Thread by @jam_croissant

1/x With the VIX back down to 16.69, Gary’s working his special brand of Magic... it’s that time where our charming, lovable friend 🦥, under Gary’s watchful 👁 takes over his role as host of the WofF. & w/ term structure & skew as steep as it is & Vanna chipping in, it’s

https://twitter.com/jam_croissant/status/1390555525490872322

2/x unlikely we’ll see anything but the high ratings that we’ve become accustomed to...we’ve now closed over a rising 20 day for over 5 weeks. This momentum & ++flows are hard to ignore & betting against continued success of a game like the WofF in this🪟of💪🏼’s a dogmatic🌷dream.

3/x We’ve been clear 🕰 was not a 🐻friend...Regardless of NFP on Fri morning, this long expected rally to our ***Resistance was virtually an inevitability after the ‘event’...That said, w/the perception of yields under control in the shortterm, we have even more potential for

4/x risk-on tailwinds for several quantitative strategies... so all points point 🆙. The battles this market should face for the next week & a half, should mostly revolve around overextended sentiment, fading seasonality, and overbought conditions, as we push against 2 stddev up

5/x of the 20 day in SPX & continued negative flows in the NDX from stock🪟opening & tax selling. Until we break the 1 std dev down of the 20 day, which is now far away, the burden of proof remains on 🐻. BTFD, taking profits @ our🔥level, as sentiment & overbought,

6/x status should force brief attempts to shake 🐂 Particularly leverage the dip @ vanna/Charm hours and take profits into the end of this windows. Continúe to add to fragility & neg flow plays in ARKK & IGV for convexity, funded premium neutral w/local SPX Vol. Continued fallout

7/7 from the Archegos-ARKK 💣🐚 should serve as an overhang... It’s time to step away from index calendars for a while, as Vega is @ risk this week. That said, June Fed event Vol is cheap and Dispersion should continue to be 🔥 , given Gary’s 💪🏼 until 5/19. Good Luck!!🍀 🍀