1/x A little Pre-VIX Print SOTU: What we know:
-The Markets are still technically very weak, as they have been unable to recapture 20 day, despite significant Vanna/Charm flows past 1.5 weeks
-little retail or institutional capitulation & Short interest @ extremes
2/x-Index Vol structurally compressed due to recent Low rVol during high Sep OpEx decaying away in front of lower expiries behind. -VIX exp often marks low in vol & end of Vanna flow market support
3/x -low Sep VX rolling off & higher event Oct VX front month, naive demand in VIX complex for already rich post event vol could shift Vega higher.
-Street broadly short vol dispersion (extra long in indexes, short in names)
-Fundamental election risks looming under Biden sweep
4/x What this likely means: All signs point to an eventual resumption of a market slide. The one thing holding this market up is massive index vol compression. This will likely continue to fight a valiant fight through tomorrow’s AM VIX print & the fed announcement, but I would
5/x expect it to likely succumb by Fri AM OpEx. It won’t be easy or obvious if it happens. Look for a rally w/ signs of bottoming/increasing vol in NDX again & look for the NDX to lead down Beta adjusted to drag the SPX down. SPX will likely reluctantly be pulled into the vortex
Share this Scrolly Tale with your friends.
A Scrolly Tale is a new way to read Twitter threads with a more visually immersive experience.
Discover more beautiful Scrolly Tales like this.