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Scott Rubner Identifies September as a Tactical Downside Window for Equities Amidst Low Volatility and Macro Events

Scott Rubner, head of equity and equity derivatives strategy at Citadel Securities, stated that the current market setup for September presents a tactical downside window rather than a broader bearish turn. While the S&P 500 remains near record highs, Rubner noted that the near-term risk-reward asymmetry has shifted. The primary drivers of this shift include the completion of the major earnings catalysts, the seasonal weakness of September, and the fact that downside protection is currently inexpensive. Market data supports this transition. The Cboe Volatility Index has fallen below 15, a level described by Mike Santoli as a sign of "eerie complacency." Additionally, the 10-year Treasury yield has nudged above 4.7% following a speech by Federal Reserve Chairman Kevin Warsh, which suggested that short-term rate increases may be used soon to combat inflation. Rubner highlighted that retail demand and corporate buybacks are expected to fade as the month progresses. He also noted that the market faces a significant technical event with approximately $9.6 trillion in US options exposure set to expire by mid-September. These factors collectively suggest a period of heightened macro-focused activity where investors may find more room for volatility to reprice higher than for another collapse.

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