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Imran Lakha | Options Insight Profile picture
@options_insight
Mar 7, 2022 • 9 tweets • 5 min read • Read on X
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0/ With US inflation data coming out this week commodities still ripping, don’t be surprised if we see a continued uptick in volatility to piggyback on the ongoing geopolitics dynamics.

Best stay on your toes - 🧵👇
1/ SPX chopped around in a range last week with the 4400/4450 area capping the market and 4280 support tested multiple times. Support was finally broken today (as expected) and we are now sitting at key 4225 area. Next key supports below are 4120/4050. Image
2/ Europe and EM stocks underperformed on a relative basis where Russia/Ukraine consequences are being felt the most. Biggest outflow ever from European equities as investors were caught wrong-footed from beginning of 2022. Image
3/ Key levels to watch on SPX from @spotgamma 4225 and 4120 where gamma positioning changes steeply, should provide some hedging support, but until post FOMC, high VIX unlikely to provide "vanna" rally fuel. Will be watching HIRO for signs of put unwinds as markets selloff. Image
4/ Starting to see more defensive positioning from @42macro dispersion analysis which suggests that markets hopes of a post-Omicron bounce may be fading. Also evident in poor performance from Airlines $JETS AND leisure and hospitality sector as #Oilprices spike to new highs. Image
5/ Huge sector dispersion last week as commodity sectors on a tear whilst tech, consumer and financials take a beating. Banks were over-owned and are now a pain trade it seems with yields lower and curves flatter. Image
6/ COMING THIS WEEK: China inflation data, ECB meeting, Feb US CPI and Michigan Sentiment. @saxomarketcall Image
7/ Great summary from @MacroAlf on the current state of play in macro and how the FED put strike may be more credit dependant than equity (SPX level) themacrocompass.substack.com/p/bears-knocki… Image
8/ Join our community to get all of this info & more in real-time through our FREE Discord group chat (discord.gg/Dee5gFay) , weekly zoom calls, market reports, & exclusive option trade ideas.

Start your 14-day free trial for full access
options-insight.com/macro-insight-…

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More from @options_insight

Imran Lakha | Options Insight Profile picture
Feb 1
Why do YOU need our daily SPX fixed strike vol monitor?

1/ There are so many GEX models out there, saying different things, with different embedded assumptions. For example, @t1alpha suggest that SPX dealers have just flipped short gamma... Image
2/ But GS see a very different profile, which seems to include a lot of very short dated local gamma supply. This means dealers lose gamma in both directions. Image
3/ And finally Nomura's well followed @CharlieMcEllig1 and team said recently that the setup is the complete reverse with dealers short upside around the 5000 strike. Image
Read 5 tweets
Imran Lakha | Options Insight Profile picture
Jan 22
Let's dive into last week's options trading insights! Remember, the full details are included in our site weekly blog post (check my profile's linktree).
1/ We saw signs that SPX buying flows might slow down after Friday's OPEX. SPX hasn't dipped, likely buoyed by these Jan OPEX positions, especailly in Mag7 names.

Protecting your US index exposure with Feb24 or Mar24 put spreads makes sense. Post-Jan OPEX, expect less market support due to the fading effect of CHARM and buyback blackouts for earnings.

This creates a chance for tactical shorts in the coming weeks. Our evidence suggests that SPX's end-of-day buying is due to dealers hedging DELTA on Jan24 long GAMMA positions.

According to GS, dealer GAMMA has collapsed, making the markets less stable as we head into mega-cap tech earnings...Image
2/ We also think it's time to consider VIX call spreads.

Why? The chances of a volatility spike seem higher now. There's been a surge in Feb24 17 calls, pushing VVIX up. This aligns with our observation of increased equity vol. Investors are hedging risks, a sign of market nervousness.

19Jan24 fixed strike vol dropped, but Feb24 and Mar24 firmed up. This indicates dealers covering short-term VEGA from VIX trades.

Even if SPX tests 5000, VIX is unlikely to drop < 12. as VIX beta drops on the way up.

We're buying VIX call spreads to capitalize on the potential vol spike. This approach offers leverage while controlling THETA bleed.Image
Read 4 tweets
Imran Lakha | Options Insight Profile picture
Jan 19
Why am I getting bearish on stocks?
1/ As SPX rips back to its highs, we see breadth deteriorating as the Mag7 are leading the charge once again. Image
2/ The options flows also back up this move as lots of calls were bought in the Mag7 names, which went deeply in the money and the CHARM effect of these options becoming 100 delta leads to more stock buying. Here is $MSFT 19Jan open interest, but looks the same for $NVDA, $AMZN, etc.Image
Read 11 tweets
Imran Lakha | Options Insight Profile picture
Dec 15, 2023
Are options really that risky? Or do you just not know how to size them properly?

This is a common pushback I get from people about options, saying they are way too risky and you can lose all you money trading them.

A thread...
1/ The truth is, yes they can be risky if you don’t know what you’re doing.

If you know how to size them appropriately, then options can seriously enhance you risk-adjusted return profile and allow you to profit from multiple scenarios.
2/ Example 1 - How not to do it - YOLO

You want to speculate on a stock going up because it has a strong trend and the Santa rally is coming. So you buy a 1-week OTM call with 10% of your account capital.

Three main things can happen…
Read 12 tweets
Imran Lakha | Options Insight Profile picture
Jul 24, 2023
A big week ahead with 3 central bank meetings and more mega-cap earnings reports. What is the vol market saying?

1/ SPX was up 0.69% last week (not a huge move) but fixed strike vol was higher, suggesting vol supply less abundant after OPEX and some more expectation of vol. Image
2/ VIX curve pretty flat despite higher SPX, showing 13 level acting as a floor for now. Spot up/Vol up isn;'t always bearish, but does spell some instability may be coming. Image
3/ VVIX still refuses to budge as the alligator jaws (vs VIX) look wide here. No doubt dealers are short VIX gamma. Image
Read 6 tweets
Imran Lakha | Options Insight Profile picture
Jan 11, 2023
0/ Nice to get my charts working again, some quick thoughts on crypto vol...
1/ The volatility carry in still pretty huge as the rally just can't seem to gain any speed. Implied vol, however has traded up along with the spot grind higher in anticipation of a move on CPI. Image
2/ These 2-3% moves on ETH just don't cut it when vol is still in the mid-50s. 25 vol differential between short term implied vol and realised vol looks very juicy. This amount of carry to harvest in the 89%-ile looks like we should quickly find front end sellers. Image
Read 6 tweets

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