A Second Look at CAIE: Correcting What I Got Wrong About Calamos’s Strategy
Larry Swedroe revisits the Calamos U.S. Equity Autocallable Income ETF (CAIE) after discussions with Calamos, correcting earlier criticisms. He explains that CAIE holds a total‑return swap on a laddered portfolio of autocallable notes, effectively selling deep out‑of‑the‑money puts on a volatility‑controlled S&P 500 index. The fund’s distributions are classified as return‑of‑capital, deferring tax and enhancing after‑tax yield, while collateral posted at State Street mitigates counter‑party risk. With a net expense of roughly 44 basis points after collateral benefits and a volatility‑targeted exposure that trims risk during market spikes, CAIE has delivered about 26% total return since launch.
Research Review | 5 June 2026 | Risk Management
Researchers Robert Jarrow and Simon Kwok present a model‑free framework that derives lower and upper bounds for asset‑price bubbles using put‑call disparity. The method relies only on the no‑free‑lunch‑with‑vanishing‑risk condition and admissible trading strategies, avoiding parametric assumptions. Applying the bounds...
Dispersion & Correlation Are Screaming Overbought. Downside Hedging Is Cheap.
The CBOE Dispersion Index (DSPX) has surged to levels last seen during the Covid crash, while the Correlation Index (COR1M) has slipped to near‑record lows. This rare divergence reflects extreme positioning in AI‑related equities, creating a pronounced risk of a...
💡Trade Idea for Wednesday, June 3, 2026
The author recommends re‑entering a familiar stock with a cash‑secured put as part of the Wheel options strategy. After a recent rally, the stock pulled back, yet it stays above its long‑term moving averages and retains bullish momentum. The put...
ES Calls Surge 406% as SpotGamma Identifies the 6830 Gamma Magnet Before the Move
On April 9, SpotGamma’s TRACE heatmap and HIRO indicator highlighted a developing negative‑gamma zone at the SPX 6830 level, signaling a potential bullish move in the S&P 500. Trader Doug Pless entered a 0‑DTE ES call at $8.10 after bullish options flow confirmed the...
🎯 Take Profit Alert: ONDS Cash Secured Put
The Options Oracle closed a June 26 $8.50 cash‑secured put on ONDS, having collected a $216 premium and now locking a $174 profit. The trade captured roughly 80.6% of the available premium while still 24 days remained until expiration. The author...
The Benefits of Multi-Manager Portfolios in CTA Investing
Abbey Capital leverages a $7.8 billion managed‑account platform to build multi‑manager CTA portfolios, emphasizing diversification beyond pure trend‑following. The firm argues that true risk reduction emerges after allocating to eight‑to‑ten independent managers, mixing short‑term, macro and value‑oriented strategies. Managed accounts provide...
Navigating The Market Gamma Dynamics Amid Record Call Buying And Elevated Risk Taking
Record call buying has driven unprecedented gamma exposure in the equity options market, prompting heightened risk‑taking among traders. The surge in call volume amplifies market makers' hedging obligations, inflating implied volatility and widening bid‑ask spreads. Elevated gamma levels increase the...
Large Positions Betting On Extreme Gold Price Spike This Year Are Opening On CME Gold Market
Large speculative positions have opened on the CME COMEX for December 2026 gold call options with strikes at $10,000, $15,000 and $20,000 per ounce. The open interest totals roughly 1.1 million ounces at $10k, 2.4 million ounces at $15k and 2.65 million ounces at...
S&P 500 E-Mini Futures - Elliott Wave Analysis
The latest Elliott Wave count on S&P 500 E‑mini futures shows a five‑wave impulse developing from the spring 2025 low. Wave ① finished in late 2024, followed by a corrective A‑B‑C pattern (wave ②) that established the cycle bottom. Wave ③, the dominant leg,...
Delta Hedging Performance Under Different Volatility Measures
A recent study using OptionMetrics SPX data from 2019‑2024 compares five volatility inputs for delta‑hedging. The SVI‑calibrated implied volatility surface, despite fitting the smile, increases hedging error variance 9.4% over a flat ATM IV. Close‑to‑close realized volatility cuts the error...
Bitcoin Analysis Today: BTC Tries to Turn the 72,900 Flush Into a Bullish Pivot
Bitcoin futures slipped to a low of about $72,900 before snapping back above the 73,145 and 73,350 high‑volume zones. The rebound is viewed as a tactical repair, but the market remains neutral until price sustains above the VWAP‑aligned 73,750 level....
💡Trade Idea for Wednesday, May 27, 2026
The author recommends re‑entering a stock that just completed a profitable Wheel cycle. The stock remains in a strong uptrend, holding above key moving averages with a controlled pullback and solid volume. The proposed trade involves selling a deep‑out‑of‑the‑money put...
🎯 Take Profit Alert: BROS Cash Secured Put 73% Captured
An options trader closed a June 5 $49 cash‑secured put on BROS after capturing roughly $115.50, which represents about 73% of the $158 premium collected. With 15 days left until expiration, the stock remained above the strike, allowing the trader to...
Q1 2026 USD Swaption Volumes – up 14 Percent YoY
U.S. dollar swaption activity surged in the first quarter of 2026, with SDR‑reported notional volumes climbing 14.1% year‑over‑year to $4.18 trillion. The number of swaption packages rose 7.2% YoY to 21,350, a 37% jump from the previous quarter, while average package...