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VIX closed at 21.10 today......posted a low of 20.51 today. Last
couple of times when we've taken out 20 % the market has sold off soon
thereafter. Should be an truly interesting expiration Thursday and
Friday. Volume has been modest so far this week. Today was the first
day with volume over 1 million contracts at CBOE.
With volume modest I expect most of the rolls to occur in the last two
days. We could see some sizable movement late in the day Thursday and
if volume stays light ....late Friday could be very volatile.
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