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.

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.

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.

📊 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.

1/ 📊 How can you predict market moves with volatility?
Traders often struggle with setting realistic price targets. The 1D Expected Move Indicator helps forecast daily price action, giving upper & lower bands for expected movement. Let’s break down how it works & how to use it in trading. 🧵 2/ 🔎 What is the 1D Expected Move Indicator?
A proprietary volatility tool designed to estimate the next day’s price range based on historical price action and implied volatility. It provides:
📌 1D Max Move → Expected max price movement.
📌 1D Min Move → Expected min price movement.

📊 How to Trade Put Support Levels Like a Pro
1/ Ever wonder why prices bounce off certain levels or break down? It’s all about Put Support—a key zone where hedging flows dictate market moves. Understanding this can give traders a serious edge. Let’s break it down. 🧵 2/ What is Put Support?
🔹 It’s the strike price with the highest net put gamma, making it a major support zone.
🔹 Institutional traders hedge with puts—when demand rises, market makers short stocks to stay hedged.
🔹 As price nears Put Support, hedging flows determine whether price rebounds or falls further.

1/ 📚Understanding Option Premiums

A thread 🧵 2/ Option premiums are the price you pay (or receive) to buy (or sell) an option. It’s made up of intrinsic value (real value based on the stock price) and extrinsic value (time value, volatility, etc.).

Let's break it down further

1/ How does lower volatility impact hedging dynamics and momentum strategies?

Let's break down this chart 🧵 2/ Let's start from Delta and Volatility. Delta measures the sensitivity of an option's price to changes in the underlying asset's price.

When volatility is lower, options (especially at-the-money options) have a more stable delta. This makes hedging easier because the required adjustments to hedge positions, so called delta hedging are smaller and less frequent.

Lower volatility reduces the gamma risk, meaning delta remains more consistent as the underlying price moves, simplifying the hedging process.

1/ What is Skew and how does it work for traders?

Here is a simple approach of how to use the Q-Skew 🧵👀 2/ What is Skew?

Skew measures the difference in implied volatility (IV) between out-of-the-money (OTM) puts and calls on the same underlying asset. It tells us how options traders are pricing in upside vs downside risk.

For example:
- Higher IV in puts → Bearish sentiment, higher demand for protection.
- Higher IV in calls → Bullish sentiment, higher demand for upside exposure.

The Q-Skew visualizes 25D Skew for Put and Calls. When the skew moves up it is Put bias, on the way down Call bias

1/ When market makers are short gamma and market moves into negative gamma, MM face unique challenges that shape the market’s behavior, impacting volatility, liquidity, and trading costs.

Here’s why negative gamma matters.👇🧵 2/ Negative gamma means that a position’s delta changes in the opposite direction of the underlying asset’s movement—this forces market makers to rebalance.

When negative gamma is in play, market makers have to adjust their hedges continually. As prices rise, they buy. As prices fall, they sell. This creates a feedback loop, amplifying market movements and driving up volatility.

1/ What is Skew? Refers to the fact that IV isn't constant across different strike prices. Instead, it changes based on how far the strike price is from the current market price of the asset. This reflects the market's expectations of potential price movements. Let's use NVDA🧵 2/ Fat Tails and Market Movement: Skew is connected to the concept of "fat tails," which suggests that extreme price movements are more likely than a normal distribution would predict. This is why implied volatility tends to increase as you move further away from the current strike price—whether far above or far below it.

1/ Term structure, or forward curve, represents the prices of futures contracts for a commodity across different expirations. If you trade energy or commodities in general you need to understand the different shapes. Will focus on energy term structures today 🧵
Source: Argus 2/ Let's start from Electricity, The electricity curve shows seasonality with peaks and troughs each yearly strip with prices staying relatively flat year over year. The peaks and troughs represent anticipated surges in
demand and constraints in supply within each
12-month strip.

Seasonality: In electricity markets, demand typically spikes during extreme weather conditions (summer and winter), leading to higher prices during these periods, while milder conditions often result in lower prices.

How to use IV to predict 0DTE options? You can start by monitoring intraday IV trends for strikes with high volume, and comparing IV levels of 0DTE options to those expiring the next day.
Source @wolveran1 2/ IV above next day's IV suggests dealers are short (selling pressure). IV below indicates dealers are long (buying pressure).

Check intraday SKEW (put vs. call). A sharp drop suggests dealers are long puts, short calls, and long futures as a hedge, with futures likely sold into the close.

🚨Positive vs Negative Gamma 🧵

1/ The SPX is going to open in negative gamma, as you can see from the Option Matrix below. As such for our weekly education thread let's focus on the distinction between what a positive vs negative environment is and what it means for you 2/ It is very important for Traders and Investors to understand the difference between Positive and Negative Gamma when trading any asset, because these gamma conditions can significantly impact their investment strategies and risk exposure. Gamma is one of the Greeks used in options pricing and risk management, and it measures how the delta of an options position changes in response to movements in the underlying asset’s price.

1/ Oil Thread 🧵

There was some Vol bid since last week, as you can see on the 25 Delta Put Skew. While fundamental were looking strong for a while, tensions in the middle east have played a role in driving price 🧵

Source: Bloomberg 2/ Oil tends to be the place to be for Market participants "Escalating Events". During these news CL Futures alone jumped nearly 3% to the highs. With OPEC+ Members keeping Oil Supply tight, and oil demand from US and China steady, a brewing middle East Conflict, will make next week a volatile oil market

1/ 🚨Geopolitical update. Let's see what news is coming out of Middle Easter before the week starts. Source is Bloomberg. We just copied it in a thread. Please comment, all👀 on oil 🛢️ 2/ For the First Time in over 4 Months, there were No Israeli Troops in the City of Khan Yunis as well as the rest of the Southern Gaza Strip with the 98th “Ha-Esh” Paratroopers Division having Withdrawn from the Strip last night leaving only the 933rd “Nahal” Brigade as to Protect the Netzer Corridor between Central Gaza and the Sea; the Israel Defense Force has stated that this Withdrawal marks the Total Shift into “Phase 3” of the Gaza Operation meaning the End of any Major Ground Operations and the Establishment of a “Buffer Zone” between Gaza and Israel.

1/ In this thread, we are giving you some great visualizations of option Greeks -the way they are linked is not always clear. But it is essential because it affects the value of your options as well as risk management.

Linkage 👇 2/ Grid visualization here 👇

🚨 What are the Effects of Volatility on Delta Hedging? Let's make this the education topic of our daily thread 🧵 1/ The effects that an increase or a decrease in volatility have on positioning may be less counterintuitive than when we are simply looking at spot movements – and ignoring time and volatility. This is why before we look at how a market maker hedges, we really need to understand how the delta profile of an option changes as volatility changes. For the purpose of this exercise we are going to look at an ITM and an OTM Call option. The assumption here is that everything is staying equal apart from changes in volatility.

1/ For this Saturday educational thread, let's look at some case studies, and answer some of questions we received in the Trading rooms. More specifically, we want to answer how we can use the option screeners to create set ups. Let's go 🧵 2/ First of all, it's important to understand that when you trade options, the movement of spot isn't the only way to profit from a position. You can trade spot movement, but also volatility and time. Option trading is multidimensional, those can be positively traded but it also ads a level of risk that you need to understand. Here we wrote about why options move market, it is a good start menthorq.com/guide/options-…

1/ We put together a Delta Hedging checklist. As the market moves throughout the day, the delta of the MM’s portfolio will change. Since the MM hedges with the underlying (mostly), knowing whether he is buying or selling can help us understand the liquidity in the market 🧵 2/ We are going look at how a MM is hedging when an investor is:

Short a Call
Long a Put
Long a Call
Short a Put

PS: for the purpose of this exercise we are ignoring vanna/charm flows

1/ Today we'll touch on Dynamic Risk & Risk management . Understanding dynamic risk is crucial. It's not just about current exposure but how market changes impact risk profiles of your position. While static risk shows immediate exposure, dynamic risk reflects how changes like spot price movements or volatility shifts alter risk profiles. This is an important thread for risk management 🧵 2/ Factors Affecting Dynamic Risk: for the purpose of this thread we will focus on changes in the spot price, the passing of time, and shifts in implied volatility. You can find more on other Greeks here

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