VIX Fell 44%—One of History’s Biggest Crashes
My broken market neutral brain sees this and thinks if I bought VIX and stocks on a 3 beta which is a totally reasonable idea ex-ante I won given the market move
Option Sellers: Compare VRP Levels Starting with HYG
Moontower this morning I hope is extremely useful and educational to option enjoyyyers, especially sellers A devilish question for option sellers: Which VRP is higher? We start with $HYG is our launchpoint. https://t.co/Exoujfh7W8
Extracting R Beats Imposing It for Consistent Volatilities
Put that thread in the Louvre. The disconnect comes from whether you impose r or extract it from synthetic If you impose it you often get different call and put vols but if you try to arb it you learn...
Option-Based ETFs Evolve: Insights From ISSB & ISBG
Moontower today is a change of pace...I reviewed 2 option-based ETFs, ISSB and ISBG, which are sub-advised by Convexitas. https://t.co/8FQPV4kgUm I learned a lot about ETFs writing this especially since there have been big changes the last few years vs when...
Low Implied Correlation Reveals High Single‑stock Volatility
From 3M implied correlation of .14 to avg single stock vol: √(15.6²/.14) Moontower V2 is Agent forward yo https://t.co/HLau7SGzXo
Strategy Equals Wide Butterfly Plus Eight Strangles
i won't comment except to point out that this is algebraically equivalent to buying 1 really wide butterfly and 8 strangles (the butterfly is technically an "iron fly") Also, they used the word "deep" when traders say "far", so the target audience...
V2 Beta Launch Connects Agent Workflows to Moontower Data
Today we admitted current users to the https://t.co/uk1QwX5UsC V2 Beta As you might expect, agent workflows are central with them connected to our data as well as all moontower knowledge base and more. https://t.co/gNv5Apha70
SEM's Risky Rolled‑call Strategy Nets Big Trader Bonuses
Yep...SEM group basically running a not so covered call strategy then martingaling by repeatedly rolling into an insanely faded markets every day. Got a lot of options traders on NYMEX paid. Got my first big boy bonus thanks to them....
Volatility Flows Into Vol Funds, Boosting Their Weight
The vol gets recycled to vol funds so you can expect the vol in those names to be a bit heavier.
Weekly One‑Idea Episodes on The Options Trench
Thanks for the share 🐴 Erik and I actually release an episode every week. We're about 6 weeks into it. Each one is organized around 1 idea. It's a podcast and YT channel called The Options Trench 🫡
Inside Market Maker Privilege and the Vanishing AMEX Floor
Long one today on "market maker privilege" Packed with story, opinion, and gritty details of the way things work. Including this very hard to find picture of the AMEX floor when it was open https://t.co/4PMRBEdGAx cc floor traders who are time-for-a-colonoscopy years old https://t.co/kmosRyopNm
Prime Millennial Album: Spot‑On Praise and Rare Acclaim
I know the world is crazy but yea I'm choosing to focus on how spot on the comments here are. This album was one of the best of prime millennial era and it was actually widely acclaimed. Rare combo.
Mism
The mismatch also made for great fun for rel val trading the vols and cleaning for when an event fell between expiries. Also fun when your Brent greeks went away since they expired earlier, an issue you didn't sweat when...
High Inflation Dem
If CPI were to trend up to 5% over the next year in the unlikely event that rbob futures kept rolling up to the current spot price...what is the 10 year yield and what has to happen to SPX earnings...
PLTR Vols Cheap, Skew High—Put Spreads Attractive
Poking through a bunch of vol surfaces this am...PLTR vols look cheap relatively and the skew is jacked which means put spreads are cheap. PLTR kinda has that BTC signature...held up well in the past month but got worked in...