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VIX closed on Friday at 58. Adding back the futures move as a crude proxy, it should open somewhere around 68.

If you just look at the average absolute daily move over the past week, it should be at around 140. Variance sellers must be getting steamrolled now.
That's a fucking YIKES from me, fam, -55% MTD
"Our losses were so steep the software we use to display charts for client consumption couldn't draw the line properly"
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Quantian
@quantian1
AHAHAHAHAHAHAHAHAHAHAHA

[deep breath]

BAHAHAHAHAHAHAHHAHAHA
Covid-19 to Rand Paul’s neighbor:
I'm getting feedback that it's rude to laugh and mock a prominent libertarian getting sick. So, in the interest of balance, here's a prominent Democrat who also can eat shit who just tested positive: tribdem.com/cnhi_network/w…
Read 3 tweets
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Quantian
@quantian1
For the last few weeks I have been saying that this is going to be a crisis worse than 2008 unless incredibly bold action is taken in an extremely short time frame. We are looking a shock to the system comparable to the Great Depression (-25% to real GDP). People are in denial.
I don't think this is being uneccesarily alarmist, I'm not trying to drive clicks to my fucking blog, anything. This is a serious assessment. We are only a few weeks of bad decisions away from a million people dead and double-digit unemployment.
By the way- I'm seeing lots of commentary to the effect of "close the markets!!" That would be a disaster. Just like in 2008, markets are the feedback loop that punishes GOP policymakers- they need to see it limit down for days to force them to act- that's why TARP was passed.
Read 3 tweets
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Quantian
@quantian1
I'm staying short into the weekend. I don't use the term lightly, but "hero" is appropriate as a descriptor, IMO.
I’m now 100% convinced that the Friday move was dealers hedging gamma because they didn’t want to be caught by event risk into the weekend, not fundamental information. We are going to hit the 7% down circuit breaker on Monday, and maybe the 13% if the bill fails.
S&P futures limit down in first 15 minutes of trading.
Read 3 tweets

Related threads

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Mack Grenfell
@MackGrenfell
Over the weekend I've been playing around with the Google Trends API, and taking a look at how the rise in interest for Coronavirus has affected what we search for.

1/15: As the panic grows, more & more people are trying to cancel flights
2/15: People are not just trying to claim on existing travel insurance policies, but also to take out new ones:
3/15: While fewer people are buying flights overall, searches for flight deals have risen:
Read 15 tweets
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Ian Young
@ianjamesyoung70
I get the impression that people STILL don’t understand the importance of understanding exponential growth. Canada has had 20% growth in #covid19 in past week. But compare that to the 33% growth elsewhere on this chart. The meaning? 2/
If Canada maintains 20% growth, in 30 days, our 249 cases will have grown to 59,106 cases. But if our growth rate was same 33% as elsewhere, we would have 1,293,447 cases
Another 10 days? 365,973 infections Vs 22,400,875 infections. The difference between 20% daily growth and 33% daily growth is...exponential
Read 11 tweets
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Emanuel Derman
@EmanuelDerman
So, let me get back to science and even statistics about volatility, for your amusement and even edification.

If you look at S&P implied volatility over the last week or so, here is the well-known rule that seems to be holding:
1/n ...
…
Observe the at-the-money S&P implied volatility skew w.r.t strike each evening. Call it X vol points per S&P strike point.
Then, the night night, look at how much at-the-money implied volatility changed as the S&P level changed.

2/n ...
… You will find that it changed by 1.5X vol pts per S&P point, pretty accurately. Sometimes maybe 1.6X.

In the local volatility model which I worked on 25 years ago, it should be 2X. If the skew were stationary as the market moved, it would be 1X. It’s somewhere in between.
3/4
Read 4 tweets
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Tobias Schneider
@tobiaschneider
Over the past week, Turkey has moved hundreds of tanks and other heavy military equipment as well as reportedly thousands of troops into northwestern Syria, where more than half a million people are on the run from a Russian and Iranian backed loyalist advance. A few thoughts: /1
Ergodan earlier this week gave the Syrian regime until the end of February to withdraw behind Turkish posts along the so-called "Sochi line." Loyalists had previously ignored and circumvented, and sometimes even shelled the Turkish forward positions, leaving them besieged. /2
Interpretations of the Turkish moves run the gamut: Many see in Turkey the only force capable of stopping a regime offensive that is quickly devolving into the worst atrocity of a horrific war. One that could set off another mass exodus of millions and radicalize a generation. /3
Read 18 tweets
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Ratnakar Sadasyula-రత్నాకర్ సదస్యుల
@GabbarSanghi
Over the last 1 week, have seen a lot of Scindia dynasty bashing, and also that hash tag #deshdrohiscindia which I guess is in connection with that Manikarnika movie. I have not yet seen the movie, so I really can't comment on how historically accurate it.
This thread is primarily around the Scindias and the bashing which they have been getting over the past 1 week, and being tagged as Deshdrohi, which is patently unfair. Just because of a few black sheep in the dynasty. When in fact they contributed a whole lot.
If I can say one thing, after the rout at Panipat, it was the Scindias along with the Holkars who resurrected the Maratha Empire in the North, considering the Peshwa had more or less become a figurehead, with Nana Fadnavis and his Baarabhai Council calling the shots.
Read 24 tweets
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mcm-ct.com
@mcm_ct
Let’s Get this Chart Storm STORMING...

1/
The most optimism in over 5 years - nothing to see here
2/
Since we are on the subject of sentiment and internal health/state of the markets

This swing in the equity options markets is off the scale manic. From very high put buying to very high call buying in 2 bars!!! $SPX
3/

But that’s not all. $VIX is not agreeing with options players - so someone is wrong. Possibly the manic maniacs? Your guess is as good as ours $SPX
Read 45 tweets

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