VolSignals @VolSignals Twitter profile

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VolSignals

11 days

TGIF (almost!) Join us tomorrow for a premarket call & I'll explain live what I look at daily- ...and why as a career market maker, I think it's something you need to know🎯 Repeats & retweets welcome. These are always FREE Sign up here👉

TGIF - Come Learn (REAL) GEX Trading from a Market Maker (FREE)

Learn to read and trade the REAL GEX from a career Market Maker

www.volsignals.com

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VolSignals

@VolSignals

2 months

...stay calm. I found a treasure trove of coverage on the SPX whale's put spreads from last summer. should I drop a master thread this weekend? ..need a ton of demand for this to justify the effort. follow / like / retweet, and IF the interest is there ..it'll be epic.

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VolSignals

@VolSignals

2 months

Citi suddenly looking for 8 RATE CUTS in a row, beginning with September's meeting 👀 CPI this 7-11 will be a canary

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VolSignals

@VolSignals

30 days

per GS... "While 2008 and 2020 brought us more volatility, Monday was historic in the sense that we've never seen the VIX move >40 points in one day, not even close." My take... We still haven't seen the VIX move >40 points in one day. Not even close. What happened Monday was

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VolSignals

@VolSignals

2 months

SPX options are priced on a forward curve. The underlying SPX value for a year out option is NOT THE SAME as the underlying SPX value for a 0DTE. Right now you have around $230 between Sep24 and Sep25 - the futures settlements on the CME website give you a quick view of the

Markets & Mayhem

@Mayhem4Markets

2 months

What if rising odds of a Fed rate cut aren't actually bullish because they could happen within the context of both a slowdown in the economy and disinflation, both of which could erode revenue and earnings? Something to consider. Certainly the bond market appears to be seeing it.

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VolSignals

@VolSignals

6 months

via JPM this week: "With crowding in the Momentum factor in the 99.8%ile... such crowding episodes tend to be followed by an eventual and often sharp correction."

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VolSignals

@VolSignals

3 months

Friday we dropped into a very supportive gamma zone circa 5200 as @optionsdepth pointed out on their feed Moving from neutral gamma to dense long gamma is a very very stabilizing thing for markets during a selloff very Suddenly, dealers "WAKE UP" ...and start adding size to

VolSignals

@VolSignals

3 months

Sometimes, vol leads

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VolSignals

@VolSignals

8 months

If you believe, like I do, that this rally is overextended and at risk of selling off *soon* given the increasing tension building around rates & issuance, at ATHs... then- skew is your friend here. Vol & Skew this low is a sign that the market is not adequately hedged. 1/2

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VolSignals

@VolSignals

1 month

When a customer buys OTM calls and a dealer sells them and the market RIPS *through* them Once the dust settles, charm kicks in. As the clock ticks the day away, the delta of that in the money call keeps climbing towards 100. But dealers are short that call. (Short 100 delta)

J Lee

@JLee64683103

1 month

@VolSignals So you’re saying the calls someone bought just is going to cause markets to go up because they are now itm?

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VolSignals

@VolSignals

1 year

What matters more than what you "think" should happen? Positioning- along with mechanical and systematic flows. Bookmark this thread! Every mini case study we produce over time will be catalogued here.

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VolSignals

@VolSignals

29 days

DEALER HEDGING DYNAMICS Aug'24 5-Day OPEX Boot Camp starts tomorrow after the close You know the drill- We'll randomly comp 3 people who LIKE/FOLLOW/RETWEET this with free product & Q&A access **(this means keep your DMs open!)** What to expect: New videos daily Group chat

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VolSignals

@VolSignals

1 month

@dampedspring

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VolSignals

@VolSignals

3 months

...fwiw this is not the takeaway from the Nomura notes- @unusual_whales has it backwards🤷‍♂️ SKEW exploded in April & retreated in May BUT IS CLIMBING AGAIN ..demand for Puts over Calls reflects *increasing* levels of fear in markets "crash risk" is making a comeback... 👀

unusual_whales

@unusual_whales

3 months

Stock-market crash fears are fading, per MW. Demand for “out-of-the-money” puts relative to “at-the-money” puts on the S&P 500, a measure known as “put skew,” has diminished after rising last month, according to data from Nomura’s Charlie McElligott.

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VolSignals

@VolSignals

5 months

VolSignals - VIP Mentorship. . . 🥂 Limited to 35 spots... (21 seats available) Hard close at tomorrow's open. details and registration: 3 FREE SPOTS WILL BE GIVEN AWAY AT RANDOM to be eligible: ✓ Like this tweet ✓ Follow this account ( @VolSignals )

lpʁ

@smolprimist

5 months

@VolSignals 5050 ~ for 50% off? 😉

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VolSignals

@VolSignals

1 month

remember that chart

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VolSignals

@VolSignals

2 months

it's only fair to elucidate my views on Cem's calls don't care for drama and I know everyone is busy first my view as I spelled out on feed and in the note I send out: July 3 to July 5 I ramped up the messaging that it was time to start hedging why? few reasons 1) same

Schwab Network

@SchwabNetwork

2 months

Macro + Flows = 𝗖𝗿𝘂𝗺𝗯𝘀 🥐 @jam_croissant is back with @OJRenick to share his latest notes on volatility, options flows, trading around the election, and more:

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VolSignals

@VolSignals

1 month

remember

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VolSignals

@VolSignals

5 months

SPX dealer options inventory... What's the setup into next week...?

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VolSignals

@VolSignals

30 days

ty GS for a great weekend reminder: VIX options open interest at this point in cycle (VIXPIRY Aug 21st) is at levels not seen since "the last big one" Problem for dealers / the market? ..not enough underlying to hedge with... VIX futures liquidity is at "worst ever" levels

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VolSignals

@VolSignals

2 months

Dealer Hedging Dynamics 5-Day Boot Camp is officially complete and going forward will be run once per month... ...OPEX Week🎯 Next one starts tomorrow night LIKE and RETWEET this promo and we will draw 3 free spots Tuesday night before the launch Done, finalized, cherry on

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VolSignals

@VolSignals

1 month

5Aug = -3.0% 6Aug = +1.0% "that's it?" 7Aug = ? 👈 you are here. 8Aug = ?? 9Aug = ???

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VolSignals

@VolSignals

3 months

This- is SKEW. To see how everything's related, let's go back a step. think of GAMMA intuitively. ...cut through all the jargon, math and calculus for a second and resist the urge to worship at the altar of precision What is GAMMA? "second derivative of price with respect

Menthor Q

@MenthorQpro

3 months

GS estimates CTA flows in equities 👇

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VolSignals

@VolSignals

1 month

CTAs: did the market just dodge an $80 billion dollar bullet? h/t BNP 7/24

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VolSignals

@VolSignals

2 months

VIX call spreads can be attractive but honestly those probably work best when S&P skew is trash and dealers are swimming in downside gamma- since the VIX upside is probably overpriced in all but extreme situations- Keep it simple right now, vol is cheap- you get too creative

Goosifer (a/k/a Cotton Dog)

@GoosiferTrading

2 months

@VolSignals So what are some practical ways to hedge a portfolio? VIX call spreads or SPX far OTM put spreads at different tenors? Seek to protect x% of your portfolio using 2 sd OTM puts assuming a 3sd move? Everyone says you should hedge, but don't tell you how. (mini-rant/rhetorical Qs)

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VolSignals

@VolSignals

8 months

Tired of hearing about CTAs? If you're obsessing over SPX dealer gamma but ignoring CTA thresholds you're doing it wrong. The second tweet explains this- but before you read on- Consider: JPM's Global QDS desk estimates that CTAs account for 10% of total futures volume

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VolSignals

@VolSignals

1 month

looks to me like a test of 5200 up ahead

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VolSignals

@VolSignals

3 months

DEALER HEDGING DYNAMICS 5-Day Boot Camp starts NOW Registration CLOSES tomorrow morning at 9:30 AM ET— SHARP. 5 FREE entries will be given away. To enter, just: ✅LIKE ✅RETWEET **THIS** TWEET -for your chance. **(keep your DMs open!)** If

VolSignals

@VolSignals

3 months

5-Day Dealer Hedging Dynamics Bootcamp is opening NOW Do you believe in supply and demand? Buyers (lack of sellers) push price higher? Sellers (or lack of buyers) push it lower? Registration closes on tomorrow's OPEN 🚨 Info Here: The purpose is to

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VolSignals

@VolSignals

5 months

SPX... h/t GS→ SPX posted its worst week since Mar'23, yet the intraday moves were significantly more violent than close-close... Goldman's View: "The move lower is in the latter innings & the risk of a squeeze is growing rapidly as we approach oversold conditions & an

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VolSignals

@VolSignals

8 months

per Nomura... Long SPX dealer gamma lives just below spot, while rallies into All Time Highs... could get dicey.

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VolSignals

@VolSignals

8 months

More from 2024 Equity Volatility Outlooks... "New lows in volatility: Equity volatility is at 5-year lows, only the 17th percentile in a 20-year range. The end of Fed tightening cycles often results in periods of very low volatility. These tend to give way to a much more

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VolSignals

@VolSignals

8 months

Sell a cab, drive a cab Brutal start to '24 for this short SPX 0DTE manager ...what advantage could there be to selling spreads like this at 0.10-0.15? risking 125-1 losses.. when there are much more attractive, premium-intensive structures upon which to build your approach?

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VolSignals

@VolSignals

1 month

someone made me do this, I swear 😬

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VolSignals

@VolSignals

4 months

Tomorrow my son graduates Kindergarten🥳 The teachers gave each child a personalized award— & told stories about what makes them so special. My son pulled his award from his backpack tonight💗 ...and gave it to me.🥲 I wonder sometimes, how this world fits his heart🫠

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VolSignals

@VolSignals

1 month

the suspense is killing me let's get this over with if anything I've posted has helped you >> retweet & get me over the 10k mark already bonus points if you screenshot, q/t or post in comments the comment or tweet most helpful to you appreciate you🥂 rest up tonight 👀

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VolSignals

@VolSignals

21 days

spot up vol up is now again on the table isn't this fun

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VolSignals

@VolSignals

5 months

GS on CTAs? . . .they triggered. 👀 the key level in ST was flagged as 5135 SPX on Friday- which the index finished well through. If SPX falls ~3% from 5130 over 1 month, expect $20bn of S&P futures for sale and $42bn for sale if the index falls 7-8% from here.

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VolSignals

@VolSignals

6 months

With Powell out of the way and saying a whole lot of nothing- ...beware holding Friday options for NFP when CPI is the big game. —and critically: CPI is 3/12 👀Opex is 3/15 . . . Quarterly positions will be 2.5 - 3DTE when CPI is released. The "event vol" crush *could* have

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VolSignals

@VolSignals

5 months

sell the rips 🎯 ...now watch for CTAs, round 2 If we trigger again, expect fireworks and range expansion to the downside... Need to understand the flows taking the wheel here... -it's not small-lot flow from Twitter traders

VolSignals

@VolSignals

5 months

TL/DR from last night's note- Trader's Market.. but need to know: ✓ CTAs ✓ MM's longest strikes ✓ Charm & Vanna Flows: *Not always supportive...* ✓ Seasonality- Weakness behind us Sign Up & read FREE

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VolSignals

@VolSignals

4 months

CTA triggers aren't close.... yet. In his latest note, Nomura's McElligott called these systematic flows out for what they are- "synthetic short gamma" When we say the market is short or long gamma, we are describing an embedded feature of its behavior

VolSignals

@VolSignals

5 months

Time to care about CTAs. CTA flows are... 🎯conditional 🎯in the direction of trend 🎯 getting closer... You should know where these SPX flows cluster & have a ballpark estimate of potential size- Now's a good time to pay attention ...it's just like big neg GEX 👀

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VolSignals

@VolSignals

1 month

maybe gapping down 1% is just God's way of protecting us from buys we shouldn't have made

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VolSignals

@VolSignals

2 months

gm bulls no gamma to save this one today

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VolSignals

@VolSignals

3 months

on deck... JUNE SPX OPEX "Is this dealer position supportive?" 🤔 -wrong answers only.

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VolSignals

@VolSignals

5 months

Which way will we go after tomorrow’s NFP? Here’s a handy cheat sheet from a dealer hedging perspective: At 8:29:59— If futures are above ~5200… impulse is 👍 If futures are below 5200. . .

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VolSignals

@VolSignals

29 days

this is going to be an interesting sequence ahead- elevated vol after a vol spike nobody seems to have a handle on... combined with two key data points Tues & Wednesday... taking us into serial Aug Opex on Friday... with VIXpiry *next* week on August 21st... before Jackson

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VolSignals

@VolSignals

22 days

per GS Futures... "On Thursday's close, GS Strategists' framework projected $60bn+ of CTA demand over the coming 5 days (+$30bn in the US)." that's two tailwinds now, for the Bulls (looking ahead into next week)

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VolSignals

@VolSignals

4 months

CTAs are buyers of equities in almost every scenario over the next 1 week, per GS- but you can see clearly in the chart below that once this bidding is complete, they are back to representing a significant source of asymmetry in the market- ...a "sell skew"

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VolSignals

@VolSignals

23 days

h/t McElligott, the sell-side Rambo- You can see how much “upside” we’ve been running into on the retrace. A lot of this is near dated- and you’ve seen me talk about it or heard it in our premarket calls… but not all- Now that we’ve “left” tails behind and run into this

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VolSignals

@VolSignals

1 month

dip buyers, repent

VolSignals

@VolSignals

1 month

@tdarling1 Dip buyers rejoice

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VolSignals

@VolSignals

6 months

"For the first time since 2021, options volume now surpass shares volume in US single stocks." h/t GS

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VolSignals

@VolSignals

4 months

One of those periods where *charm* and *vanna* flows are actually supportive, buybacks returned to market, and CTAs were net buyers after briefly trimming exposures mid-late April

Jennah

@4_4timeisacharm

4 months

@assfacecapital Check w @VolSignals he called a slow grind towards 5245 based on options positioning and flows.

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VolSignals

@VolSignals

3 months

How’s day one of Short Vol Summer going?

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VolSignals

@VolSignals

25 days

GS modeling CTAs as buyers in all scenarios over the next week as we've reclaimed each horizon's thresholds and they have dry powder, having sold out of most of their US eq's exposure during the decline be aware of the mechanics, if only to be wary of the mechanics

VolSignals

@VolSignals

25 days

We've arrived... Today's the last day of trading for the SPX August AM contract. Make sure if you're in this week's Dealer Hedging Dynamics Boot Camp, that you make today's premarket call... we'll cover pinning at expiration, which is often misunderstood or misattributed- I

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VolSignals

@VolSignals

1 month

rest up tonight could be a storm tomorrow

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VolSignals

@VolSignals

2 months

did you check Fintwit today to find out if options had any hand in today's selloff? "probably something to do with 0DTE positioning, right?" so you scroll through your feed and find the gamma guys- let's see what they're saying hmm...okay. any other guys out there seem to

VolSignals

@VolSignals

2 months

..you get it yet? it does matter it's not rocket science (well..) If it's still Greek to you.. Friday morning before open I'll host a free voice chat to explain it all and answer Qs 🥂 >> Retweet & Sign-up << my read on yesterday is below⏩

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VolSignals

@VolSignals

9 months

JHEQX / JPM Hedged Equity SPX Quarterly Put Spread Collar... +39k MarQ'24 3800/4510 Put Spread ($33.73) -39k MarQ'24 5015 Calls ($33.99) Fund buys 15.7k of the DecQ (0DTE) 4515 Calls for $256.74 Total Trade $7.5B delta for sale & ~$5.5M vega for sale

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VolSignals

@VolSignals

3 months

I think @jam_croissant may be right on a different point fairly soon Recall he popularized the idea that "what worked last time, won't work this time"... so you tend to see flip/flop alternating behavior in markets where derivatives positioning is relevant During the last

VolSignals

@VolSignals

3 months

...fwiw this is not the takeaway from the Nomura notes- @unusual_whales has it backwards🤷‍♂️ SKEW exploded in April & retreated in May BUT IS CLIMBING AGAIN ..demand for Puts over Calls reflects *increasing* levels of fear in markets "crash risk" is making a comeback... 👀

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VolSignals

@VolSignals

9 months

JEPY The Defiance ETF that sells SPX 0DTE at any IV, daily 👀 - they're going to grow. - you're going to hear their name thrown around with words like "Volmageddon". — ignore. SPX cratered through their naked short Puts yesterday ...did they survive? -130bps one. point.

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VolSignals

@VolSignals

14 days

market found support right where the data suggests it should have, which is constructive but not sure what to make of this chart pattern today

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VolSignals

@VolSignals

2 months

..you get it yet? it does matter it's not rocket science (well..) If it's still Greek to you.. Friday morning before open I'll host a free voice chat to explain it all and answer Qs 🥂 >> Retweet & Sign-up << my read on yesterday is below⏩

OptionsDepth

@OptionsDepth

2 months

$SPX The systematic Iron Condor seller got run over yesterday. 🚨He seems to have doubled down in magnitudes never seen before 🚨 About 47k contracts expiring today 🤯 See it by yourself... Yesterday: Today: Will he will this time? Comment below ⬇️

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VolSignals

@VolSignals

6 months

Goldman flags big moves ahead.. "Our model suggests a 25% probability of +5% move in SPX over next 1m (options price 6% chance) or 24% chance of -5% move (options pricing 10% chance)" Goldman's GS EQMOVE has been🎯 for a while Macro & flows suggest volatility coming

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VolSignals

@VolSignals

1 month

per GS... drop in gamma / pickup in vol has coincided with a drop in liquidity too 5d avg of top of book depth in e-minis has dropped to 9.4mm helps to know the real gamma profile when long gamma, dealers effectively provide "2-way markets" in ES minis (hedge asset)

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VolSignals

@VolSignals

19 days

VIX settled... and we are "unclenching" higher... serious spot up/ vol up when it's not just FSV but actually VIX up SPX up we are nearing the end of my "most diabolical path" everything has knocked in, to some degree- 16 was my VIX level. Basing around 14-17 14 was strong

VolSignals

@VolSignals

19 days

Looks like a less *sticky* dealer gamma backdrop today "Room to run," . . .but how much? Premarket call in ~50 minutes. We'll talk about VIX Expiration, as well as the large prints that went up yesterday in Oct and Nov downside SPX...

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VolSignals

@VolSignals

19 days

so if they tax unrealized gains does that mean you get paid back if you un-unrealize those "gains"?

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VolSignals

@VolSignals

2 months

You should definitely be taking advantage of the Fourth of July “options clearance sale” Own 60-90 dte vol here hedged… -and between seasonality and near-certain electile-dysfunction, the odds are on your side. Mid-July usually marks the seasonal nadir for index vol

Menthor Q

@MenthorQpro

2 months

GS: Dealers are long $5.5bn of SPX gamma which increases to $15bn on just a 1% move higher." Note gamma fades if we go even higher. The biggest "pain" for dealers is to kick this up a percent and hold it there for the shortened holidays week. Paying out massive theta checks and

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VolSignals

@VolSignals

2 years

...per Mike Wilson @ Morgan Stanley: "Bear 🐻 markets are *mostly* about negative earnings trends -> ...depth & length of bear markets depends on trend in forward earnings -> Has EPS troughed...?"

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VolSignals

@VolSignals

28 days

okay, last meme for a while, I promise

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VolSignals

@VolSignals

22 days

like this if you think we have smaller ranges than last week retweet it if you think we have bigger ranges articulate your rationale in the comments I will comb through followers tonight to block those who don't obey just kidding. probably

VolSignals

@VolSignals

23 days

"hope I'm wrong..."

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VolSignals

@VolSignals

2 months

CME website is full of hidden gems The Fed Watch tool is one of them. Get to know it!

VolSignals

@VolSignals

2 months

SPX options are priced on a forward curve. The underlying SPX value for a year out option is NOT THE SAME as the underlying SPX value for a 0DTE. Right now you have around $230 between Sep24 and Sep25 - the futures settlements on the CME website give you a quick view of the

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VolSignals

@VolSignals

6 days

cluster of support kicks in just south of 5550 in the 0DTE/ intraday positioning reject the urge to consider today & friday a wash We will soon be losing the passive buying of corporates (~week of 9/16) and moves like this (assuming today's range is not recovered for a tight

VolSignals

@VolSignals

6 days

okay, sideways/tailwind case seems off the table now markets mean business next "supportive" level seems to be around 5550 from the GEX perspective ...but again, it looks like VOL is leading. What positioning should you watch? VIX 22 / 30 CS (customer long/dealer short) Oct

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VolSignals

@VolSignals

8 months

per GS— Feb is a very tricky month for risk assets, as cash stops making its way into the equity market- especially towards end of month Feb is the 2nd worst month for the S&P since 1928 (Sep = worst) The 2nd half of Feb is the worst 2 wk period of the year for the S&P 👀

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VolSignals

@VolSignals

24 days

...to be clear, "Water down a hill" is just my way of saying "path of least resistance" This, plus the opposite (short Put), is largely implicated in the passive dealer hedging flows which have contributed to this rebound in record time. know the flows know the positions

VolSignals

@VolSignals

24 days

@WifeyAlpha . . .since 8/9, index has followed its "water down a hill" path

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VolSignals

@VolSignals

2 months

well, this is awkward

VolSignals

@VolSignals

2 months

..you get it yet? it does matter it's not rocket science (well..) If it's still Greek to you.. Friday morning before open I'll host a free voice chat to explain it all and answer Qs 🥂 >> Retweet & Sign-up << my read on yesterday is below⏩

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VolSignals

@VolSignals

4 months

Quarterly expiries do see more inventory build as a lot of traditional vanilla hedging structures track end-of-quarter settlements (..the JPM Collar, for instance) . . .but there's another 'less sexy' reason the numbers dwarf serials by comparison Most of the manual trades-

VolSignals

@VolSignals

4 months

"Options expiry tomorrow with $2.5 trillion in notional set to expire. This is slightly higher than the average May expiry, but well below some of the recent quarterly expiries we have seen."

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VolSignals

@VolSignals

4 months

not sure if you can tell... but dealers are long boatloads of gamma in the SPX right now. This trade can be self-fulfilling— ...as the hedging of this gamma keeps the index contained. Let's look at some estimates- 1/n

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VolSignals

@VolSignals

2 months

Whale is taking profit 🐋 Move 🎯 cash out 🎯 Let’s see what happens to 1M skews

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VolSignals

@VolSignals

7 months

Alright. I know it's hard to even think about buying short-term puts at tomorrow's close, What kind of idiot would fade this strength

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VolSignals

@VolSignals

1 month

Remember, FOMC weeks don't make for "trader's markets" especially not the Monday & Tuesday prior to the "release" Thursday seems to rob Monday and Tuesday of their volatility.

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VolSignals

@VolSignals

2 months

this is insane, sad... an absolutely awful moment the most awful thing about it? it's that 'shocking' isn't one of the first words to come to mind if there was ever a time to pray for this country, this is it if we can't draw the line here and say 'hold up- too far', we're in

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VolSignals

@VolSignals

2 months

💥...a lookback at last Summer's flows 🐳👀 [Bookmark this to catch the updates] ...we first began profiling the Whale's trades last year, the week after July OPEX💥

VolSignals

@VolSignals

2 months

...stay calm. I found a treasure trove of coverage on the SPX whale's put spreads from last summer. should I drop a master thread this weekend? ..need a ton of demand for this to justify the effort. follow / like / retweet, and IF the interest is there ..it'll be epic.

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VolSignals

@VolSignals

10 days

speaking of JPM Here's your collar... Nov29th 4460 / 5300 Put Spread vs Nov29th 5885 Call "EVX 4460 5300 5885 PS Collar" Fund buys put spread, sells call... roughly a -42d structure approximately flat premium ($0.03 debit?)

VolSignals

@VolSignals

10 days

Today, the Aug 30th 5565 Calls will expire- as JHQTX (JHEQX's baby brother) opens a new hedge in SPXW Nov 29th believe it or not, these two images say the same thing

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VolSignals

@VolSignals

2 months

Risk Doctor 🍻

jp*JellyR🍥ll

@jp_JellyRoll

2 months

@VolSignals I think Natenberg, MacMillan, Bennett are great resources but for me Charles Cottle, another former MM, was the game changer for a deeper understanding of the game 👇

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VolSignals

@VolSignals

11 days

Hard truth: today was bullish recall...

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VolSignals

@VolSignals

2 months

Is the summer of George over?

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VolSignals

@VolSignals

8 months

Dealer positioning in SPX is worsening as we head into Jan OPEX- and dealer positioning in VIX Calls is notably strained (1%-ile, per Nomura's McElligott = *very* short) Supportive positioning is evaporating / replaced with increasingly negative gamma. . . 4750 = 👀

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VolSignals

@VolSignals

8 months

Remember the "gamma unclench"? Now, look 👀 Just a few days later When you hear McElligott say that "time is not a bear's friend" or @jam_croissant talk about how the window is closing- that sharp vertical inflection right after SPX op-ex is exactly what should come to mind

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VolSignals

@VolSignals

3 months

...no sign of hedging into tomorrow's FOMC ¯\_(ツ)_/¯ Imagine how low the "panic index" would be without the SPX Whale long all those put spreads... 👀

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VolSignals

@VolSignals

1 month

Sunday night data dump. ...time for no context derivatives memesplaining. new meme every 5 minutes. will go until the folders are dry 👀 retweet the good ones disclaimer: no offense

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VolSignals

@VolSignals

1 month

VIP Mentorship >> Registration ends tonight Follow, like & retweet... 2 random free entries drawn at 9:00 PM ET think: "GEX plus everything else about options" How do volatility markets work, from the lens of a practitioner? Flows and positions you need to be aware of in the

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VolSignals

@VolSignals

1 month

something notable about this time around- very little evidence of customer sold options in front of FOMC tomorrow often, you see dealers massively long gamma, partially owing to customers selling in FRONT of FOMC to buy BEHIND not this time?

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VolSignals

@VolSignals

2 months

are we for real? I don't seek argument- I OWNED the fact that I misunderstood the George meme. I then USED the George meme for dispersion only. and now am just asking if that's still in play (cuz it seems like an important Q) (because I never ran a dispersion book)

VolSignals

@VolSignals

2 months

@willemijn_arjen @jam_croissant I don't even actually care if right or wrong I just want to know NOW if dispersion is still a force for grind up or if that's done why is this so hard does everything have to be a fucking fight

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VolSignals

@VolSignals

4 months

Look at the setup in the SPX 🤔 The first thought you should have when you see a graph like this? . . . "Call Wall" Now- this one is a little more interesting since we have a concentration of customer-short options around 5245... —but a quick shift into negative gamma

OptionsDepth

@OptionsDepth

4 months

$SPX 🚨The Latest Market Makers' Gamma Exposure Heatmap is LIVE! ✅Here is a quick breakdown of today's environment: 0:00 Gamma heatmap overview 2:45 3D gamma surface 3:55 0DTE customer positioning Make sure to share and comment if you enjoy this content 🙌

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VolSignals

@VolSignals

5 months

...kind of a wild day to have VIX hold 18-19 level for the whole day even as the SPX hovers around unchanged- I'd expect vol to come in pretty hard into tomorrow's open but it's an opportunity in my view to pick up 30-60dte downside hedges (and maybe some < 14dte upside lottos)

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VolSignals

@VolSignals

3 months

I’m pretty sure someone could take $100 into $19M the next 21 days if my path is right here What a unique market setup we have for June

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VolSignals

@VolSignals

5 months

Time to care about CTAs. CTA flows are... 🎯conditional 🎯in the direction of trend 🎯 getting closer... You should know where these SPX flows cluster & have a ballpark estimate of potential size- Now's a good time to pay attention ...it's just like big neg GEX 👀

VolSignals

@VolSignals

5 months

per SocGen... CTA leverage is estimated to be near all-time highs... ...remember- conditional CTA flows are just like negative dealer gamma.

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VolSignals

@VolSignals

4 months

...strange thing about Powell's commentary. He keeps saying "policy is restrictive" Despite financial conditions- as measured by the Fed's own National Financial Conditions Index (NFCI)- not only "looser than average"... ...but easing since March of '23 🤔

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VolSignals

@VolSignals

5 months

Remember- positions are supportive up here through Tuesday, as CHARM goes. But the support fades away if we selloff and if VOL spikes. We’d see vanna influence probably inflect at the middle strike of JPM’s collar, and below it, not as much spot down vol up behavior Good luck

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VolSignals

@VolSignals

8 months

Per GS... "Gamma, this is new. S&P 500 index gamma is now long only ~740M, this is the smallest long position since November 1st. Gamma peaked at nearly $10B long at the end of the year. This was one of the largest two-day decline in gamma in our data set. This matters. The

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VolSignals

@VolSignals

8 days

tailwinds... h/t BofA "On Tuesday 3-Sep-2024 we see small S&P 500 buying from equity vol control strategies and CTAs" With everyone *waiting* for Friday's data, the combination of dealer long Gamma + systematic buying may make for an overshoot of current SPX highs 🤷‍♂️

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VolSignals

@VolSignals

5 months

Remember- don’t be a permabear. Go touch (sea)grass and hug your kids 🍻

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VolSignals

@VolSignals

1 month

CTAs bound to trigger MT sell thresholds tomorrow unless this reverses Know your domain Not every vol pop is worth selling Sorry to all who’ve been fucked by Seinfeld memes

VolSignals

@VolSignals

1 month

per GS... drop in gamma / pickup in vol has coincided with a drop in liquidity too 5d avg of top of book depth in e-minis has dropped to 9.4mm helps to know the real gamma profile when long gamma, dealers effectively provide "2-way markets" in ES minis (hedge asset)

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VolSignals

@VolSignals

7 months

we made it. All the noise, below... my favorite is the fifth from the top 👍

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