1/x No need to belabor the point. In the ‘Summer of George’ dealers will continue to be well FED. In the indexes, 6/18 -6/25 IVol is now inverted on a relatively low IVol….
what that tells you is that post the Fed event Vol, dealers are about to get A LOT longer IVol & shorter
what that tells you is that post the Fed event Vol, dealers are about to get A LOT longer IVol & shorter
https://twitter.com/jam_croissant/status/1404367058754752514
2/x delta. This harkens back to last years election on a mini-scale… and I think we all know how that ended up. Add to that the well discussed imminent JPM IVol 🔨 on 6/30 & the following 7/3-5 long weekend & it is no surprise that we will continue to be 🧲 in Mudsville.
3/x Vixperation is tomorrow AM, but 👸 is not off to the 🏖for her monthly vacay until early Friday, due to the Fed, & 🦥 will join her on Friday morning as usual,.. that said + hedge fund positioning & retail sentiment are stretched, which should help keep a lid on the incoming
4/x vol market flows and the improving technical picture & + EOM risk parity, targeting & trend following flows. I’ve said before, but 7/12 represents the next 🪟 of weakness, & with inflation driven taper concerns, tech antitrust progress, China/US Econ bluster, $ risks, &
5/x European reopening, there is no shortage of narratives to drive a bounce in Ivol & a commensurate decline… continue to ride the theta 🚂, but own the fat tail. Spx should be bounded by the shrinking🪟 b/w the 20 day & its 2 stdev up, for the month. Look to cover any shorts
6/6 briefly after the 1pm CST announcement but before the Powell testimony. If there is a 🪟 to watch for potential weakness, It would begin between 2-3:15pm CST tomorrow or after the open from 9-10am CST on 6/17. After that, it’ll be time to get back on the train. Good luck!🍀
NOT INVESTMENT ADVICE
• • •
Missing some Tweet in this thread? You can try to
force a refresh
