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... 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.

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...

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.

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.

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. 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.

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.

0DTE flows have dominated market action on recent macro event days.

Partly responsible for the bid on last month's weak CPI, but quickly faded as following day was FOMC.

Well, tomorrow could be another CPI miss, but w/no incoming FOMC to keep 0DTE speculators in check...☟ In this chart from @MorganStanley, you can see the CPI fixings market has done a pretty good job of predicting recent prints & expects downside miss tomorrow.

If fixings market is indeed correct, CPI miss could be the igniter that fuels another rip higher powered by 0DTE flows.

0/10

Well, it seems as though the alarm may have finally gone off to wake up crypto from its slumber.

Is there enough evidence to think this move is for real, or should we be fading it?

Dig into today's Crypto Roundup to find out ⤵️ Finally, some life in BTC as the rangebound snoozefest seems to be giving way as macro markets get more convinced “bad data” = Fed Pivot.

Might be a rude awakening in March/May FOMC meetings later this year.

Don’t think ultimate bottom is in until 12k-15k this summer.

Late last year, we noted that gold positioning had room to get longer as it was lagging behind the violent up-move in silver.

Well, things are now definitely getting interesting in gold - let's do a deep dive☟ You can see in these charts from @saxobank, @TDBank_US, & @BofA_Business, ETF holdings have had two consecutive weeks of inflows as central banks have been buying gold at the fastest clip in decades.

At the same time, you have CTA's forced into chasing the bullish momentum.

@GoldmanSachs pointed out that last week saw the largest retail selling they've ever tracked.

Yet stocks have been ripping, and we could be primed for more.

Find out what's going on☟ Massive retail selling explains why AAPL & TSLA struggled so much last week.

But this was overpowered by the market's reaction to poor ISM Services print, dramatically moving rate expectations.

Aka, more Fed pivot speculation as markets are still in "bad news = good news" mode.

0/10

Crypto definitely participated in that huge pop coming off today's downside surprise in CPI.

But w/Powell speaking & tomorrow's FOMC quickly on the horizon, difficult to see a sustained break.

See where things are at following the big move with today's Crypto Roundup ⤵️ 1/

Crypto prices spent all week stuck in an incredibly tight range waiting for today’s CPI. Spot exploded 4% higher after CPI came in below expectation but remains below key resistance.

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At least nothing significant has happened in crypto since last week's Crypto Roundup 🧵⤵️ 1/

We were waiting for months for the 17500 level to break down & open up the next leg lower, FTX provided the catalyst.

Once it broke, didn't take long to get on a 15k handle.

Medium term we think there will be headwinds but there may need to be a short squeeze first.

0/10

Crypto appears to be calming down as both BTC & ETH are currently towards the bottom of their recent ranges

There's also been chatter lately about The Merge being a "sell the news" event

Find out what exactly is happening under the hood with this week's Crypto Roundup🧵⤵️ 1/

Despite the rip higher in SPX above 4200 on lower CPI, BTC failed to break 25k and continues to trade in a range.

The trend is mildly positive, but with no clear catalyst and coming Mt Gox selling pressure, I continue to favour the medium-term downside scenario.

0/10

ETH outperformance has been the theme lately, but things seem to be stalling a bit as we wait for tomorrow's CPI numbers.

Get caught up and prepared for what we could see play out going forward with this week's Crypto Roundup🧵⤵️ 1/

With risk assets holding their ground after the strong non-farms print last week & better ISM data, crypto markets have stayed firm.

Technically we are still waiting for a break above 25k to open the door to a test of 28k. Will depend on how stocks digest CPI data this week.

0/9

Finally, some action in crypto markets!

Let's dig into it with this week's Crypto Roundup🧵⤵️ 1/

The relative strength that crypto markets showed last week versus stocks was a signal that things were turning in the short term.

It appears that the fourth wave correction of the larger downtrend is still underway & may not complete until 25k for BTC in the coming weeks.

0/10

We've managed to avoid another selloff (so far), but crypto still hasn't seemed to catch a bid even when other risk assets have bounced.

What's the deal? Is crypto ever going to get interesting again?

Maybe you'll find out in this week's Crypto Roundup🧵⤵️ 1/

After posting its second-worst quarterly performance ever, BTC remains in the doldrums & struggles to catch a bid even when stocks rise.

Fallout from 3AC & Celsius continues to linger, & there's still doubt around the safety of remaining lenders, even after bailouts

1/4 Call out here to @MrBlonde_macro here on some solid macro analysis regarding typical earnings drawdowns seen in recessions.

If consistent with previous moves, he sees 2800-3000 being a possible target for SPX - checkout his substack here: stuckinthemiddle.substack.com/p/relief-befor… 2/4 But as you can see, even though pretty bearish, he was expecting the recent bounce we saw up to the 3950-4000 area before resuming the move down.

If you're in the OI community, you know this is the same camp we've been in, as it felt everyone got a bit too beared up @ once.

1/4 Myself and the Options Insight community had an awesome time last week hanging out with the @OptionOmega team while they gave us an exclusive demo of their super powerful option backtester, which you can get a little glimpse of below. 2/4 I really love this tool they've developed & wish I had more time to play around w/it, but figure in the meantime, why not crowdsource some strategies?

So I decided to hold a mini-contest to see who comes up with & backtests the best strategies for current market & a selloff.

0/10

As crypto markets have calmed down a bit, the question remains if we've experienced enough pain, or is there still more downside from here?

Take a closer look under the hood of crypto market dynamics with this week's Crypto Roundup🧵⤵️ 1/

Despite feelings across crypto that things are healing from the recent panic, still seems to be an overhang.

Crypto hasn't participated in recent bullish move seen in US stocks & PA still looks corrective.

Suggesting we see lower lows before conclusion of this bear market.

0/ Another face-ripping stock market rally, as bears get hunted, rates markets reverse some recent hawkishness and commodities correct.

Get caught up right now with this week’s Macro Roundup! 🧵⤵️ 1/ Stocks managed to avoid 11 out of 12 weeks down and technically exited bear market territory with SPX closing above 3900 up a stonking 6% on the week. Most shorted names led the way suggesting yet another bear market squeeze as quarter end approaches.

0/10

Once again, crypto has been rather eventful since we last spoke with a deep weekend sell-off.

Now we are left wondering has max pain has been felt? Are we due for a bounce? Is crypto dead???

Get a better feel for the market with this week's Crypto Roundup🧵⤵️ 1/

The commonly watched crypto fear & greed index hit rock bottom last week, often a sign that a short-term bounce is likely.

In the big picture log chart of BTC, this drawdown is still in line with historical cycles. This negative BTC sentiment is common when in a bear market.