Thread by @jam_croissant

1/x The predicted correction in time & price continues. Fixed strike straddles once again we’re down $11-$5 today, & although the tape did recover late w/ some remaining OpEx Vanna flows, Tactical shorts @ our levels once again paid off after hours w/ some last minute gymnastics

https://twitter.com/jam_croissant/status/1329514226629611530

2/x dropping from 3578.5 to 3544. These trades are rarely easy & obvious when right, but for the 2nd day in a row this was textbook. Tomorrow morning is OpEx. Vanna’ll be gone for a week after the morning print, but the IVol compression should remain until 11/25. The 11/25-11/30

3/x pre holiday-post holiday IVol spread is 1 of the most extreme I’ve ever seen. This should reinforce the script of morning stability w/ RTH stairsteps down w/continued IVol down. As mentioned, a sell off of any import should accelerate tomorrow by 2pm CST

4/x going into the weekend, if there’s any real drama to be had. I am growing increasingly skeptical anything too meaningful will happen given the extent of the vol compression that has taken hold. If the market continues to be well supported by Mon morning, it would make sense

5/x to start eying dips to buy @ levels based on other factors 11/25 late-11/27, As I’ve stated in previous posts, 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

6/x CERTAINTY & climbing the COVID WALL OF WORRY, will continue to play an increasingly positive role, as longer term vols should decline, releasing their long-embedded vanna flows into the EOY. Pair these iVol flows w/sizable systematic equity flows, the EOY chase may lie around

7/x the corner. Don’t be a hero yet, trying to BTD too soon, as there are no guarantees it’ll be buyable, given the unsettled political & Covid concerns..Let the calendar be your guide & the 20 day on close be your trailing stop, as the correction continues in price & time.

8/x We’ll continúe to play from the short side after the AM print @ our levels. Watch IVol & skew for clues to the personality of the decline. Feb Vol on back continues to be cheap, given macrocyclical policy uncertainty So, we continue to own calendar spreads w/ short 11/30 Vol,

9/x now as strangle swaps, OEV neutral, w/ short calls for a continued correction in time/price...IVol Dispersion is also an increasingly great play here due to more prospective Index Vol suppression w/ plenty of idiosyncratic risk still on the horizon for names. Good Luck!🍀

A

My covfefe moment.