1/x Time’s not a🐻’s friend...As we’ve explained, w/Vanna back from vacay, she’s putting in serious AH work every night (last 3 nights.) This will only increase as we approach 3/17 & is an increasingly difficult flow for the market to fight. Add to this the increasingly positive
2/x Spring seasonality w/a 🔥real estate market & 🔥 reopening, NTM the imminent fiscal stim firehose, & it seems that selling here is nothing short of swimming upstream. Despite the decline today, fixed strike IVol was compressed in the front of the curve, & despite all the hand
3/x wringing of the last several weeks market momentum is still very much positive & the trend continues to be bottom left to top right w/out any signs of a technical break. The last several days have seen a sigh of relief from the rates complex & some nascent signs of ST
4/x countertrend strength from some of the beaten down generals. Meanwhile the 1 thing that has concerned me the most, sentiment, has noticeably shifted since the🪟of weakness opened as we called, several weeks ago now, w/gardens of🌷🌷🌷 popping up across fintwit everywhere...
5/x Vanna’s late night heroics here converting to a benevolent loop of lower rVol which leads to a better Fed Gary, which leads to more Vanna flows, which leads to a better Fed Gary for the next 2 weeks, given how high Ivols are going into this seasonally are going to be hard to
6/x avoid. If we can move above 1 std dev up of the 20 day, the ensuing 🚀could be something to behold, particularly in certain pockets of the market... but the steep rally will likely be relatively short lived, for by the time an infrastructure bill begins to find traction,
7/x 1)Taxes will come due in mid April, 2) it will be time to realize LTGains from last March’s buying... & maybe most importantly 3) the economy should begin to reopen, diverting precious $$$ & attention from retail equity demand back to the real economy while 4)pushing yields
8/x up & diverting even more $$$ from equities over to bonds...as TINA ever so slightly begins to unwind....that 1 could get ugly, as the old SELL IN MAY & GO AWAY adage, could begin as early as April 12th, while we’ll also be briefly watchful for a short vanna vacation 3/17-3/26
9/x Watch retail sentiment in the form of p/c equity ratios closely, as well as ARKK & rates, Keep your head on a swivel into a rate driven sell off for a Fed statement that could quickly turn the tide... We continue to fund real convexity w/local Vol and play short vega, long
10/x gamma on the put side. As Gary gets increasingly compressed we will be looking to move increasingly to dispersion name calls w/long gamma looking for an opportunity to potentially catch the next leg of the nuclear 🚀 to the 🌙 ,
11/11 we will continue to watchful for a 2 day close below our quickly rising 1 stddev down of the 20 day SMA. Until then continue to BTD to ATH until 3/17 & likely through 4/12. Good luck!!! 🍀 🍀 🍀
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