June OTM Puts Showed No Gamma Movement
Not shocking but i had to look it up. Took a snapshot of June expiry in $CAR when it was down $238. Far OTM June puts (200 strike and lower) moved LESS than their starting delta. In other words...they had no gamma. https://t.co/mq7TxvKl91
Option Margin Deep Dive with LLMs And
Moontower Thursday The meat is about option margin but a few rapid fire topics: 🌙Welcome to Scamerica 🌙LLMs for faster applied learning 🌙Slopstacks refs: @covered_call @DaveNadig @mjmauboussin https://t.co/kLbxfL2LTB https://t.co/GZ3UTIuriN
Substack Posts Often Trigger Subscriber Loss, Sometimes Due to Offense
When you publish a Substack post it's typical to lose some subs. People sign up everyday, maybe someone told em it's good whatever. They get an issue decide meh unsubscribe. Some days you lose extra subs & I have to...
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...
SIG Traders Master Black‑Scholes in Two-Day Crash Course
A generation of SIG traders learned B-S from Doug over a 2 day period during "class" as it was called
Composer Outperforms TIP in Replication Symphony
Been a while since I pulled this chart up....but this is my TIPs replication symphony on Composer plotted vs TIP https://t.co/6sUc1nkdUT https://t.co/msvzs0T9F1
Scale Risk Reduction Using Perfect Information Strategies
Moontower today 🌙cross the “bridge of asses” 🌙how to get arbed with perfect information 🌙scaling laws of risk reduction 🌙“research collector” skill https://t.co/XwLS7zmHQd https://t.co/4TXC3SqKuS
Deep Means ITM, Far Means OTM
"Deep" is for ITM and "far" is for OTM. Thank you for your attention to this matter
Oil Risks Surge as Spot Prices Rise, Volatility Falls
Oil riskies firmed a lot to the put and today spot up, vol down day https://t.co/yyPo6cUfXq
Track Implied Delta by Comparing Poly to Futures
a quick little trading inspiration.. track the implied delta of the >90 market on poly compared to the corresponding futures price by tracking its price change. For example if the market went to 75% on a $1 rally then it's a...
Silver Risk Sentiment Flips as Put Skew Rallies
Big sentiment flip in silver riskies recently...driven both by put skew rallying and call skew getting hit https://t.co/uxFWp2eClV
VRP Widens as Volatility Drops, Shown on PLTR
You can pull up this type of chart on almost any symbol and see that the VRP tends to be fatter when vol is low This is PLTR Written about it in lots of places. https://t.co/zUpvOPQB7T
Homebuilders, High‑Yield Credit, World Index Lag Volatility
Worst asset performers relative to their own vols in the past month on my watchlist Homebuilders, high yield credit, world equity index https://t.co/gpd005m2Yi
Revenue Seasonality Drives Market Volatility, Explore Data Insights
Moontower Thursday 🌙Sold some puts on a turd so then I needed to like look at it and stuff 🌙Exploring the link between revenue seasonality and volatility You'll find several ways of looking at data to test your own ideas. https://t.co/nO8SPhrkJm https://t.co/MMfM6hW9aP
Quick Oil Options Tips: Read Vol Surface Instantly
One last pump...this came out yesterday. Dean and I talk oil, options, and some handy tricks for understanding a vol surface with a glance
High Oil Volatility Sparks New Follower Futures Market
Every day that oil vol is north of 100 Tina must be granted 1k followers. Kalshi/Poly then list Tina/Kris follower spread futures and boom another relative value market to pair trade oil term structure against. We aren't degenmaxxing enough
Master Mental Options Chains: Part Two
Part 2 of "building an options chain in your head" which way too many of you nerds enjoyed
Linking CL and USO Time Spreads Reveals Arbitrage
Yesterday's post on CL time spreads combined with this image of USO which has time spreads on the same underlying regardless of maturity (CL1) creates a fascinating circle to square. Anyone running the SEC/CFTC jurisdiction RV desk knows the fun...
Understanding the Fundamentals of Vertical Option Spreads
Here's a post on the basics of vertical spreads. I'll publish a more advanced one in X Articles for Friday the 13th. https://t.co/MEeZsvbmyb
High VR
Fat VRPs but think vega is here to stay. as risk if risk premium here to stay..time spreads look decent https://t.co/IpY830RswR
Future Prices Defy Norms: Oil Options Expose Gamma Paradox
Today's "Future prices are not like other prices" by @ByrneHobart is an outstanding preamble to tomorrow's moontower titled: oil options and the raw gamma paradox 🛢️🧩 a post that sniped me from whatever i planned to write about Byrne's post is free: https://t.co/ekmCXjtQQ1
Deriving the 80% Straddle Rule Simplified
Moontower Sunday pitchfork CLAWback In this issue: 🌙half-baked AI thoughts 🌙making your own teacher 🌙a satisfying derivation of the 80% straddle rule https://t.co/K5xTbWQpU1 refs: @outlieroptions
Elevated IV and RV, Flat Term Structure, No VRP
Filtering across a liquid cross-section of ETFs and equities (and excluding earnings names) the Trade Ideas algo picks up the following. Note across the market IV and RV remains elevated, no VRP on avg based on our RV calcs. The...
One in Five Options Trades End Up Misguided
This is really something that comes up a lot (21% of the time in the past decade according to 35 liquid ETFs spanning many assets) and very easy to lure yourself into a misdirected option trade
Explore EWY Volatility Patterns with Handy YFinance Toolkit
The recent action in EWY fits a pattern that happens frequently enough to be worth understanding the SHAPE of its vol. You will find: 🌙handy measures 🌙inspiration for your own exploration 🌙GIT notebook to get you started with yfinance data https://t.co/MkdqLvqfC6 https://t.co/LDHZibQS9H
New Signal
Timely post by @71Ksander on EWY: https://t.co/Aq1A2m75tU I'm publishing a large post tomorrow... intuitive signal that would help with tricky names like EWY. There was differing views on its vol in our Discord but a pattern I've seen before. Decided to...
New Podcast “The Options Trench” Emphasizes Measurement Over Prediction
Moontower 🌙Launching podcast/YT series: The Options Trench 🌙Make it make sense 🌙"measurement not prediction" in the wild https://t.co/SVLluHexwT refs: @outlieroptions @halfkelly @Citrini7 @shaneparrish https://t.co/6sjaG9EPz6
Understanding Straddle Approximation and Skew's Impact on Volatility
Today's spaced repetition covers a lot of ground. 🌙Visual derivation of the .80 straddle approximation 🌙How skew distorts vol-based risk measures 🌙 Practical tips& discussion
Call Skew Lowers Oil Spreads, Polymarket Binaries Boost Value
I wrote about Polymarket Iran markets and crude vols last week but didn't cover oil call spreads vs the odds. Jacked call skew makes call spreads cheaper in oil but the presence of Polymarket binaries creates a bid for them...
TSLA Cheap Vol, but Skew Makes Puts Pricey
TSLA is frustrating...vol is cheap and I want the nitroglycerine puts but the skew is jacked. https://t.co/e8sACX2GXu
Understanding Covered Calls vs Equivalent Stock Delta Sale
Today's spaced repetition is structured as a slow-as-molasses homework that builds up to understanding the nature of covered calls vs the equivalent portfolio of selling [delta] amount of your stock (which is the right basis of comparison)
Master Bad Beat Management with Simple Position Sizing
Moontower for today... 🌙options policework A highly useful and approachable post (well that claim is for you to decide) for deconstructing a bad beat, how to manage the position, and basic sizing framework https://t.co/lriLcCfSTC https://t.co/zBmPgdFBWn
Volatility Drops Across Board Despite Apparent Front Pressure
Yesterday SLV vols were down with the small down day...today vols are down across the board on the uptick. Unexpected. These are pct changes in the vols. It appears like the fronts are getting hit harder. But they're not... https://t.co/Py3JzocrxE
Socratic Walk‑Through Reveals Hidden Options and Premium Logic
Today's spaced repetition is a socratic walk-thru of a situation where you could spot a hidden option AND also realize when something that looks "wrong" makes sense (in this case the premium to NAV)
Trade Ideas' Presets
Option 👀 My first stop is our Today's Markets page. My default watchlist is loaded so all metrics snapped to that. Volume list shows notable volumes (XLU 48 calls opening traded size today) Trade Ideas classifies based on vol surface signatures we...
Diversifiers May Offer Negative Risk Premiums
Today's spaced repetition ties in well with @dampedspring fantastic commodities post yesterday. For example why amazing diversifiers likely have negative risk premiums