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Cem Karsan 🥐 Profile picture
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22 Dec, 5 tweets, 2 min read
1/x Tonight’s update is Same Same but Different...but still Same. To keep it short, EVERYTHING FROM YESTERDAY STILL APPLIES. The only addendums are on 2 fronts: 1) I fully expect the market for the next 2 days to continue to try & shake the longs. Sentiment has already normalized
2/x a bit after yesterday’s rollercoaster. A close below the 20 day (but above 1 std dev of the 20 day)would seem like a perfect stair step destination & would go a long way to shifting some systemic strategies less long+ forcing retail out of some of their long calls. This could
3/x be just the correction in price/time head fake this market needs in order to set off another shot at a 2/28-1/4 rally to 3752.5...Until 2/28, SPX Vol compression should remain dominant & I’d continue to expect some chop. That said, 2) I’d reiterate, given the action in Europe
4/4 & seeing as we’re quickly approaching the end of our 3.5 mth long ‘party’ in Just 8 trd days (1/4-11), all longs should be managed w/a foot by the exit. Use a 2 day closing stop @ ascending 1 stdev down of the 20 day or 1 day close of 2.3 stdev down, which aren’t far...GL!🍀
Correction:12/28-1/4 rally

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Cem Karsan 🥐 Profile picture
21 Dec
1/x This market’s stuck & going nowhere fast....Election Resolution ✅ , Vaccine success ✅, Fed support ✅, Stimulus ✅, TSLA inclusion ✅. All of these themes that we have been riding now for almost 3 months have 1 by 1 been resolved exactly as expected. & so, here we sit @ ATH
2/x w/ extremely overextended sentiment & positioning by both HF & Retail... Vanna flows have driven the expected rally & commensurate Vol compression to an extreme, & though their work is not yet over, with the indomitable flows of Santa Claus & the Jan Effect waiting patiently
3/x around the corner, their terminal point is in sight, and the 1/5 GA primary sits only 2 weeks away...As such, the headwinds to this market are growing ever stronger by the day. Our calls for a correction in price post Dec OpeEx morning came & went on Fri, resolved by forced
Read 13 tweets
Cem Karsan 🥐 Profile picture
18 Dec
1/x This’ll be short...For those wondering why I haven’t had a new daily thread, it’s because nothing has changed. Tomorrow is 🧙‍♀️🧙‍♀️🧙‍♀️ OpEx, & per usual, I expect morning support, followed by a correction in time & price as any remaining Vanna dissipates. Index compression
2/x continues to drive the price action & as mentioned in an earlier TSLA thread, the compression is so extreme at this point it has all but pinned the index until 12/28. We’re witnessing this overnight as the blacklisting of dozens of Chinese firms received ~ no SPX reaction.
3/x Due to this I expect very little moves in the next few days. If we do get a pullback, on any stimulus worries, I would look to be a buyer around the 20 day or by EOD 11/21. Although cheap, next week IVol is a sale & calendar call spds & dispersion trades continue to be my
Read 4 tweets
Cem Karsan 🥐 Profile picture
18 Dec
1/x I’ve done some thinking about this TSLA inclusion event... My read is that @bauhiniacapital is right that TSLA is it’s own Vol center & will not have its RVol meaningfully suppressed by SPX...That said, SPX RVol for the next 2-3 weeks won’t likely be meaningfully raised by
2/x TSLA’s addition either. The compression due to oversupply in the SPX is simply too extreme @ this juncture over the holidays, EOY, and Jan effect. Which leaves the the only possible remaining outcome as a decrease in constituent correlation...This is what we saw in 2017 & is
3/x the usual release valve under these types of conflicts between index Vol suppression and single name idiosyncratic Vol. So, IMO, in the short term the answer to make $ on this, will likely not be to sell 1 Vol & or buy the other. The way to profit here will be to suss out who
Read 7 tweets
Cem Karsan 🥐 Profile picture
16 Dec
1/x I’m going to do this early & keep it short today... EVERYTHING FROM YESTERDAY STILL APPLIES, but I’ll add a little more texture here. Tomorrow morning is vixperation. Which is another 1 of Vanna’s big mornings. It is also Fed day, which is historically the most bullish days
2/x of the year. In particular there is significant potential headline risk to this fed meeting b/c of what it says about what the Fed will do to ease liquidity concerns surrounding EOY... This paired w/ potential headline risk around the fiscal stimulus plan, would make me very
3/x worried, if I was exposed to upside risk in the market. That doesn’t mean that we can’t get disappointment on either of these fronts, we clearly could. & given vanna’s diminishing role after the open, it will likely pay to take profits if vanna is able to muster another push
Read 5 tweets
Cem Karsan 🥐 Profile picture
15 Dec
1/x The market continues to try & shake out weak hands from overextended positioning by both HF & Retail...After a strong Vanna run up overnight, as expected, retail exuberance exploded on the open in the form of retail call buying, this fragility, paired w/a)Mean reverting flows
2/x from pinned Index Vol b) well documented, risk parity rebalancing flows & c) selling flows tied to bank EOY liquidity constraints. In combination, these flows have together have amounted to substantive selling pressures, strong enough to counteract the positive vanna/ charm
3/x flows, & point to continued likely index RVol an IVol pinning...Historically, the week of quarterly OpEx markets are notoriously volatile intraday, but also mean reverting like we saw today. I think it is fair to expect continued IVol compression & more of the same underlying
Read 12 tweets
Cem Karsan 🥐 Profile picture
14 Dec
1/x Vanna joined the wheel of fortune on this day in 1982,& 38 years later she’s stronger than ever...Friday’s into the Mon of qrtrly OpEx in particular aren’t a time to trifle w/her...As called for, the market continues to try & shake out weak hands from overextended positioning
2/x by both HF & Retail, but ultimately these moves are no match for our fair lady’s charming flows during this window, & should continue to support this market through 12/16 w/ qrtrly Vixperation & the Fed upon us....As I highlighted Fri, the minor correction in price/time that
3/x we got down to the 20 day, w/precise technical support at that level, paired w/ increasingly positive Dark Pool (DIX) demand was a textbook buy signal, given the timing...Despite all of this, the real story is not these positive flows nearly as much as the continued reflexive
Read 13 tweets

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