Ben chabot(@chabot_ben):It's FOMC eve and the market is calm. The Oct SOFR midcurve (dec27 contract) options have a risk reversal of -.05. Not a lot of fear that the SEP dots or the statement will move expectations about where the tightening cycle ends. The S&P500 ES options the expire tomorrow have a VIX of 19.1% which is fairly low for a 1-day VIX before a big economic news event. Likewise, tail risk is low with a risk-reversal of -2.8 which is around the 50th percentile over the past year but is notably low for the eve of a key economic report. Investors aren't paying up for tail risk ahead of the FOMC announcement.

2026.09.15 19:37

It's FOMC eve and the market is calm. The Oct SOFR midcurve (dec27 contract) options have a risk reversal of -.05. Not a lot of fear that the SEP dots or the statement will move expectations about where the tightening cycle ends. The S&P500 ES options the expire tomorrow have a VIX of 19.1% which is fairly low for a 1-day VIX before a big economic news event. Likewise, tail risk is low with a risk-reversal of -2.8 which is around the 50th percentile over the past year but is notably low for the eve of a key economic report. Investors aren't paying up for tail risk ahead of the FOMC announcement.