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
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!🍀
My covfefe moment.

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More from @jam_croissant

23 Nov
1/x Thanksgiving week is upon us...The correction in time & price has played out exactly as predicted. On Fri, fixed strike straddles were once again down another $10-$4. Tactical shorts @ our levels once again paid off, as we got the predicted 2pm CST air pocket, right on time,
2/x as called for...For the 3rd day in a row this followed the playbook to a T. Vanna should be noticeably absent through Wed, but the IVol compression should dominate all other forces until 11/25. The 11/25 to 11/30 pre holiday-post holiday IVol spread continues to be 1 of the
3/x most extreme we’ve seen. This is a critical factor @ work & should continue to drive the price action, w/morning stability, RTH steps down, & significant continued Vol compression until 11/25. It is still unclear whether there will be any real drama to be had in this critical
Read 11 tweets
19 Nov
1/x The playbook remains the same. Fixed strike straddles were down $10-$4 across the board today, into a very weak tape, as predicted. Vanna support is gone...but the IVol compression remains. The script should continue, as expected, w/ morning stability and RTH digestion &
2/x stair steps down w/continued IVol down through the Fri morning AM OpEx print. As mentioned, be attentive to this Fri post OpEx price action. A sell off of any import should accelerate by 1pm-2pm CST going into the weekend, if there is any there ->there...If the market is well
3/x under control by Mon morning, it would make sense to start eying dips to buy tactically based on other factors between 11/25-11/27. Don’t be a hero, trying to buy into the dip too soon, as there are no guarantees it’ll be buyable, given the abundance of unsettled political &
Read 5 tweets
18 Nov
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
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
Read 9 tweets
16 Nov
1/x It took an extra day & an extra whipsaw to lose the weak longs, but as I reiterated yesterday, & as you saw again at EOD Fri + now in ETH, these massive Charm/Vanna flows are hard to fight... SO, here is the rally we have continuously called for all month, leading into 11/16
2/x in the end... as stated previously, UNPINNING THIS MARKET UNTIL 11/18 MORNING, WILL NOT BE EASY, as near-term SPX continues to be well oversupplied...As expected, increased election certainty has continued to play a positive role as well, as longer term vols have continued to
3/x decline releasing their long-embedded potential energy in the form of even more vanna flows. These Vol flows paired with 1) GS estimates of +$37B worth of systematic equity flows in an up tape over the next week. 2) as mentioned, the stabilization of the Growth complex W-Fri
Read 12 tweets
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
12 Nov
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...
Read 7 tweets

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