1/x Short & Sweet tonight: Today’s market action was quite constructive....Our short near dated Ivol & SCALPING FOR MEAN REVERSION IN EITHER DIRECTION WORKED PERFECTLY YESTERDAY.... & WE HAVE NOW BOUGHT INTO THIS MUCH AWAITED DIP OVERNIGHT @ our published level of 3539.75.
2/x We not only got the continued correction in time & massive vol compression we called for, But we also finally got some much needed repair of the nasty rotation beneath the surface, which has kept us cautious...That paired with the dramatic reduction in retail call buying &
3/x substitution of fearful retail put buying for the 1st time in a while speaks to improved sentiment factors... giving us the green light we have waited for. As I reiterated yesterday, UNPINNING THIS MARKET WILL NOT BE EASY, as the SPX has been well oversupplied...
4/x Time is still on the side of the bulls, as OpEx cycle driven vol compression & Vanna/Charm flows into 11/18th VIX expiry & improving seasonality, as well as the potential resolution of election uncertainty could provide fuel to significantly improving seasonality around the
5/x coming holidays & the Jan effect... continue to watch the NDX performance & rates normalization as signs to continue to maintain long exposure... Given that Ivols are now lower & there is seemingly still a shoe to drop on the election front with the sacking of 3/ 4 of the
6/6 top brass at the Pentagon, play everything with a foot by the exit, until we get more clarity into what Trump has planned... but the odds are in the corner up the bulls until next Weds 11/18. Good Luck!🍀
7/7 An unmentioned addendum... we have bought long dated Jan Vol & now own a well priced calendar, with cheap January Event Vol priced @ only $60... Good Luck!🍀

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More from @jam_croissant

13 Nov
1/x When you know you can measure certain critical flows very well, but not all of them, & you begin to see that your flows, tho sizable, aren’t moving the market to the extent that they should, what does that tell you? Some flows you can’t see, are counteracting your known flows
2/x (maybe stress somewhere in portfolios ?, maybe known information out there about coming plans? etc)... Pretty simple, right? Just as good information is predictive, the absence of the expected result in the presence of predictive informations is often just as illuminating...
3/x That’s what happened today. By all accounts, based on structural flows, today should have been a strong day. It became evident around 10am CST today that the expected strength that we got, however, was not up to par and was being overwhelmed by other flows...so Instead of
Read 10 tweets
11 Nov
1/x So why did this extreme rotation happen the last 2 days? The benefits to economic growth for value stocks is obvious.BUT WHY A ROTATION & NOT A BROAD RALLY? I’ve put out a lot of commentary about how the increases in econ growth expectations that the vaccine & fiscal stimulus
2/x cause are bad for the duration trade & multiples. I’ve been pounding the table on this for quite some time. But it’s important to note that these fundamental threats to growth still come w/ a lot of potential caveats, are far from certain given the likely political landscape
3/x @ this juncture, & will likely play out over years/decades, not days or months...SO WHY?! The answer is simple. As I’ve explained before, & I worked w/ @choffstein to help him enumerate in his fabulous piece ‘liquidity cascades,’ when index IVol is compressed, as it is now,
Read 5 tweets
11 Nov
1/xToday’s market action was generally constructive as WE GOT THE CORRECTION IN TIME WE PREDICTED... That said, we continued to have a nasty rotation beneath the surface, which has kept us cautious. The dramatic NDX weakness, in the face of improving economic fundamentals is
2/x concerning in that it continues to signal that the duration trade will not likely respond well to a strong economic recovery paired w/fiscal policy & higher LT rates, & it does not appear that value is strong enough to support this market given the multiples at play & size of
3/x the growth complex. On the bright side, fear is creeping back intro the market and retail call buying was substituted for considerably more put buying for the 1st time in a while...Maybe most importantly though was the continued SPX vol compression. As I reiterated yesterday,
Read 8 tweets
10 Nov
1/x OUR ANTICIPATED PFIZER NEWS CAME SOON POST ELECTION, AS PREDICTED ... But, as is often the case, positive prospective news can serve the market better as a rumor then as actual news, as it now provides less potential future support from hopeful expectations. Despite a weak
2/x close, the market was still able to barely overtake our important level in the 1.5 st dev up of 20 day of SPX... WHERE, AS OFTEN HAPPENS W/ IMPORTANT TECH LEVELS, CLOSED DIRECTLY ABOVE IT...Today’s market action, though superficially constructive, had quite a # of concerning
3/x underlying factors beneath the surface. The dramatic NDX weakness, in the face of improving economic fundamentals is concerning, in that it continues to clearly signal that the duration trade will not likely respond well to a strong economic recovery paired w/fiscal policy
Read 9 tweets
9 Nov
1/x As noted on Thurs... 11/9 dealer positioning was very short & Vanna flows would clearly be supportive into Mon morning...That paired with more Vanna flows, on the back of greater election certainty are not a surprise here... Fri’s market action was very constructive. After
2/x Thurs when IVol moved significantly higher in the back of the curve, vol compression reappeared across the curve. NDX weakness on Thurs & Fri morning notably reversed in Fri afternoon & stabilized. The last missing positive sign, as I‘ve mentioned, was an underlying price
3/x thrust in the face of an approaching technical level in the 1.5 st dev up of 20 day of SPX. We seem to be receiving that overnight now... As tweeted, we initiated short Vol Fri late morning, upon Vol compression & NDX reversal, given these prospective coming positive vanna
Read 8 tweets
6 Nov
1/x The outlook was indeed promising yesterday... As posted, we were able to monetize our long deltas & short Vega this morning at the 3508.5 level. Good thing, b/c, as highlighted midday, fives strike IVols bottomed & moved significantly higher in the back of the curve.
2/x This kind of move into a rally can serve to unpin the market, if it continues, & shows concern on the part of institutions, retail call buying exuberance, & is a sign of increasingly short dealer gamma positioning. Moreover, we had several other ST warning signs today.
3/x NDX weakness, low P/C equity reading all day, & maybe most importantly, a very poor price thrust to an approaching technical level in the 1.5 st dev up of 20 day of SPX. This weakness is particularly notable given the dealer gamma squeeze that should have helped the market
Read 9 tweets

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