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Cem Karsan 🥐 Profile picture
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30 Dec 20, 7 tweets, 2 min read
1/x Complacency is no longer mounting... it has mounted... & has now broken into an all out gallop. Retail traders are YOLO HODL’ing, dealers & IB traders are greedily leaning shorter & shorter Ivol assuming that the juicy VRP is safe. 1 day event vol for the GA runoff that will
2/2 dictate whether we experience a blue wave or not sits at a paltry $45. With EOY/BOY flows between now & then, & the tax, antitrust, macrocyclical flows & regulatory uncertainty (to name a few small issues) sitting just around the corner after inauguration, Ivol is approaching
3/x it’s nader...I would expect fixed strike Ivol to hit its low assisted by some large coming institutional Vol selling flows that reliably come at the end of each quarter. Sometime between 1/4-1/15 we should see a phenomenal LT IVol buying opportunity...And as I’ve mentioned,
4) IMO it’ll be time to be on the look out then for the pain trade. This looks more & more like it will be some kind of impending rally post GA runoff into 1/11-15, paired with rising Ivol to our 3811 objective. In that window the window for an attempt at a correction will open.
5/x If we do not get rising iVol & the correction that we are hoping for in price, & the market instead simply marks time in the form of a correction in time, by 1/25 we will not be dogmatic, quickly turning long deltas again. The risk/reward trade here will be to ride deltas w/
6/x long calls, for what would assuredly become an upside Vol squeeze, & pave the way for an eventual reversal from higher levels a month later in mid feb. Continue to ride this market long delta into 1/5, increasingly substituting long gamma for hard deltas into a rally, taking
7/7 gamma profits @ our levels. It will not be easy, it never is to bet against the market. But the time for caution is quickly approaching. Keep your head on a swivel, and when all seems lost and it seems least likely we will look to pivot. Good luck!🍀

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More from @jam_croissant

Cem Karsan 🥐 Profile picture
31 Dec 20
1/x No loooong treatise tonight. 1 important observation today....& just 1 important item to watch for tomorrow: OBSERVATION: for the Nth day,despite earlier attempts to do something meaningful in SPX, we once again mean reverted to unchanged. This is not surprising, as Ivol
2/x compression continues to be the overwhelming dominant force. What is notable is how dominant it has become @ this point...as can be seen through the underlying constituents, true idiosyncratic risk is still very much alive. The last 2 days are a great example. The Russell had
3/x an almost -2% day (-2.3% min) followed by an almost +1% (+1.5% max). But in the end all roads lead to Rome...So dispersion continues to be the trade, & all constituents are ultimately tethered flailing to & fro hopelessly attempting to sway the 10k lb 🦍...IF THERE IS 1 THING
Read 8 tweets
Cem Karsan 🥐 Profile picture
29 Dec 20
1/x The 1way santa🎅train🚂 to the moon continues its ascent... Nearly reaching our long called min objective of 3750.75 overnight. As discussed, the window for potencial weakness opens in 5 trading days at 1 of my price 2 objectives of 3770.5, or 3811.25... But now
2/x comes the hard part... Figuring out how the market shakes this accelerating Vol compression & the growing parallel calls for a coming correction to cause the most pain to the greatest # of investors... Where is the PAIN TRADE? Because it is NEVER easy... I have a couple of
3/x thoughts here. It seems more & more likely to me that we could see a rally from 1/5 into 1/11-15 regardless of outcome. This would confound a lot of those preparing for a pullback (especially in the case of a dem sweep), causing dealers to throw in the towel abandoning long
Read 6 tweets
Cem Karsan 🥐 Profile picture
28 Dec 20
1/x All aboard the Santa Express! As I have made clear for some time now, seasonality through 1/5 is not some magical construct... Vanna and Charm flows paired with EOY/BOY flows will support the market making it hard for it to do anything too dramatic between now & the runoff.
2/x A lot has been resolved and we have been sitting in a bit of a holding pattern for some time now with Election uncertainty, Vaccine success, Fed support, fiscal Stimulus passed, & TSLA inclusion all well understood and behind us...these themes that we have been riding now
3/x for 3 months have 1 by 1 been resolved exactly as expected. &, here we sit @ ATH...The waiting game will soon be over. We have been greedy for some time as the world had been fearful... but the Vanna flows have done their heavy lifting and handed the baton to the charm driven
Read 11 tweets
Cem Karsan 🥐 Profile picture
25 Dec 20
1/x ‘Twas the night before Christmas & all through the market not an order was stirring not even for $TGT.
The bonuses were entered into payroll with care,
In hopes that next year would bring a similar fare;
The Bulls were nestled all snug in their beds;
2/x While visions of $TSLA danced in their heads;
& Biden in his Covid mask, & Powell with his still flowing money tap,
Had just settled their brains for a long winter's nap,
When out on the screen there arose such a clatter,
All sprang from their beds to see what was the matter.
3/x Away to their monitors they flew like a flash,
Tore open their Bloombergs & threw up the dash(board).
The S. Claus rally in markets, that all of us know,
Paired w/vaccine reopening, Gave a bid to the market, leaving old prices below,
When what to their wondering👀 did appear?
Read 14 tweets
Cem Karsan 🥐 Profile picture
22 Dec 20
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
Read 5 tweets
Cem Karsan 🥐 Profile picture
21 Dec 20
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

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