1/x So, there you have it all those months of anticipation and speculation and what do we get? The most feared outcome a possible Biden/Red Senate + a contested outcome. & does it matter? NO.... what matters? Just like Brexit. Just like 2016.... THE REFLEXIVITY OF VOL.People will
2/x prognosticate & retroactively try & attribute fundamental reasons for the move in order to rationalize the market reaction, just like during Brexit & 2016, but they will all fall flat....Yet people will accept them anyway & move on, managing their money by speculating about
3/4 fundamentals. When we have said here all along, this move was inevitable..The answer is participants were largely hedged & with the curve in backwardation, dealers are decaying shorter deltas and longer Ivols. So they must sell Vol & buy deltas. It comes down to Supply/Demand
4/4 Never lose sight of the flows... NEVER BET AGAINST, ‘GARY.’

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More from @jam_croissant

15 Jan
1/x So 6 hours until Vanna’s departure... though she hasn’t been working full-time the last couple of days, Gary’s been putting in some extra work to keep things together. But I have to say, this was a poorly planned vacation all along. We saw it coming. A 5 week OpEx, post the
2/x seasonally slow period for the wheel of fortune. All of the contestants are going to be demanding bigger payouts. The show has become so popular. The ratings are through the roof, they can’t disappoint! Gary’s been doing this for a while. So he’s not to be doubted, but it’s a
3/x lot for a 🦍 to hold together on his own.Especially given the new rotation away from popular old growth contestants that always made for such a great story. Small cap value just doesn’t seem to get the same ratings.There’s a new FCC administration & they’ll be cranking up the
Read 7 tweets
14 Jan
1/ Maybe, I need to say less things... Maybe I AM Gary, reflexively helping to pin markets through this otherwise structurally perilous window. 🤔 The market will be higher again tomorrow. $2 Trillion + Moar fiscal stimulus will be announced. The market will cheer this & rally.
2/ rates will likely march higher, the rotation will likely continue. If we are lucky the exuberance will reach a fever pitch and stretch, forcing capitulation. Tho I see Vanna starting to pack her bags for her Friday trip, Gary 🦍is still sitting around the house eating nuggets
3/ And the lower IVol goes, the harder it will be to move him from in front of the 🪟. All the ingredients are there, the window is open. The vanna thrusts will be gone on Fri AM, the sentiment, the retail and HF positioning, the move higher in rates, the shooting of generals,
Read 5 tweets
13 Jan
1/ Vanna’s a widow maker... waging war with her & Gary is exhausting... we were able to take a textbook short at 3803 and take a profit On half at 3771. We will look to add more in a similar way on tomorrow morning’s likely vanna rally again... looking for exuberance once again
2/ in that 9-10am CST window. The growing chorus of bulls emboldened by Vanna’s continued support the last few days gives me confidence that this opportunity will be there again. W/Gary & Vanna behind them the retail exuberance is rising to a fever pitch. This is exactly what we
3/ want to see. But what happens when their backup is gone?? Who’s going to buy this market at these increasingly higher levels this week. Better yet who’s going to buy it @ lower levels when they are forced to sell next week? Not Vanna. She’ll be @ the beach. It ain’t cool bein’
Read 10 tweets
12 Jan
1/x Alright, carry on... Not much has changed. Longer dated IVol was quite bid from the onset, & rightfully so yesterday. As the gamma has been paying for itself, while providing a tail. That said, IVol suppression is still very real. Gary will be hard to shake free from.But it’s
2/x never easy. the NDX weakness, the rising LT yields, the continued complacency, rise in LT implied Vols... all the signs were there yesterday. It almost always seems like all hope is lost at the end. It takes conviction & a willingness to step out of the party potentially
3/x a little early. The risk/reward is just not there right now. We’ll continue to play this market for stair steps down to sideways action, with calendar put spreads (1/15 to 2/5). Keep opportunistically taking shots to the downside @ our levels, knowing that vanna tho weaker
Read 5 tweets
12 Jan
1/x I want to take a moment to let everyone on here know how moved I have been by the response to the Food Bank Charity Drive last week. We received donations from HF managers to HS students, from Institutional allocators & those who grew up in section 8 housing & who have
2/x experienced food insecurity 1st hand. According to my lead statistician (my 9 y.o. son, pic), 136 people donated for a total contribution of $81,014. That's enough meals to feed a Rose Bowl full of people! The max contribution was a humbling $25,000, mean $596, median $100
3/x I have decided to provide recordings of the session to anyone who donated >$500, & have decided to give the top contributor a 1on1 Q/A. The top 21 donating accounts that will be joining me in person for the Zoom Q/A session are:
Read 7 tweets
11 Jan
1/x The window we have been targeting for 2 months has officially opened... i Can not imagine a more textbook display of the power of Vanna at expiration as we saw on Friday. The capital building was overrun by an insurrection, but all that that meant was a bigger late day rally.
2/x that ended at ATH on the close. Between Gary the 🦍 & his RVol suppression & his hand off to late day Ivol compression & the Vanna index bid, the 🐻’s never had a chance... but Gary’s getting tired after 2 months battling complacency & Vanna’s 2 week vacation, 1 of her only
3/x 2 week departures of the year (a 5 week OpEx) is quickly approaching on 1/15 morning. That means she’ll be increasingly absent as she prepares for her trip. W/ a $59 1 week straddle & $50 1 day range on Friday, & another $30 overnight drop, it’s hard to see why you wouldn’t
Read 13 tweets

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