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Imran Lakha | Options Insight Profile picture
@options_insight
Mar 15, 2022 • 10 tweets • 5 min read • Read on X
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0/ All eyes seem to be on the BTC coil formation and what effects, if any, tomorrow’s FOMC will bring for crypto markets.

Stay prepared with this week’s crypto roundup 🧵👇
1/ After a brief pop to 42500 on lighter regulation from Biden administration, #BTC faded once again in line with risk sentiment forming a tight range between 37000 and 42500. This triangle formation look set to break soon, likely on FOMC tomorrow, question is which way? Image
2/ ETH/BTC cross rate seems to be carving out a bottom over last 2 months. Still nothing to get excited about until downtrend resistance broken around 0.07, but if we get a positive catalyst then this has major upside potential. Image
3/ Key takeaways from @glassnode this week: 1)Short term accumulation trends weaker, 2) Seeing more older (+6m) coins being spent, 3) STH holder cohort at all time lows but mainly in loss, risk of capitulation, 4) LTH adding to balances at 7.6x miner issuance rate, LT Bullish. Image
4/ Lots more on-chain and other analysis from @WClementeIII in his newsletter this week.

5/ Realised volatility drifts lower as implieds hold up with so many macro catalysts this week. Volatility risk premium back to around 10 vols. Expect front end implied to drift a bit after FOMC and into Friday DOV auctions. Image
6/ Term structure stays inverted despite low realised, as vega catches a bid. Essentially options not allowed to decay until after FOMC. Long term options had the most demand as lower decay structures preferred. Image
7/ Crypto options flows saw gamma buyers in 18Mar BTC and 25Mar ETH, Bullish directional trades in BTC Apr 42k/50k call spreads and bearish protection trades in Apr ETH 2200P and 2100P causing ETH to go relatively well bid. Image
8/ More detail on flows in @GenesisVol newsletter and @DeribitInsights by @PelionCap
9/ Join our community to get all of this info & more in real-time through our Discord group chat, weekly zoom calls, market reports, & exclusive trade ideas. See link tree in profile.

Start your 14-day free trial - options-insight.com

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More from @options_insight

Imran Lakha | Options Insight Profile picture
Nov 25, 2025
For those of you who follow the SPX Vol surface, you will know that SKEW is quite pumped right now. It's still around the 80th percentile after getting hit yesterday.

So does that make it a sell still?

Not necessarily. Because there is a reason why SKEW is expensive. And that reason is that people are willing to pay for VANNA.

So, what the hell is VANNA? Explainer🧵
1/ Vanna is a second-order Greek that represents two things at once. It represents how your VEGA position changes when the underlying spot moves. But it also represents how your DELTA changes when implied volatility moves.

I like to think of it as your realised skew exposure, just like gamma is your realised volatility exposure.
2/ Let's take an example where you have a Vanna position of $100k of Vega per 1% spot change. And you are long downside puts and short upside calls.

You will therefore also have a delta change per implied vol change of $10 million DELTA per 1% vol change.

As the market goes down, you will get longer Vega. If the market goes up, you will get shorter Vega.

And as implied vol goes up, you will get shorter delta. And if implied vol goes down, you will get longer delta.
Read 11 tweets
Imran Lakha | Options Insight Profile picture
Nov 3, 2025
I saw a reddit post about dispersion today written by a quant. It was pretty good but I feel like the target audience was vol professionals and most people wouldn't have a clue what he was on about.

So here goes....the Options Insight explanation of the famous Dispersion Trade explained in plain English...

Let's imagine the stock market is a choir🧵Image
1/
 The Index (SPX) is the whole choir singing together.

The stocks are the individual singers.

Dispersion trading is about betting on how in-sync the singers are with each other.
2/
If every singer hits the same note perfectly → the choir sounds loud and clear → the SPX moves a lot.

If everyone sings their own tune → the choir sounds softer, even if each singer is loud → SPX goes nowhere.

Perfect sync = high correlation
Everyone doing their own thing = low correlation/high dispersion
Read 12 tweets
Imran Lakha | Options Insight Profile picture
Feb 1, 2024
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, 2024
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, 2024
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

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