DIX 44.9% into that dip. -> dix.sqzme.co

Experienced DIX practitioners know that this is not only strong, but seasonally strong for a Monday. Image
DIX 45.5%

All the >45% purists can be happy now.

The current combination of DIX and GEX historically yields average 1-month returns of +2.00%.

Solidly supportive.

Data free to download at dix.sqzme.co. Image

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More from @SqueezeMetrics

8 Sep
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!)
Read 6 tweets
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
1 Sep
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
30 Aug
Moving on...

What is "non-dealer gamma?"
And that means stuff that's held directly between two customers, with no dealer in the middle.
Read 5 tweets
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
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

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