S&P 500 Analysis: 7,540 in View Before the September Fed Meeting
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Key Points:
- Implied correlation closed at 8.34 on Friday 21 August, the 1.91st percentile of 5,191 sessions since 2006. My call is 7,540 on the S&P 500 by the 16 September FOMC, with 7,380 if correlation reaches its March average.
- Cboe's constituent volatility index has gone 48.97 to 37.97 since 10 July while correlation rose 142%, and the VIX moved ten basis points across the whole stretch.
- Three dated events sit inside the window: NVIDIA on 26 August, Kevin Warsh's first Jackson Hole keynote on 28 August, the FOMC's projections on 16 September.
The S&P 500 closed Friday 21 August at 7,674.37, down 1.60% from the record it set on 13 August. Its option market is pricing something stranger than the price action. Single stocks sit at the 81st percentile of their own volatility history. The index sits at the 33rd of its. That gap is the story. Below, I want to show what lives in it, why it beat my own June forecast, and why one of my two tests of it failed.