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Follow us on Twitter/newsletter- you'll pick it up even without paying for any of our offerings Generally short dated strategies (that don't roll - ie, the gamma is *sticky*, actually does compress range) tend to concentrate on strangles and puts within 7dte recent examples: Monday- short SPX...

Do you think real yields matter? Gravity will return- but it takes time. I don't see new highs by EOY, but we've all seen crazier things.

If you're being sincere- the presser. Premiums hold on Wednesday through the prepared remarks and Q&A. The close is usually good for *some* move- although most of FOMC-related variance tends to hit in the overnight and Thursday session historically.

Here's a few hints (this is my specialty and core interest after a career as MM /derivs sales spanning 25 yrs)... Index MMs are reflexive- when they are strained, you will see evidence of it in the pricing. Short vol strats abound- it's not true that index MMs are all short-put, long-call. Not...

Rules change mid-game in the US all the time. It's the only way to maintain a shell game where the ledger rarely "truly" balances net/net. Just ask any dealer- Market strain? "We're going to need you to post additional margin against this inventory, here" "We're going to need you to post...

Now *this* is interesting...

This analysis is completely asinine. There are tons of different market makers and functional dealers in the index option markets- and the hedge instruments are the most liquid in the world. However, when the traditional positioning is buying put / selling Call- as it *generally* still is if...

I promise you there's not much here. I was an index MM for almost two decades. The way the brokers handling this order tend to work- they post a bid electronically (or in the crowd) and solicit counters on strike. They are looking to spend the least amount of premium to cover some absurd risk...

We are just talking different things. I don't challenge the notion that there is a massive world beyond that of options. And at times like these, when core assumptions on longer term rates are tested, for example, options & systematic flows take a back-seat. Option & systematic flows, however...

Index MMs don't "decide which direction they'll take the stock in the morning / run it up or drop it down" etc. That may be a feature for a DPM in an individual equity where they hold a meaningful portion of the OI, but obviously SPX / NDX etc- no single MM is playing that game. Leave that...

This is purely risk / margin management. Watch deep OTM strikes in ES trade back and forth all day for nickels. Nothing to read-into.

Institutional systematic short volatility space now has an edge baked in due to their size. This used to not be the case, because of the nature of how they would manage their positions- tactically. Your best bet may be to piggyback the sticky inventory that doesn't get shut down or rolled into...

You are probably safe for now.. despite all the hype about 0dte options potentially causing a volmageddon- there's nothing right now to indicate this is the case. If anything, the nature of the 0dte flows contributes to a net positive-gamma effect. What I will say here- 95% of the big...

Not following. To be clear, what I meant to say: dealer gamma, with respect to spot, is generally long gamma/GEX 5% around the money. Of course some nuance as spot moves between positioning resets- but I'm sure you'd agree the "always" was not with respect to spot or to suggest they are...

I did a whole thread about this on our subreddit at Reddit.com/r/VolSignals The gist of it was that markets overshot on the way up, heading into the Fed taking the foot off the gas given the data in May-> June. With investors broadly UW US equities, there was a real rush into stocks especially...

Try telling that "loss avoidance" thing to the guys who ran UBS' CYES or Harvest's IC products. Top shops don't "roll" anymore- this is why the market (which was always = dealers long gamma) is actually behaving like dealers are long gamma.

I've been trading, managing or structuring and selling derivatives for close to 30 years now. My whole career has been spent trading index options- specifically. I run the company in my namesake (username here) and our specialty is actually teaching retail / non-institutional traders the...