VIX RTH V-SNAV + HALO Report — June 27, 2025
Prepared by J Auto Trading Strategies, LLC
Session: RTH (Regular Trading Hours)
Instrument: VIX (CBOE Volatility Index)
Settlement: 16.44
Max Pain: 20.50update
I. Market Overview
VIX closed at 16.44 and spent the entire prior session trading in a tight and disciplined range, with nearly every price movement constrained inside the JATS PT RVOL and HVOL envelopes. The day’s range reflected compression and declining realized volatility, with little directional impulse. This narrow containment signals ongoing market complacency but reinforces how probabilistic barriers defined by JATS PT levels continue to act as invisible fences around volatility expectations.
II. Volatility Regime Context
Today's session exhibits a clean compression regime, confirmed by the structure of both the RVOL and HVOL JATS PT curves:
RVOL PT3A–PT3B Range (OPEN-based): 19.49 – 13.70
HVOL PT3A–PT3B Range (CLOSE-based): 18.56 – 14.36
Since the RVOL range is entirely inside the HVOL range, this reflects contraction in realized risk, a classic hallmark of dealer-dominated, rangebound tape, typical of late-month and quarterly pin behavior. The Gaussian midlines of both distributions are now coalescing around the VIX close itself — a structural signal of statistical equilibrium.
III. JATS PT Levels (OPEN-based and CLOSE-based)
OPEN-based RVOL Range (1σ-3σ):
PT3A: 19.49
PT2A: 18.47
PT1A: 18.20
RVOL OPEN: 16.44
PT1B: 14.88
PT2B: 14.21
PT3B: 13.70
CLOSE-based HVOL Range (1σ-3σ):
PT3A: 18.56
PT2A: 17.96
PT1A: 17.60
HVOL CLOSE: 16.44
PT1B: 15.45
PT2B: 14.96
PT3B: 14.36
IV. Options Market Dynamics
There is no structural demand for long volatility. VIX OI remains biased toward puts, gamma remains positive, and the IV surface remains flat across the front of the curve. This aligns with:
Dealer short volatility unwind completed
No expectation of tail risk pricing
Gamma feedback loop suppressing directional vega
This aligns with the mean-reverting behavior witnessed in ES, SPX, and NQ.
V. Price Action Analysis
The VIX index respected both RVOL and HVOL boundary layers with near-surgical precision. There was no breach of RVOL PT2B (14.21) or PT2A (18.47), and intraday price behavior remained pinned inside the 15.5–17.5 corridor.
This compliance reinforces the predictive power of the JATS PT model: intraday volatility was contained within 1σ, and no gamma instability was triggered.
VI. HALO Metrics Panel (Narrative Summary)
Volatility Compression Index (VCI): Elevated compression (RVOL < HVOL)
Volatility Density Index (VDI): High; levels clustered tightly near the mean
ΔGEX (Gamma Exposure Change): Minimal – no fresh institutional flows detected
Volume-Weighted OI Change (VWOC): Flat to declining
IV Skew Momentum: Mild call-side tilt, consistent with volatility seller appetite
Sentiment Skew Ratio (SSR): Stable; no panic or crowding
VII. Strategy Implications
“Stay short volatility with defined risk.”
The structure supports iron condor, short strangle, or short vertical spreads, particularly with short legs just outside RVOL PT1A/B levels. Any tail expansion through PT2 would need to be driven by an unanticipated macro event — unlikely given current gamma structure.
If VIX closes the month within 16.00–16.80, the current pin bias will be confirmed.
VIII. Final Summary Snapshot (Narrative Style)
The VIX closed at 16.44, exactly at the confluence midpoint of RVOL and HVOL distributions. This rare symmetry reflects a perfectly balanced volatility regime, with neither realized nor implied vol showing deviation. The JATS PT model captured the entire daily move within the 1σ structure — a probabilistic constraint consistent with an orderly and dealer-controlled market. No breakout signals are active. The HALO framework remains in compression stance, with short-volatility setups favored unless PT2 boundaries are challenged.
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Disclaimer:
J Auto Trading Strategies, LLC ("JATS") is not a registered broker-dealer, investment advisor, or financial planner. The tools, indicators, strategies, and content provided—including but not limited to JATS PT™, V‑SNAV™, and HALO™—are for educational and informational purposes only. Nothing contained herein constitutes a solicitation or recommendation to buy or sell any securities or derivatives. Trading futures, cryptocurrencies, and options involves substantial risk and is not suitable for every investor. Always consult a licensed financial professional before making trading decisions. JATS retains all proprietary rights to its indicators and methodologies. Unauthorized distribution or replication is strictly prohibited.
Risk Disclosure:
Futures, options, and cryptocurrency trading involve substantial risk and are not suitable for every investor. An investor could potentially lose all or more than the initial investment. Only risk capital should be used for trading, and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.
Hypothetical Performance Disclosure:
Hypothetical performance results have inherent limitations. Unlike actual performance records, hypothetical results do not represent actual trading and may under- or over-compensate for the impact of certain market factors. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.
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