1/x Here we are on 11/18... Vanna is up late packing her bags for her trip. As stated for over a week now, UNPINNING THIS MARKET UNTIL 11/18 MORNING was not in the cards as near-term SPX was well oversupplied and vanna/charm flows have been simply too strong.Vanna will be all but
https://twitter.com/jam_croissant/status/1328576477030440963
2/x gone by tomorrow afternoon and Vol oversupply should be gone by 11/25.... My base case is that a buyable dip in time and/or price is coming. & IMO short calls continues to be the play until 11/25. Watch for the last of the AM vanna flows to try and counteract some of these
3/x overseas negative flows in the AM. That will likely be a short sometime between the open & midday. From there expect more stair steps down w/ Vol, just as forecasted today. The action Thursday should be similar. Watch this Fri very carefully, a sell off of any import should
4/x accelerate by 1pm CST going into the weekend, if there is any there ->there... If the market is well under control by Monday morning, it would make sense to start eying dips to buy tactically based on other factors in the days to come. As I have belabored in previous posts,
5/x seasonality is real. A shortened Thanksgiving week next week will make it hard for negative flows to take hold. Potential energy in the form of increased election certainty will continued to play a positive role as well, as longer term vols should continued to decline
6/x releasing their long-embedded vanna flows into the EOY. Given these Vol flows paired w/GS estimates of +$37B worth of systematic equity flows per week in an up tape, I continue to suspect a coming time/price ‘correction’ will probably be met w/ market down/sideways/Vol down.
7/x Possibly leading to a buyable dip in time/price by 11/27. Be careful not to buy into the dip too soon, as there are no guarantees it will be buyable, given the abundance of unsettled political & Covid related concerns...Let the calendar be your guide & the 20 day on close be
8/x your rising stop, if/when the correction comes. Watch skew & vol reactions as well as p/c equity & sentiment indicators as clues to timing. We’ll be playing tactically from the short side after the morning print from our levels.
9/x 1/15 Vol on back continues to be cheap & we continue to own downside calendar spreads, OEV neutral for the coming correction in time/price... Good Luck!🍀
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