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More from @MenthorQpro

Menthor Q

@MenthorQpro

Apr 21

1/ What is the SPX Volatility Surface showing?

This 3D chart maps out the implied volatility (IV) across:
•Strike prices (X-axis)
•Expiration dates (Y-axis)
•Volatility levels (Z-axis and color gradient)

Let's see how to use it and what it is telling us for today.

2/ Key takeaways from this surface

Very steep skew:
Notice the sharp rise in IV as strikes go lower. That means puts are in high demand — market participants are heavily pricing in downside protection. This is consistent with a risk-off or hedging environment.

Elevated short-term vol:
Near-term expirations have much higher implied vol than longer-dated ones. That’s a classic sign of short-term uncertainty — traders expect turbulence in the next few days/weeks, but not necessarily in the long run.

Curved surface = typical smile:
The convex shape confirms that OTM puts are more expensive than OTM calls. That’s standard for SPX, but the degree here is meaningful — tail risk is being priced aggressively.

Lower long-dated vol:
Flat to downward-sloping term structure in the back end = less concern about long-term volatility. Investors are not pricing in sustained disruption — more like a temporary dislocation.

3/ What can traders do with this?

If you’re a vol seller:
Short-term options are very rich — consider short-dated spreads or iron condors if you expect a vol crush.

If you’re hedging:
Be aware — downside puts are expensive. Consider structured hedges like put spreads or collars instead of outright puts.

Directional traders:
If you’re bullish, upside calls are relatively cheaper (flat skew) — a call fly or diagonal can give convex exposure without overpaying.

Vol traders:
Steep term structure = potential for calendar spreads (sell front-month vol, buy back-month).

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Menthor Q

@MenthorQpro

Apr 18

1/ Delta Hedging & Volatility: What You Need to Know.

Most traders understand how spot price moves affect delta—but volatility changes can shift delta just as dramatically.

Let’s walk through how delta behaves when vol changes—and how market makers hedge it. 🧵👇

2/ Quick Refresher: What is Delta?
Delta = sensitivity of an option’s price to the underlying asset.
But delta doesn’t just move with price... it moves with volatility too.
Why? Because volatility changes the probability that the option finishes in the money. Let's break it down:

3/ OTM Call Option + Volatility
Imagine you're long an Out-of-the-Money (OTM) call.
In low vol, your call is less likely to reach the strike = delta stays low
In high vol, there's more “gas in the tank” = higher chance of finishing ITM = delta rises
Delta shifts toward ATM.

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Menthor Q

@MenthorQpro

Apr 6

1/ Let's talk about market sentiment and how to use the skews and term structure.

In current market conditions, every little piece of data helps. Here’s how to read them

2/ Skew = difference in IV between OTM puts & calls.
• Put skew steepens: traders paying up for downside protection (bearish)
• Flat or call-skewed: chasing upside or selling downside vol (bullish/complacent)

Watch our 25D risk reversals for a clean view.

3/Term structure = IV across expiries (0DTE to 3M+).
• Upward sloping (contango) = calm market, low near-term fear
• Flat or inverted = stress. Traders are buying short-dated vol. Front-loading risk

Inversions are often early warnings for volatility spikes.

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Menthor Q

@MenthorQpro

Mar 29

1/ What Is the Volatility Smile? 📈😐📉
The Volatility Smile is a U-shaped curve that shows how implied volatility (IV) changes across different strike prices within the same expiration.
It reveals market sentiment, tail risk, and trading opportunities—let’s break it down. 🧵👇

2/ Why It’s Called a “Smile” 😬
When plotted, IV is lowest at the ATM (at-the-money) strike and higher at both OTM (out-of-the-money) calls/puts and deep ITM options—creating a smile-shaped curve.
This reflects the market pricing in greater risk for big moves in either direction.

3/ What Does the Smile Tell Us? 🧠
🔹 High IV in OTM options = Market expects tail risk (sharp price swings).
🔹 Low IV near ATM = Lower perceived risk near current price.
This pattern often shows up ahead of earnings, events, or market uncertainty.

Read 10 tweets

Menthor Q

@MenthorQpro

Mar 23

1/ Weekend Workflow. Preparation for the week

Here’s a structured approach to prep for the week ahead. The aim is to map out the key levels and flows that could drive markets—where the market could stick, accelerate, or reverse.

Let’s break it down step by step 🧵

2/ Start with Options Positioning & Volatility Path

• Identify where the large open interest is sitting.
• Look for gamma pockets: zones where dealers may face pinning or hedging pressures.
• Watch for potential negative gamma landmines that could create volatility.

Check skew: Is the market pricing in tail risk or getting complacent? Put skew will often show if downside protection is in demand.

3/ Think Through Delta Flows

• Map out levels where dealer hedging could flip.
• What strikes could force dealers to buy dips or sell rips?

Always factor in how changes in implied volatility could amplify or dampen these flows. Low IV often leads to stickier price action; high IV can fuel sharp moves.

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Menthor Q

@MenthorQpro

Mar 1

📊 Trump, Fort Knox & Gold – What’s Going On?
Trump claims Fort Knox may be empty, raising doubts about U.S. gold reserves. If true, this could shake confidence in the dollar and send gold soaring. 🏛💰🧵

2/ The Fort Knox Controversy & U.S. Gold Reserves
🔹 Trump claims he "wouldn’t be surprised" if Fort Knox is empty.
🔹 Officially, the U.S. holds 8,100 tons of gold, mostly at the NY Fed.
🔹 If reserves are missing, it could shake global faith in the U.S. financial system.

3/ Why Gold Could Be Massively Undervalued
📊 Fort Knox gold is worth ~$430B, yet global central banks hold $3T in gold—just equal to Microsoft’s market cap!
📉 Gold makes up only 0.5% of global financial assets, meaning a revaluation could drive exponential price growth.

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