Discover and read the best of Twitter Threads about #voltwit
Most recents (2)
Good Morning! Friday presented a rally that resembled a short squeeze. While SPX was still down, the 4400 sold calls were covered hard and we crashed through the ceiling. When I make these calls, they are based on current state of flows, so when that changes I try to call it out.
Anyway, on Friday we undervixed slightly, and considering the massive undervix on Thursday, I'm still concerned for the health of the market. Further, MMs are still gamma negative, so we will remain volatile. Which begs the question, why aren't customers buying more puts?
First of all, my readers as well as those in the popular #voltwit clubs that I read like the nerd staring at the popular kids recognize that gamma negative is volatile, but does the general population? I highly doubt it. So what do they see that stops them from buying puts?T
Jim is a very vixperienced investor, who surely has the answers himself. But I'll bite anyway, so here goes.🧵
There can be no single indicator to time a $VIX or $SPX trade. Even if it were, some machine would have by now already learned how to front-run it. So I'm the last person to suggest there is a publicly available indicator that one may have identified
but everybody else hasn’t. The collective intelligence of the market is the aggregate, not the average. But to answer @vixologist's question, a favorite I always look out to is correlations and vol-of-vol. But that’s just us, and even more so, largely as a signal that triggers
