5.2% separately, to a two-week high, on LNG export flows hitting a one-month high.
Gold’s the odd one out. You’ve got geopolitical escalation, oil up nearly 3%, and gold moves a tenth of a percent, while carrying the highest expected move of anything we track. It’s priced for a move it isn’t making. That’s why we’re comfortable being short premium there, and why we’d rather be early to it than late.
Meanwhile the yen keeps handing back its intervention gains, with USD/JPY up 0.7% to 158.93. Goldman points out Japanese investors kept buying foreign bonds through July, so there’s not much appetite to bring money home and support the currency. That’s exactly why we own the /6J put ladder.
Sentiment
VIX at 15.23, up 2.2% on a day the S&P finished green. Vol bid on an up tape is a mild divergence, but at 15 handles it’s not worth reading much into.
Positioning and flows
Doug Kass said he’s covered the balance of his SpaceX short, which he put on at $213 against a $225 high, while sticking to a $70 to $80 valuation. Worth being precise about what that means: a bear closing a short isn’t a bear turning bullish. He took the risk off, he didn’t change his mind.
Elsewhere, Shein’s IPO is reportedly being pitched below $30bn, roughly 70% under its peak. TSMC’s July sales were up 45% year over year at $14.5bn, with seven-month revenue of $89.1bn and full-year growth guided above 40%. Apple fell 2.5% on a Jefferies downgrade to Underperform, and Meta rose 2.1% to a two-week high.
Trusted Voices
Keith McCullough (Hedgeye) posted his chart of the day under the heading “USD Correlations Back To Deeply Inverse.” That’s the frame he’s watching rather than today’s tape, and it’s worth saying the two don’t match right now: commodities firmed, but the only dollar cross we have a print for is USD/JPY, and the dollar rose 0.7% against the yen.
Seabreeze Partners — Kass’s own shop, so treat it as one voice rather than two — noted the S&P dividend yield is the lowest on their records. Put that next to a 15 VIX and you have a market paying very little to own it and charging very little to insure it.
What’s coming
August 19 is the date that matters most to us now. Both the August Mini VIX future and the August 19 VIX options settle that morning to the same print, so the covered call resolves in nine days. After today’s closes the SPY short-put ladder has nothing left in September, and its next steps are October 16, November 20 and December 18. September 18 still carries the NOK puts, and the Black Swan hedge holds short September 30 590s, but those sit inside the hedge rather than the ladder. The Black Swan hedge runs to September 30.
Bottom line
Two things in the macro read drove what we did today. The front of our volatility curve is cheap relative to the back, which is what makes owning a little near-term vol worth doing, and it’s why the Mini VIX covered call went on. And the upmove has run further than we expected, which is why we took the SPY and SPCX short puts off into strength rather than holding them for the last scraps of credit. Delta down, theta unchanged, buying power at 10%, plenty of dry powder.
Disclaimer
Grow Your Pile is educational. Nothing in this alert is investment advice or a recommendation to buy or sell any security. Options involve risk and are not suitable for all investors. Selling puts carries undefined downside risk, and assignment obligates you to purchase shares at the strike price regardless of how far the underlying has fallen. Futures involve leverage and can produce losses exceeding your initial margin. Volatility products carry additional structural risks including contango decay, and are not suitable for buy-and-hold exposure. Past performance is not indicative of future results, and results shown are those of our own accounts and are not representative of any member’s results. Read the Characteristics and Risks of Standardized Options before trading.
Tony Rihan & Tony Battista growyourpile.com