The Wizard Of Ops @WizOfOps Twitter profile

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The Wizard Of Ops

9 months

How important are option dealer hedging flows to market returns? How much impact does #0DTE have? How accurate is #Volland ? To answer all of these questions, we wrote a white paper with Volland data. This paper is now available: There is a lot of

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The Wizard Of Ops

@WizOfOps

3 years

The $SPX/ $VIX relationship This is a thread about one of the market correlations that has been consistent over the past decade+, although I will be focusing on 2018-current. The SPX/VIX relationship everyone *knows* exists, but only assumes the correlation and its meaning. 1/13

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The Wizard Of Ops

@WizOfOps

3 years

Once again, $VIX has deviated from the typical $VIX/ $SPX regression by over 2 points. This indicates a recovery in $SPX by the end of the week of today's drop. This typically happens when outside forces from MMs induce a drop. Monday it was Evergrande, today is yields.

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The Wizard Of Ops

@WizOfOps

2 years

I know we just saw a 30 point drop over the past 30 minutes, and it looks really bad, and volex is right around the corner.... My bold call is we close green. 0dte option flows arguing strongly for a rally here. Wouldbe shocked if it doesn't happen. Not investment advice.

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The Wizard Of Ops

@WizOfOps

3 years

For all my new followers, I'd like to more formally introduce myself. My name is Jason DeLorenzo. I'm a Catholic, an economist, and a fund manager for my own RIA (Ad Deum Funds / Wizard of Ops). I specialize in effective use of options to meet diverse investment objectives. 1/5

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The Wizard Of Ops

@WizOfOps

11 months

Good Morning! I mentioned yesterday (before I lamented the long-term direction of the economy) that there was some event vol for CPI that could support a rally. The cool reading projected markets up further, with a rapid 2% gain on the day. The cool reading also crushed the

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The Wizard Of Ops

@WizOfOps

2 years

Good Afternoon! I'm not really back, but wanted everyone to know I'm out of the hospital, and am in the next phase of my recovery at a local hotel. Had a couple of close calls there, but overall getting much better.

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The Wizard Of Ops

@WizOfOps

3 years

Tomorrow I'm going to talk about what is happening in markets, it is very interesting and kind of simple to see, but I will point it out. Tomorrow's morning update, here we come.

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The Wizard Of Ops

@WizOfOps

2 months

Just as a selloff update from #volland , panic puts are beginning to be bought. Delta-Adjusted Dealer Spreads are at 23 (normal is 10-15)... this means there is a severe liquidity issue today, as dealers are making higher spreads. We are currently triggering the "overvixing"

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The Wizard Of Ops

@WizOfOps

3 years

Good Morning! Sorry for the cliffhanger yesterday, but I wanted to use my stored data to confirm what I have been seeing. Let's talk about what we know. First, we are in a gamma negative regime, creating wildly volatile moves from dealers as they hedge short ITM options.

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The Wizard Of Ops

@WizOfOps

3 years

Good Morning! Today is my oldest son's 9th birthday. He likes birthday messages from around the world, so wish him a happy birthday and tell him where you are from! I'll show them to him after school.

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The Wizard Of Ops

@WizOfOps

1 year

One year ago, we launched Volland! Our innovative options dealer positioning dashboard offers a comprehensive picture of options MM hedging requirements through visualizations and summary pages of the option greeks. 🎯 With an astounding 95% accuracy rate compared to CBOE

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The Wizard Of Ops

@WizOfOps

1 year

Good Morning! Over the past week, and particularly upon a drop in $SPX past 4300, customers have loaded up on puts once again. Aggregate vanna has increased to $18B, with passage past 4300 designed to increase that by another $3B+ dynamically. If we experience a vol crunch of

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The Wizard Of Ops

@WizOfOps

3 years

Good Morning! Before I get into my market analysis, I have a few confessions to make. The first is that my tools are not nearly as sophisticated as @jam_croissant , @Ksidiii , @bennpeifert , @SqueezeMetrics , @spotgamma or any of these other hedge fund gamma watchers.

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The Wizard Of Ops

@WizOfOps

3 years

Also, please let me know what you think of these updates. If they have become a part of your morning, share it! It was given to you freely, share it freely. This way I can get more followers to help with fantasy baseball decisions. Maybe Bill James trades options.

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The Wizard Of Ops

@WizOfOps

11 months

Good Morning! A fairly flat day yesterday as 4500 is a strongly sold call strike for $SPX that could be seen as a pin, but right now any significant IV movement can jar the markets from any pin. IV is currently sitting at 14 with HV sitting at 16 (measured daily on a 1-month

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The Wizard Of Ops

@WizOfOps

9 months

Too many people are asking me why I think we won't achieve soft landing. The road looks good now, except there are a few things that would hurt the thesis. #recession First, The Bank of Japan has been accommodative this whole time. The result is the Yen is strongly the most

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The Wizard Of Ops

@WizOfOps

3 years

Remember that little bit of vanna? CPI print completely burned it off. Bold statement of the day... better than 50% conviction that we see red before the end of the day.

The Wizard Of Ops

@WizOfOps

3 years

Good Morning! Options for today and Friday are still a little bit expensive and we are just about at the gamma flip point. Being MM gamma positive and not having much vanna to prop up options have resulted in news "catalysts" to have stronger effects.

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The Wizard Of Ops

@WizOfOps

8 months

Good Morning! A flat day that was very tense as 0DTE flows were targeting $SPX 5020 then 5005, then settled for a high of 5000.40 before a slight retreat all in the last 5 minutes. There was a seller at that 5000 level all day, but couldn't stop the inevitable. Yesterday I

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The Wizard Of Ops

@WizOfOps

2 years

Bold call... before 20May opex we drop below 4100 again.

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The Wizard Of Ops

@WizOfOps

3 years

Hey everyone, today we are seeing overvixing, but only .81, which is not atypical for post-holiday overvixing. In other words, we don't yet have support from the options market on this drop. I'm not buying this dip.

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The Wizard Of Ops

@WizOfOps

3 years

In the end, the action is to monitor the deviations VIX has from its SPX correlation. Develop a thesis around the situation it is tracking and act accordingly. It is very likely that we will see mean reversion in both VIX and SPX. 13/13

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The Wizard Of Ops

@WizOfOps

8 months

Good Morning! The result of Tuesday's overvixed fall was Wednesday's vol crush bounceback rally. Markets undervixed significantly, particularly in this week's expirations, causing yesterday's rally because of the dealer's positive vanna position. Dealers are still very strongly

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The Wizard Of Ops

@WizOfOps

9 months

Good Morning! Happy New Year, I hope everyone's holidays were restful. Markets started to show some tremors over the past couple of days, and today's premarket seems to be similar. Rehedging from the year-end has brought dealer vega back negative, which means spot-vol

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The Wizard Of Ops

@WizOfOps

2 years

Good morning! This is Jason's wife, Jill. I was asked to share some updates after his SDH-B deficient GIST cancer surgery. (I'm not qualified to answer market questions, though I can help with administrative items!) #WizInRecovery Updates are as follows:

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The Wizard Of Ops

@WizOfOps

2 years

I have to say... cleansing sucks and surgery is painful and scary. Liquid diets leave me hungry, and hospitals require you to check your dignity at the door. I never did radiation nor injected chemo, but SDH-B deficient GIST is still cancer, and it still sucks. Take care all!

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The Wizard Of Ops

@WizOfOps

13 days

Good Morning! A flat day with some interesting #0DTE undertones. $SPX premarket looks like we will hit 5650, and lock up another overvix success. It has now officially hit the '85 Bears level, going 15-1. This happened exactly 2 weeks after the signal, which was a timeframe I

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The Wizard Of Ops

@WizOfOps

2 years

Good Morning! A wild 0DTE day with swift and decisive activity yesterday, but again a modest loss. The past few weeks have been reminiscent of all of 2022. Rising rates taking down equities. Yesterday I meandered on Twitter a little more and noticed some prayers to vanna.

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The Wizard Of Ops

@WizOfOps

9 months

Good Morning! A strong advance yesterday was followed up by a premarket advance today. I know my trolls are chomping at the bit to declare me wrong the second we hit 4801 $SPX. But as I have said, even if we peek over for a small time as we have once before earlier isn't

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The Wizard Of Ops

@WizOfOps

2 years

Good Morning! Friday was a very strange day. There was premarket +1% followed by a deckine to -2% to a recovery to even. What? I was looking for a pop from released hedges, that was likely the open, and it was swiftly reversed. This weekend while writing the newsletter...

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The Wizard Of Ops

@WizOfOps

3 years

In today's drop, once again we overvix. The market has clearly drawn a line in the sand declaring these levels as the hedging levels instead of selling. Margin calls might be abating, and the right tail is still underpriced relative to the left tail. FOMC vol crush could be epic.

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The Wizard Of Ops

@WizOfOps

11 months

Good Morning! A bit of a relief rally yesterday, but this rally was very undervixed which does not bode well for an extension of that rally. The slight good news for bulls is that $SPX vanna has modestly increased to $13B, but hedging is still down this month. The bulls want to

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The Wizard Of Ops

@WizOfOps

1 year

Good Morning! Strong downside yesterday accompanied by a spike in IV. Markets dropped below their August lows and approached the important 4300 vanna magnet. I am reading a few people talk about the #JHEQX 4210 strike as a magnet, and unfortunately, that's not how it works. The

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The Wizard Of Ops

@WizOfOps

9 months

Good Morning! Another volatile day, showing the near-term "acute drops" that are brought about by a high dealer vega environment. Between EoY hedging and these market drops, dealer vega has normalized to the 1Y average level. That means this wouldn't be a bad place for the

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The Wizard Of Ops

@WizOfOps

9 months

Good Morning! A hot inflation print resulted in a volatile yet modest drop as macro investors battled with decaying event vol. One thing I noticed about this print is that shelter was a large part of it. Rent methodology is classically lagging since it is based on leases signed

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The Wizard Of Ops

@WizOfOps

9 months

Good Morning! A midday shocking downturn that seemed to start to reverse a very long rally. So, there's a lot of speculation on what happened yesterday. Below is a chart of the daily aggregate vega from the dealer's perspective. Notice the average is -900B, including the spat of

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The Wizard Of Ops

@WizOfOps

2 years

Good Morning! Yesterday charm from the #JHEQX short call and the new April hedge at 3900. There is still a lot of negative vanna above 4065 at 4100, 4200, amd 4300 $SPX, so I think it will be difficult for markets to advance much past 4065. Looking at pre-market...

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The Wizard Of Ops

@WizOfOps

2 years

Doesn't seem so bold now. Sheesh.

The Wizard Of Ops

@WizOfOps

2 years

Bold call... before 20May opex we drop below 4100 again.

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The Wizard Of Ops

@WizOfOps

3 years

Vol tanking alongside $SPX, that points to unwind, and also points to more to come. I think we open red tomorrow.

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The Wizard Of Ops

@WizOfOps

11 months

Good Morning! Yesterday was another muted day but with a measure of whipsaw. 0DTE was pointing strongly at 4400 as a target, but the market failed to pass $SPX 4385 (or 4400 $ES) 4 times. Today is a JPow speech, but the market is expecting nothing from it. A straddle price is

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The Wizard Of Ops

@WizOfOps

2 years

I am getting some trolling replies too. That makes me feel like I'm important and people are actially reading what I'm writing! Thank you!

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The Wizard Of Ops

@WizOfOps

10 months

Good Morning! Yesterday was a modest vanna and 0DTE charm rise landing super close to the target in the last minute. While I do have comments about Trump and FDX, I will instead announce the release of our first whitepaper. This gives the correlations between Volland greek data

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The Wizard Of Ops

@WizOfOps

8 months

Good Morning! A hot CPI number was a catalyst for a strong downside move in equities. At roughly 2pm, there was an IV explosion that appears to create a buy signal from the over/undervixed metric, but a late day rally in stocks accompanied by a vol crunch made only a slightly

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The Wizard Of Ops

@WizOfOps

3 years

Strongly undervixed again today, especially considering it is Monday. Again, if/when we dip below 4450 SPX, we are going to collapse fast. That collapse will likely be overvixed, then you can buy the dip, but not before new lows. May not take the direct route there either.

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The Wizard Of Ops

@WizOfOps

1 year

When I do these updates, they are a snapshot in time. A member of our discord (doctorzaius, I don't know his Twitter handle) does these every day with the 0DTE updates I give throughout the day. I warned you I only give one update on here. In 0DTE, things evolve fast.

The Wizard Of Ops

@WizOfOps

1 year

Put and call buying will cause a whipsaw action. A cascading bear would happen under 4390 and cascading bull above 4425. 4415 will be slight resistance, but can easily be broken.

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The Wizard Of Ops

@WizOfOps

2 years

Good Morning! Today is opex, and after a rough data day yesterday followed by hawkish Fedspeak, markets tumbled. That tumble was assisted by 0DTE options, which have been getting a lot of publicity recently. I have a script that uses some Volland logic on 0DTE options only...

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The Wizard Of Ops

@WizOfOps

8 months

Good Morning! Markets finally violently peeked through 4800 to reach all-time highs. Especially for a Friday, IV was not dropping even close to what it should, overvixing by .5 $VIX points, which is what is needed if you want to rise in a positive vega environment for dealers.

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The Wizard Of Ops

@WizOfOps

5 months

Good Morning! A relatively flat day with a bullish 0DTE profile that came very close to a 5205 target, then backed off. Volume and spreads got even worse yesterday, with option volumes barely surpassing 40m, now 12% less than the average. When I express levels that are hard to

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The Wizard Of Ops

@WizOfOps

2 years

I have received a bunch of questions about how I knew 3 weeks ago to be bullish for February from #volland . Ever since the CPI report in January, the options landscape for dealers has been the same as the big bull run... that is, puts bought and calls sold by customers.

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The Wizard Of Ops

@WizOfOps

2 years

May option positioning continued: Vanna🧵 Vanna is the movement of delta based on implied volatility. To help ascertain direction based on this, an understanding of IV and its implications are needed. First, think about IV as the balanced price of supply and demand of options.

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The Wizard Of Ops

@WizOfOps

11 months

Good Morning! $SPX dropped again yesterday but was normally vixed, signaling that this was selling, not hedging. The bulls need to see an overvixed drop to have hope, especially with vanna at very low levels. A swelling of vanna associated with higher $VIX would indicate hedging

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The Wizard Of Ops

@WizOfOps

3 years

Good Morning! Yesterday was insanity! Before looking forward, let's look back. $SPX briefly broke into correction territory before a roaring rally out to close green on the day. From a vol perspective we overvixed, something I wasn't expecting due to the already high level of IV.

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The Wizard Of Ops

@WizOfOps

2 months

Good Morning! And that phrase is probably the only time you will be greeted in such a way if you are a trader. Friday was a steep drop in markets but were contained within the range of 5300-5700, with 5300 being tested and holding. Additionally, Friday was a record high in option

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The Wizard Of Ops

@WizOfOps

2 years

My sister is getting married today so I dont have a ton of time to watch markets, but it would appear we are decently overvixed. This is a good start to a bottom.

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The Wizard Of Ops

@WizOfOps

9 months

Good Morning! A volatile downturn yesterday that closed with a bid. Vanna is still very positive, so the skew is still to the upside. Yesterday's action helped dealer vega draw closer to the average for the past year, suggesting that spot-vol correlation will be mostly normal.

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The Wizard Of Ops

@WizOfOps

6 months

Good Morning! What started as a JPow-fueled premarket rally gave way to downside pressure. This was once again in a bullish 0DTE paradigm. However what wasn't expected was again we saw low volumes, falling below 40m options traded again. It fell 19% short of the average options

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The Wizard Of Ops

@WizOfOps

3 years

Good Morning! Overnight headlines seem to have shot markets up. Truth behind those headlines (Putin pulled only 8% of his troops back and advanced the rest) shows this is likely a different type of move. Big moves followed by a halt is a pin, showing a likely hedge or unwind.

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The Wizard Of Ops

@WizOfOps

2 years

While dealer hedging suggests a rally into week end, after looking at #volland , that hedging will only be $7B for opex, which should get completely overrun by the $95B in QT about to happen. Therefore, I would expect a sharp selloff late this week into next week.

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The Wizard Of Ops

@WizOfOps

11 days

Good Morning! A jarring FOMC rate cut yesterday caused some volatility, but in the end, the market never went outside its straddle bounds and closed modestly down. The FOMC's SEP showed an aggressive initial cutting cycle that signals concern for the economy. JPow tried his

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The Wizard Of Ops

@WizOfOps

3 years

BOOOOOOOM! These aren't guesses, guys!

The Wizard Of Ops

@WizOfOps

3 years

I expect the market to have some support. I have made 2 "bold calls" the past two days, and here's one to close the week. Today we will close green. Premarket $SPX is at -23pts as I write this, so it is somewhat bold. There is danger if we gamma roll below $SPX 4600...

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The Wizard Of Ops

@WizOfOps

8 months

Good Morning! There is a lot of air between 4800 and 4900 from a vanna perspective, so $SPX price swung up to 4900 a few times before ultimately rejecting after a poor 5Y UST auction. 4900 is a strong resistance, but not as strong as 4800. When 4800 gets broken and flies through

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The Wizard Of Ops

@WizOfOps

3 years

Good Morning! Yesterday was quite the thrill ride, as equities dropped starting from the European session and continued through the Asian session (early overnight). Now starting once again with the European session, they staged a rally. Drips like that are usually overvixed...

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The Wizard Of Ops

@WizOfOps

10 months

Good Morning! Another mostly flat day that crushed HV, and now GARCH forecasts are showing IV is fairly priced at current levels. I have been saying for the past few weeks that to see another leg up, the price needs to stabilize in this region for a week or so then see another IV

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The Wizard Of Ops

@WizOfOps

1 year

Good Morning! The NFP report showed shaky job gains, which seemed to be focused on healthcare. These survey reports have a heavy weighting system based on seasonality and location, so if there is some hiring in a more remote location in the US (perhaps due to more teleworking?),

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The Wizard Of Ops

@WizOfOps

3 years

1/Long Gamma Verticals vs. Naked Options a 🧵 TLDR: Verticals have a better risk profile, and realizes gains quicker than options. I get asked this often since I use long gamma verticals instead of naked options. I will demonstrate pragmatically instead of mathy. Please RT.

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The Wizard Of Ops

@WizOfOps

8 months

Good Morning! A mini-rally that created the first close above 5000 $SPX. More importantly, the 5015 #JHEQX level was also breached. Equity markets are in a state of euphoria. While dealers are stretched heavily as I have expressed before, macro commentators are also noticing

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The Wizard Of Ops

@WizOfOps

6 months

Good Morning! A 0DTE fueled rally on the back of broadening breadth. Despite that, the breadth has been very narrow recently as we continue to trade in a range. Today is FOMC day, and while today's policy changes are widely expected, it is the path of future changes that will

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The Wizard Of Ops

@WizOfOps

2 years

Good Morning! Yesterday the 0DTE dragged the market up to my 4005 target, then proceeded to sell off. I have been saying that there will be a liquidity suck on Wed. with the start of QT, and I think these quick selloffs are savvy investors anticipating it.

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The Wizard Of Ops

@WizOfOps

3 years

Good Morning! As the market rallied yesterday afternoon, I did some serious looks at the data to see if my thesis still holds water. To remind you, my thesis is this is an undervixed rally that will result in a subsequent drop. Yesterday was another very undervixed rally.

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The Wizard Of Ops

@WizOfOps

3 years

For the 4th straight day we have seen some strong undervixing (>1). A lot of this is skew, where that has returned closer to normal. However, it is taking away a lot of the support the market has. IMO it isn't a matter of if we will drop, it is a matter of when and how far.

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The Wizard Of Ops

@WizOfOps

11 months

Good Morning! Another Friday selloff, but this time it was undervixed even after accounting for Friday's $VIX effect. This is a sign that these red days are caused by customers punting their positions, not by hedging. To follow up on that comment, the all-important $SPX 4300

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The Wizard Of Ops

@WizOfOps

3 years

I frequently get asked what over/undervixed means since most of you weren't following when I defined them. My supportive and smart wife put them in a blog post for me. Here they are:

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The Wizard Of Ops

@WizOfOps

7 months

Good Morning! Equities initially had a 0DTE vanna rally on Friday that reversed quickly in the morning to have a negative day. I mentioned NFP had quite a bit of event vol, and that is reflected in today's #volland since a lot of the long customer puts are gone from the all exp.

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The Wizard Of Ops

@WizOfOps

3 years

Good Morning! Today's morning report will be late... however, I will give you a tease. 🚨My most bold prediction yet🚨 I am 4-4 on truly bold predictions. I am not 1 of those guys making outlandish predictions, going 1-50 and living off the 1. Prediction and reasons to follow.

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The Wizard Of Ops

@WizOfOps

5 months

Good Morning! A very strong bullish 0DTE paradigm gave way to a decent-sized rally. Option and futures volumes were quite low, with option volumes 11% below recent averages and dealer executions still showing low liquidity. However, the continuation yesterday seemed to break out

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The Wizard Of Ops

@WizOfOps

3 years

We dropped close to 4500. If we do, the last gasp is 4450... if we go below there we go down really fast as vanna starts working against us. I still don't think it will happen, but if it does, I would expect strong overvixing... there is no overvixing still. Not buying the dip.

The Wizard Of Ops

@WizOfOps

3 years

First, it would mean the early Dec. lows would remain intact. They bottomed at 4500, so that is true thus far. This would be because that would be the area the Jan option vanna won the day, and Jan option vanna would have an extremely strong influence in that area.

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The Wizard Of Ops

@WizOfOps

8 months

Good Morning! An advance fueled by a rumor of a bailout to $NYCB got $SPX so very close to 5K, but ultimately fell short. SPX 5000 has a solid call imbalance alongside the #JHEQX strike of 5015, but still is not as large as 4800 still is. 4800 is like a stick in a slingshot. I

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The Wizard Of Ops

@WizOfOps

2 years

There is NO SUCH THING as a gamma flip point in options! THIS. IS. NOT. TRUE. Please stop. I'm sorry to burst your bubble, but all the various "flip to gamma negative" peddlers have BAD ASSUMPTIONS. R/T, I'm ready to fight this.

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The Wizard Of Ops

@WizOfOps

3 years

GM all. Options overpriced since yesterday $VIX overstated the drop. With the added premium, MMs have a lot of short futes to unwind. MMs are component gamma positive, which means 1% moves can be frequent to both sides.

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The Wizard Of Ops

@WizOfOps

1 year

Good Morning! After objectively terrible data points, the market rallied directly to the Sept. target of 4500. Yesterday when I talked about liquidity issues, this is what I meant. In the options space, spreads are still tight and things are fine (hence why I said we aren't there

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The Wizard Of Ops

@WizOfOps

1 year

Good Morning! Friday showed classic price action for the "BofA" paradigm, where puts and calls are net bought on a 0DTE basis. Last week, a paper was released by the CBOE and Mandy Xu here: discussing the impact of 0DTE options. It discussed the hedging

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The Wizard Of Ops

@WizOfOps

3 years

Morning everyone, I have made an executive decision. I think saying "overstatement of VIX" is cumbersome, and not conducive to the character limits of Twitter. So I'm shortening it to "overvixed". As I get more followers, I'll explain what that means. lol

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The Wizard Of Ops

@WizOfOps

7 months

Good Morning! A fairly substantial drop yesterday as 0DTE very quickly went to a bearish paradigm with 5080 as a target. We hit 5080 and stalled before continuing down followed by a quick recovery back to target. Some people have mentioned I should be more short term in my

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The Wizard Of Ops

@WizOfOps

2 years

3. He's on a cocktail of pain meds & doing well overall. As he wrote, it'll be another 1-1.5 wks til he's back on Twitter. 4. I'm happy to pass along any messages and comments from you all. Thank you for the continued positive thoughts and prayers during this time! #WizInRecovery

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The Wizard Of Ops

@WizOfOps

1 year

Good Morning! Yesterday was a long-awaited post-opex downturn, but as I said numerous times, until markets cross $SPX 4K, this is a dip to eventually buy. That needs to be crossed within the next couple of weeks. Earnings will whip markets, but the key is tomorrow...

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The Wizard Of Ops

@WizOfOps

3 years

At this point I would be flipping bearish when we undervix on the aggregate. ATH would be asking a lot, and I seriously doubt we get there anytime soon (my not bold prediction). Props to @jam_croissant who nailed this move. Cem, maybe you can talk about opex and volex with me.

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The Wizard Of Ops

@WizOfOps

3 years

Hey everyone, so this rip is wildly undervixed, opening the door to downside. We might have a little bit of room to run on the upside as vol is continuing to get crushed, and there is a little bit of premium to get crushed... but we have an overvixed drop hopefully soon.

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The Wizard Of Ops

@WizOfOps

9 months

Good Morning! Yesterday was a trend day that started slow but blew through some 0DTE lines in the sand and manifested a larger rally. Yesterday was a snap back of high vanna readings from last week, which had a macro whale selling. He was gone yesterday and the reaction function

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The Wizard Of Ops

@WizOfOps

1 year

Good Morning! With dealers accepting 18% of yesterday's 30y bond auction, what was a ho-hum #0DTE day turned into a red waterfall. @zerohedge is throwing around fears of a credit event, which statistically based on yesterday's auction makes total sense. However, this is the

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The Wizard Of Ops

@WizOfOps

3 years

When IV declines, that unwinds hedges and we see massive rallies. Lets take the Biden/Trump election in Nov. 2020 as an example. Here is a chart where orange is the $VIX overstatement and blue is the $SPX return pre-election. 6/13

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The Wizard Of Ops

@WizOfOps

7 months

Good Morning! An interesting trading day again yesterday as there was a downtrend during a bullish 0DTE paradigm, but the line in the sand was defended hard several times. This dynamic has shown a general bearish overall sentiment since this has happened twice now this week. It

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The Wizard Of Ops

@WizOfOps

3 years

Good Morning! First things first, here at Wizard of Ops and Ad Deum Funds, we would like to extend our prayers to everyone involved in this Ukranian/Russian War. It is the most dangerous conflict of my lifetime, and ultimately born out of fear and hubris.

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The Wizard Of Ops

@WizOfOps

8 months

Good Morning! A choppy red day that has continued some troubling trends yesterday in the options space. Dealer positioning continues to be stretched to the upside, as dealers are vega-neutral. My working thesis is that most $SPX 0DTE positions are higher-tenor dealers hedging

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The Wizard Of Ops

@WizOfOps

3 years

Good Morning! So I'll give the reasoning before I give my call. Things I noticed... Gamma exposure is super low negative to the tune of -7.5B. Options I expected to be rolled yesterday weren't, they were left to rot. @SqueezeMetrics VGR is at -20, well below normal.

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The Wizard Of Ops

@WizOfOps

1 year

Good Morning! A massive reversal yesterday, as $NVDA earnings beats were met with a massive market sell campaign. Initially, during the day, it was clear in 0DTE that we were headed down, but market forces over the past week have used the last 10 minutes of the day to defy option

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The Wizard Of Ops

@WizOfOps

2 years

Good Morning! Friday opened with very hot PCE numbers on the back of hot (albeit predicted) Japanese inflation. Ueda also spoke for the first time, but he did what all incoming officers do, he tempered expectations. One thing he did was he declared this CPI print as the highest,

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The Wizard Of Ops

@WizOfOps

2 years

Good Morning! Yesterday continued the consolidation that started last week, and we stopped right at 4000 SPX. This is a big negative gamma strike that was reached thanks to expanding IV. I kept hearing clamor for a bounce, but there was no dealer or macro reason for a bounce.

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The Wizard Of Ops

@WizOfOps

2 years

Here's why the market is up so strongly. A lot of negative delta hedging for this week. Dealer negative delta everywhere, but it also is an issue because those puts are sold by customers. If puts are negative delta for dealers, that means they are long. Strong crash risk.

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The Wizard Of Ops

@WizOfOps

10 months

Good Morning! I hope everyone had a relaxing and enjoyable holiday weekend! Over the past several days I read many different perspectives regarding whether or not we will enter a recession or not over the coming year(s). I found a few patterns in the commentary that stood out,

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The Wizard Of Ops

@WizOfOps

2 years

3800 is when the real selling begins. We break that level, $SPX will get the assist in selling from dealers. #volland

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