Thread by @SqueezeMetrics

Another excerpt from the Sunday note.

Traders will have noticed that $SPX has hardly moved at all this week (+0.45% right now). As usual, GEX is the proximate reason.

The speed with which the market flips from high- to low-volatility still continues to catch traders off-guard. People think that volatility should do what their GARCH models say -- smoothly mean-revert. But it doesn't. It jumps.

And it's not as if the evidence hasn't been there. When we first introduced the GEX white paper, we noted that "15 VIX" doesn't have much practical forecasting value. Which, when looking at the plot of GXV by SPX, makes perfect sense.

"15 vol" never happens.

And while people very academically make note of the "increase in vol-of-vol," still very few seem to understand that this is driven by the gamma of options, written and bought -- a phenomenon that has increasingly wagged the $SPX dog since 2004.

For those who still don't know how stupid-simple the base assumptions are to build out a Gamma Exposure number, read the paper. The faster everyone figures this out, the faster everything breaks, and the faster everything breaks, the more fun we all have: squeezemetrics.com/download/white…