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8 Sep, 6 tweets, 1 min read
SPX down 20 points, VIX up 3 points.

And more to go.
SPX now down 40, VIX flat.

And more to go.
SPX now down 80, VIX up almost 5.

And more to go.

(Enjoy the weekend!)
SPX now down ~100, VIX still around 20.

You guys are really drawing this out, huh?

More to go.
Amazing. You people are so stubborn. The beatings will continue until you buy some puts.

SPX now down *over* 100.

VIX still around 20!
SPX now down over 200 (>4.7% loss).

VIX approaching 28.

You guys *finally* decided to start buying puts, I see. You can have mine.

Good job, team.

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More from @SqueezeMetrics

SqueezeMetrics Profile picture
2 Sep
We talked a lot about the Vanna-Gamma Ratio (VGR) yesterday, and how it tells us about the fragility of customer positioning in SPX.

But it didn't show us the whole picture.

Today, let's add the last piece to our discussion of "non-dealer gamma."
The missing piece is Net Put Delta (NPD). Image
With the benefit of understanding daily SPX put flows (NPD) with some granularity, we have a model to overlay atop our understanding of customers' excess vanna exposure (VGR).

I.e., NPD + VGR = something pretty useful.
Read 6 tweets
SqueezeMetrics Profile picture
1 Sep
What are "bad times?"
A "bad time" is when everyone is overexposed to the same thing. This makes the market fragile.

As you know, an option's delta is not only sensitive to spot price (gamma), but also to volatility (vanna). We've called vanna "gamma's evil twin." She's sneaky.
So you shouldn't be surprised that when vanna [quietly] becomes a relatively larger portion of SPX option customers' delta sensitivity, things can get weird.

After all, when more people are more exposed to vanna, they are more exposed to changes in vol!
Read 7 tweets
SqueezeMetrics Profile picture
30 Aug
Moving on...

What is "non-dealer gamma?"
It's the other 50%.
And that means stuff that's held directly between two customers, with no dealer in the middle.
Read 5 tweets
SqueezeMetrics Profile picture
27 Aug
You are completely certain that SPY will not close below $440 tomorrow (Friday).

SPY is $446.26.

You spend every last penny of your life savings, and your brokerage margin, on Friday-expiring...
A. You sink your life savings into the 440 calls. SPY closes at 440.00. You have lost everything.
B. You short the maximum number of naked puts allowed by your broker.

There are two possibilities here.

(1) You make some money, but not very much, because you were only able to sell a few contracts (regardless of Reg T or PM).
Read 7 tweets
SqueezeMetrics Profile picture
24 Aug
S&P 500 (SPX) option dealers hold more and more inventory.

"But what about the other 50%?" you wonder.
Normally, this would be an opportunity for us to plug gamma exposure (GEX).

"Dealer gamma is only getting more important!"

But that's just not true anymore. As dealer inventory gets bigger, and as people model it with increasing accuracy, it actually becomes *less* important.
People figured out that it matters, so it matters less.
Read 4 tweets
SqueezeMetrics Profile picture
3 Jun
Heard today there's a company literally called "FOMO Co." that's apparently building an electric truck (another one?).

Its stock is up 200% in the last year. Crazy. $F
Meme stonks are dead. It's over.
Read 4 tweets

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