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
4/x window of potential weakness. That said, I continue to be skeptical a meaningful drop will happen, given the extent of the vol compression that has taken hold. If the market continues to be well supported by EOD Tues, it’ll make sense to start discussing plans to buy based
5/x on other factors, looking forward to late in the day on 11/25- morning of 11/27 in preparation for coming EOM/BOM flows and seasonality-accelerated Charm/Vanna flows. Potential energy in the form of INCREASED ELECTION CERTAINTY & climbing the COVID WALL OF WORRY w/a looming
6/x vaccine, will continue to play an increasingly positive role, as longer term vols should continue to methodically decline, releasing their long-embedded vanna flows into the EOY. As I’ve mentioned, a shortened Thanksgiving week this week will make it hard for negative flows
7/x to take hold. Given all this, the EOY chase may soon lie around the corner... BE PATIENT. Don’t try & buy into the dip too soon, as there are no guarantees it’ll be buyable yet. If a decline of any import is to take hold, it’ll likely need to happen w/a break below the 20 day
8/x accelerating at 2pm CST on 11/25 going into the holiday. Let the calendar be your guide & the 20 day on close be your trailing stop, as the correction continues in price/time. We are still looking to play tactically from the short side after the morning print from our levels.
9/x Continue to watch IVol & skew for clues to the personality of the decline, as we approach EOD 11/25. At this point, calendar spreads are the best hedge against a decline, but we will begin taking these down, as signs start to point more & more to a buyable dip. We continue to
10/x be short 11/30 calls for tactical short delta, as they also continue to benefit from Ivol compression w/the correct in time/price... Dispersion is an increasingly great play here w/ the prospects of Index Vol suppression w/remaining elevated idiosyncratic risk still on the
11/11 horizon for names, & should be a great trade for months to come! We continue to increase this exposure daily. Good Luck!!!🍀🍀🍀

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More from @jam_croissant

24 Nov
1/x As expected, a shortened Thanksgiving week this week has made it hard for neg flows to take hold & IVol compression has continued to dominate all other forces... What was not expected was the degree to which this IVol compression would overtake all other factors so quickly.
2/x A veritable Ivol EXPLOSIÓN occurred under the surface of markets today. It started much like all the other days of IVol compression of the last 1.5 weeks, but after a failed morning breakout in the market & decline back to unchanged, it accelerated into forced selling by EOD.
3/xThe standard $10-$4 declines in straddles of the last few days ended the day w/ $20-$15 declines. In fact, the vol contraction in the back was so significant it forced the acceleration of Vanna flows, calling our fair lady back from holiday for a begrudging appearance & a late
Read 9 tweets
20 Nov
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
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

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