Thread by @jam_croissant

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,

https://twitter.com/jam_croissant/status/1329938469473443840

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!!!🍀🍀🍀