1x/ Okay I'm going to do another of my market forecasts for next week. The theme of last week's was long gamma, long vega if you remember.
2x/ Last week we treaded in place, at least some people call it a correction in time but not in price. It was interesting especially to see the daily pattern in which there was substantial pinning to the key 390 level for SPY, despite really fun steep drops intraday.
3x/ Gamma scalpers and those brave enough to long vol made bank. This week looks interesting because it's after the OPEX, and ostensibly there's less gamma floating around to pin us. We're seeing bond yields move substantially with the curve steepening. This implies
4x/ investors are expecting rising inflation but more ominously implies a potential tapering of the Fed's quantitative easing sooner than expected. That said, not a macro person, at least not yet so let's go back to micro.
5x/ Last week NOPE flaired up quite a lot, with quite massive spreads and EOD imbalances for fairly minor movements. This implies roughly a persistence of illiquidity in the market, which is corroborated by certain weird intraday behaviors we observed (SPY price dancing
6x/ multiple points in a second, for example). Hunch is to stay cautious this week, long gamma long vega recommendation persists. Will be looking specifically at spikes in implied correlation and risk-off behaviors (e.g. BTC seriously tumbling).
7x/ More interestingly watch for sustained weakness in NQ as evidenced by Hang Seng tech weakness last week. Tech = higher multiples = weaker under inflation. Similarly watch for renewed strength in meme stocks, with my eyes specifically on GME, BTC stocks, and SPACs
8x/ Fin
this aged well

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More from @nope_its_lily

20 Feb
1x/ Here's a brief explanation for what I mean by buying garbage. Garbage stocks are effectively distressed or speculative investments, ideally around a pure play binary catalyst event. What this means in English is a double-or-nothing: it's an equity that allows you to bet
on the outcome of an event and either make a lot of money or lose some money. SPACs pre-LOI are a fantastic example of this with a left tail removed--if you grab them close to $10 NAV, your upside is limitless while your downside is capped.
3/ Another great example of this phenomenon was stimulus plays. The airline industry in 2020 was in very very bad shape, but the expectation was that there would be a government bailout. Paradoxically, this means the best play to bet on a bailout wasn't a *good* airline.
Read 8 tweets
19 Feb
I want to wax philosophic about nopechart.com and the recent decision to make a premium subscription versus the charity premium which was designed earlier last month. NOPE has had a home through a couple of sites in its history.
1. thenope.info 2. onlyfurus.com/nope and now 3. nopechart.com In all cases it was taken up by a good samaritan to build and maintain it, and their hard work was met less by thanks and more by moaning when it predictably ended up crashing or glitching.
The amount of data being processed behind the scenes is obscene. When Sean offered his charity subscription, I was all for it. We had maybe 10% or less of the traffic we have now. We didn't have people hitting it to scrape it. We didn't have ballooning dev costs, server costs.
Read 8 tweets
16 Feb
PSA: mRNA vaccines do not alter your DNA. They do not go near your DNA. Unless they are packaged with reverse transcriptase they have no way to insert themselves in your DNA in any fashion ever. mRNA vaccines are picked up by your *ribosomes* to produce viral spike protein.
Ribosomes are little awesome cellular machinery which take mRNA and produce polypeptides which are assembled into proteins. Proteins are the spongy things that make up most of you. In general flow goes DNA -> mRNA -> protein. DNA is in your nucleus. Ribosomes are not.
tl;dr stop being a fucking idiot on twitter and read things before you tell me that Pfizer vaccine is going to alter your DNA thanks.
Read 5 tweets
15 Feb
Another beautiful dataviz I'm stealing from jbem772. NOPE values plotted over time (EOD only) since 2007. Notice how it spikes up a lot... after volmageddon. cc @choffstein
this pattern is kind of insane, it literally starts exactly after volmageddon
So confirmed with the creator that green here means take a long position, which means larger put skew. As dealers on SPY are usually short puts/long calls, this implies much higher long delta balances EOD.
Read 4 tweets
14 Feb
Some advice to youngs like me:
1. Just write. It's okay if it sucks, just write.
2. Ask dumb questions, admit when you're wrong.
3. You'll learn more by doing than by reading.
4. Pick an interesting, large question. Learn as much as you can for it. Keep iterating. Just go for it.
For 4 you will be wrong *a lot*. But that's fine, keep prodding at it. Look for any signal you can. If you find an interesting correlation document it. If it is robust over time, it usually hints at deeper, interesting questions. Go explore.
I want to give a story about when I started my research on NOPE. It started in summer 2020 when I basically first read about the concept of delta hedging. My initial guess... was wrong. In fact, I was exactly wrong in a lot of cases. I got input. I talked to people.
Read 9 tweets
12 Feb
also while I'm in the spotlight again I want to keep reminding people NOPE isn't just my indicator, it was and still is a collaborative project:
@UsualWhale
@pgag_
@nitaidean
@CautionPesimism
@GengSean
@vennyice
@vega_gang
@StrizziJ
@MelwinZero
@falcontrading3
@RHUser1
@unusual_whales (started on UW)
@bennpeifert (advice)
@goodalexander (memery and discussion)
@sanntrades (trying it out, feedback)
@voliswell (incredible data, discussion, amazing guy)
@ConvexValue (data!)
@FREAK0NAUT (feedback)
@optionrats (historical data!)
@final_october
Read 4 tweets

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