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Cem Karsan 🥐 Profile picture
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4 Jun, 4 tweets, 2 min read
1/x Something a little different this time... A CALENDAR 📆For the SUMMER OF GEORGE:
*6/7-15 pre-Fed IVol ++ oversupplied+👸&🦥= Mudville🧲,
*6/16-18 Fed, Vixperation, OpEx... w/Ivol well supplied behind @ 4115 strike in 6/30, Event Vol crush =Vanna + 🦥...support likely 💪🏼—>🚀
2/x * 6/21-6/30 IVol dramatically oversupplied+supportive EOQ/BOQ flows
*6/30-7/6 JPM SepQ IVol 🔨 +Holiday IVol oversupply=Mudville 🧲
*7/7-7/12 👸& 🦥power week
*7/12-7/31... 🎯1st chance @ weakness... 👀 delayed Vixperation, 👸 & 🦥 extended holiday—> 5 week cycle...
3/x Despite all of this...market still technically/fundamentally weak, & taper talk imminent. Which means market is likely capped. Sell SPX calls under hedged, sell SPX puts fully hedged... tactically @ levels, @ 🕰 windows. 2 sided. Buy Ivol where the squeezes are. Both ⬇️ & ⬆️
4/4 own Convexity funded w/local Vol as the tail is still ultimately fragile, but feel free to disperse about the cabin... 🦍 has your back. 🍌 🍌 🍌’s as far as the 👁 can see. Lean in, but Be 💦 #summerofdispersion #summerofGeorge

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More from @jam_croissant

Cem Karsan 🥐 Profile picture
31 May
1/x Big fan of @sentimentrader ‘s work & there’s still some signal here, but important to note that there are a couple critical issues this analysis: ignores:1)The VIX is priced on calendar days, but dealers tend to price underlying options on trading days. So,w/4 days in an avg
2/x long weekend (1 day taken out for post holiday slowness) all else equal, that represents ~1 IVol pt rise in VIX 2) by focusing on %change in VIX (which many belabor as flawed) off of a 52 week low, the results are skewed, as they all start w/ a low denominator (near 10 VIX)
3/x 3) VIX is a mean reverting fxn & the longer the time away from a 52 week low, the more likely the reversion to the mean. That said, taking advantage of this in reality is quite difficult as VIX isn’t a tradeable product. VIX futures of SPX Options are, & all of these products
Read 4 tweets
Cem Karsan 🥐 Profile picture
28 May
1/x Everything from Tuesday still applies: there’s a lack of buying pressure w/ 👸&🦥 @ the 🏖 during the🪟of weakness, & that paired w/ a Memorial Day BBQ FED Gary 🦍explains why we are likely to be stuck between a 🪨 & a hard place for quite some time. looking fwd, past
2/x Memorial Day, into next week, tho There are several clues that the summer duldrums are moving in for an extended stay....we have 1/BOM flows followed by 2/ 👸& 🦥 return. Then 3/an increasingly hedged Fed meeting, where taper talk is largely priced in and dealers are hedged
3/x 4/followed by preparations for the quarterly JP Morgan Vol Crush front run. 5/ a supportive July Vixperation/OpEx period 6/ & finally bullish effects tied to the Olympics... IOW the calendar isn’t a 🐻’s friend...W/a move back above the 1.5 stdev up, where it’s likely to play
Read 6 tweets
Cem Karsan 🥐 Profile picture
26 May
1/x Low Volume=Short ‘🥐 Crumbs’, today...SPX options volume today was a measly 540k, <Xmas eve & lowest volume YTD...Such is the power of Gary🦍, as🥐’s know, there is no fear due to yesterday’s sharp rally & IVol contraction, paired w/ Gamma dramatically oversupplied in 5/28
2/x due to pre-long weekend /post-long -weekend dealer positioning & of course the JPM ‘Fed meeting 🧲’, JuneQ 4115 calls continuing to saddle dealers w/ the most desirable IVol on the board for cheap. Pair that w/the fact that this rally has ST upside momentum challenges, due to
3/x a lack of buying pressure w/ 👸&🦥 @ the 🏖 during the🪟of weakness, & it explains why we are stuck between a 🪨 & a hard place... looking fwd, past Memorial Day, into next week, There are several clues that the summer duldrums are lurking...we have 1/BOM flows followed by
Read 9 tweets
Cem Karsan 🥐 Profile picture
24 May
1/x If I told you that crypto was going to lose half of its value, Taiwan’s market would have an -8%+ day, ARKK would be imploding, & the NDX was dramatically underperforming, that broad market indices were losing momentum & breadth and were technically
2/x broken on many metrics, that seasonality was fading, quality/ defensives were outperforming, The Fed was floating critical Taper trial🎈🎈, that there are múltiple clues of Fed speculation tightening behind the scenes, that real EarnYield was hitting 40 yr lows, bonds were
3/x blinking defensively green despite dramatic inflationary forces, yet we would have stable price with low volatility despite entering 👸 & 🦥’s post OpEx 🏖 🪟 of weakness, while the S&p would be be sitting -1.5% off all time highs, right on its 20 day SMA...anybody unfamiliar
Read 9 tweets
Cem Karsan 🥐 Profile picture
21 May
1/x With our🦥Prince Charming departing on his cruise, the🪟of weakness back at the WofFortune has officially opened...From a level 1 view there is every reason to believe a decline is more likely than usual in this🪟, for 1 the VIX is starting this🪟having triggered a technical
2/x. Break last weak, 2nd of all the Fed is increasingly floating trial 🎈, about talking about tapering, as it did in the Fed minutes. NTM, Treasury reducing its Gen Acct from $1.6T to < $500B by EOQ & the continued opening of Ndx equity lock ups into EOQ. But...level 2 is
3/x not to be underestimated... sentiment has become exceedingly 🐻’ish, as displayed by HF positioning... I’m sure our 3x weekly 🥐’s & the growing familiarization w/ the🪟’s of weakness is not helping this sentiment either. Pair that offsides positioning, w/ 🚀ing buybacks &
Read 8 tweets
Cem Karsan 🥐 Profile picture
19 May
1/x I’ve been clear that the coming rally off the bottom of the last dip would be a countertrend technical bounce. We’ve been in a Vanna driven opp to STR in her🪟of strength. She single handedly took this market from 4025 —>4175 in a week despite intl. liquidation, NDX/
2/x ARKK/BTC continued weakness, & a dramatic commodity sell off. IMO her work has been nothing short of heroic🦸‍♀️!But poor girl, she can only do so much..After all, I’ve been clear, it was just a matter of ⏰. 🕰 was not a 🐂’s friend... W/ Vixperation, & the (potentially
3/x combustible)FOMC minutes, & Vanna’s long awaited pre-Memorial Day departure for the 🏖 slated for today... the🪟for a rally was closing, & when the deadline for the bulls to regain the 1.5 std dev up of the 20 day in the SPX met a quickly closing 🪟 yesterday, a slide below
Read 7 tweets

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