7/3: Volatility Bands for Monday (7/7)
Daily Content
Volatility Band Recap — July 3, 2025
Quick Summary
First close outside the Bands in 5 sessions —
SPX closed at 6279.35, decently above the projected upper band of 6264, in a steady melt-up that delivered structure-driven confirmation from the Volatility regime we are in.
The intra-day range was just 0.61%, again under the 0.85% expected move, yet price extended higher in classic slow-burn fashion.
This is what a low realized vol, elevated VIX environment can produce:
Persistent upside, contained ranges, and tactical opportunity at the edges.
Today, the upper Daily Vol Close band offered us an edge. As the slow Grind persisted, we utilized the odds that suggested SPX was extended enough for the day already and Sold a nice Call-Spread further outside the zone to Capitalize on those odds. Favorably for us it expired worthless so we got paid.
It’s been 5 days since a close outside the Bands, and Thursday delivered one finally. It was methodical, clean, and completely volatility model-compliant.
Projected Daily Range:
• Upper Band: 6264
• Lower Band: 6191
• Expected Daily Move: 0.58%
Actual Market Behavior:
• High: 6284.65
• Low: 6246.46
• Close: 6279.35 (+0.83%)
• Intra-day Move: 0.61% vs. 0.85% expected
• Closed Outside Bands? Yes — to the upside
Volatility Context:
• 8-Day Realized Vol: 10.03%
• 21-Day Realized Vol: 10.25%
• 30-Day Realized Vol: 11.90%
• Spot VIX: 16.38
VIX Premium:
• +60% over the 21-day
• +38% over the 30-day
Final Note
The Bands have done their job perfectly all week — and now we get a gentle upside break to close out the shortened trading stretch. Realized vol is low, but steadying in the 10-11% region, and VIX continues to overbid.
A boring week that to me was a perfect example of how utilizing the Volatility Math in one’s routine can help enhance results.