Determining Implied Volatilities of American Options Using the Willow Tree Method
Researchers propose using the Willow tree method to compute implied volatilities for American options, overcoming the speed limitations of traditional bisection techniques that apply only to European options. The approach requires calculating transition probabilities once, then updating tree nodes as volatility changes, delivering roughly a 90% reduction in computational time during calibration. Additionally, the tree can be constructed offline and stored, enabling rapid real‑time adjustments for front‑office traders. The method also scales to multi‑factor stochastic volatility models, broadening its applicability to complex commodity futures options.
Another All Time High For SPX. Where To Next Week? May 11 Plan
The S&P 500 e‑mini (ES) surged past 7400, marking another all‑time high after a classic "Failed Breakdown" at 7213. The newsletter explains that institutions use such breakdowns to trap short sellers and accumulate long positions. Recent price action confirmed the...
💡Trade Idea for Friday May 8, 2026
The author is rotating back into a stock that beat earnings but was punished by the market, using the Wheel options strategy. By selling a cash‑secured put at a strike below the current price, they aim to collect premium while...
The Market Upside Down
Leith van Onselen warns that market participants have been short on upside, leading to aggressive buying of call options and a collapse in option skew. This has pushed realized upside volatility to abnormal levels. The pressure finally manifested in the...
What’s Next for ICE and Private Prisons? Clues From 8-Ks
CoreCivic and GEO Group reported Q1 2026 earnings that were buoyed by sharply higher contracts with U.S. Immigration and Customs Enforcement (ICE). GEO Group’s stock jumped nearly 15% after it disclosed a $60 million skip‑tracing contract and expanding secure‑services work, while...
💡Trade Idea for Thursday May 7, 2026
The author proposes a cash‑secured put on a high‑momentum stock, selecting a strike well below the market price to capture premium as a buffer. The trade shows a 76% probability of the option expiring worthless and an 80% probability of...
Since 2020, MTF and Options Outpace Cash Market Growth
Since 2020, India’s cash equity market has shown little growth, while options trading has accelerated, especially after BSE introduced options in 2023. Margin Trade Funding (MTF), which began gaining traction in 2019, has expanded rapidly, with the book now around...
Margin Coverage Option (MCO) 2026 Input Harvest Prices
The Margin Coverage Option (MCO) for the 2026 crop year now faces a sharp cost shock as harvest‑time input prices—particularly urea and diesel—have risen 65% and 80% above fall projections. This increase adds $71 per acre to corn costs and...
🎯Take Profit Alert: IREN and ONDS Cash Secured Puts
Trader exits two cash‑secured put positions—IREN and ONDS—after capturing the bulk of the premium. The IREN May 22 $36 put generated $200 profit (74% return) with 16 days left, while the ONDS May 8 $8.50 put earned $57 profit (68% return) with...
Volumes and Most Active Names in Credit Derivatives – March 2026
March 2026 saw a pronounced spike in single‑name credit default swap activity, with 25,076 trades recorded—an 18% rise from September 2025 and flat year‑over‑year. Colombia led sovereign CDS trading with 527 transactions, while Oracle topped U.S. corporate CDS at 311...
Cocoa’s Recovery Rally Faces a Growing Wall of Supply
ICE Cocoa July 2026 contract closed at $3,596 per tonne, a 4.81% weekly gain, pushing the price above its 50‑day moving average for the first time in months. The rally occurs despite a projected global surplus—ICCO expects a 75,000‑tonne surplus...
Palantir Live On Hotstuff After $1.63B Revenue in Q1
Palantir Technologies reported Q1 2026 revenue of $1.63 billion, an 85% year‑over‑year increase and the strongest growth among public companies. The data‑analytics firm’s market capitalization rose to about $350 billion, marking it as a heavyweight in the tech sector. Palantir’s stock was...
The Market Brief
U.S. equity futures rose Tuesday while oil prices slipped, reflecting a tentative rebound amid heightened Middle‑East tensions. Institutional investors are rotating out of mega‑caps into small‑caps, which now trade at their widest valuation discount in two decades. Systematic long/short managers...
RBA Delivers Third Consecutive Rate Hike
The Reserve Bank of Australia lifted its official cash rate by a quarter‑point to 4.35%, marking its third straight hike. Eight of nine board members voted in favor, citing renewed inflation pressure from late‑2025 capacity constraints and a worsening Middle‑East...
Consus Ag Consulting Afternoon Wrap Up
Futures opened the week choppy as grains slipped lower while the soy complex posted gains. A more favorable U.S. weather outlook and stronger foreign export flows pressured wheat, especially after India lifted its export restrictions. Feed‑corn sales provided modest support,...
Calendar Trade for Bonds
A calendar trade strategy applied to Treasury bond ETFs (TLT) generated a modest but consistent equity curve. Over 284 trades the approach delivered an average gain of 0.35% per trade, a 61% win ratio and a profit factor of 1.8....
Tidan NOVA Profiting From Volatility Skew as Market Participants Seek Protection
Tidan Capital’s NOVA strategy targets the persistent volatility skew that arises because investors must buy downside protection, causing puts to trade at higher implied volatility than calls. By employing a market‑neutral, relative‑value approach, NOVA harvests the premium from overpriced puts...
FX Option Expiries for 4 May 10am New York Cut
The May 4, 2026 10 a.m. New York FX option expiries focus on EUR/USD between 1.1700‑1.1750 and AUD/USD at 0.7200. Technical analysis shows the EUR/USD floor near the 200‑day moving average of 1.1675 and upside capped around 1.1800, limiting the expiries' directional power. Market...
Quiet Indices, Roaring Stocks: The Volatility Dispersion Trade
Robust earnings from the Magnificent Seven and semiconductor leaders have propelled the S&P 500 and Nasdaq to fresh highs while index implied volatility fell to a three‑month low. In contrast, single‑stock volatility remains elevated, creating a pronounced dispersion between index and...
Vol Street Journal™ :: Episode 23
The latest Vol Street Journal episode highlights a transition to a constructive volatility regime, noting the normalization of the variance risk premium and new structural cushions in the VIX futures curve. It examines the intraday split between the VIX and...
Volatility Risk Premium Dynamics Through the Heston Framework
The paper links the volatility risk premium (VRP) to Heston model parameters using market‑based proxies such as variance swaps, VIX futures, and straddles. Over 7‑day horizons, a one‑standard‑deviation rise in initial variance (v0) cuts next‑day variance‑swap returns by roughly 730...
SPX Closes At Major ATHs. Pullback Next Week, or More Upside Ahead? May 4th Plan
The S&P 500 e‑mini (ES) surged to new all‑time highs after a classic "failed breakdown" at the 7,137 level, a pattern institutions use to accumulate positions. The index fell sharply to 7,132 on earnings news, trapped short sellers, and rebounded...
🎯Take Profit Alert: WYFI Cash Secured Put
The author closed a May 15 $12.50 cash‑secured put on WhiteFiber Inc. (WYFI) after collecting $340 in premium and realizing roughly $230 profit, a 67% return on the premium with 15 days left. The remaining $110 value would require tying up...
💡Trade Idea for Friday May 1, 2026
After a solid earnings beat, the stock retreated, creating a buying opportunity for the author. They initiated an out‑of‑the‑money put spread with a strike below the current price, targeting premium income. The trade carries a 76% probability of worthlessness and...
Gold Flat While Silver Rallies, And CNBC Tries Another Peace Deal Headline
Gold futures held steady at $4,616 per ounce on Friday, while silver futures jumped $2.13 to $76.15. CME silver inventories continued their decline, reaching 315.2 million ounces, the lowest level since November 2024. U.S. silver bullion exports surged to 95...
Comex Silver Grinds to a Halt
Comex silver’s open interest has plunged to under 100,000 contracts, the lowest level in more than 15 years. The drop accelerated after silver breached $40 per ounce and the May contract expired, leaving only about 95,800 contracts open. Market makers...
Consus Ag Consulting AM Market Brief
Futures traded mixed overnight as month‑end and first notice day pressures shaped market direction. Consolidation followed recent moves, while weather concerns began to dominate conversation. Drought in Brazil’s safrinha corn region and drying trends in Argentina are drawing attention, whereas...
Gold & Silver Volatility Has Plunged
Founder Bob Coleman highlighted that the CBOE Gold ETF Volatility Index (GVZ) and the CBOE Silver ETF Volatility Index (SVZ) have fallen sharply from their early‑year peaks. The drop brings both indexes close to their 200‑day moving averages, a technical...
Where Do Options Returns Come From
The paper by Broadie, Chernov and Johannes examines index option returns and concludes that options are not systematically mispriced. Individual put returns are highly dispersed and offer little diagnostic value, while straddle portfolios expose risk premiums that standard Black‑Scholes and...
Polymarket & Kalshi - Prediction Markets Move Into Perpetual Futures
Polymarket and Kalshi, the two dominant prediction‑market platforms, announced early‑access perpetual futures (perps) programs in April 2024. Kalshi will launch crypto perps under a CFTC‑approved margin‑trading license, while Polymarket’s beta perps product is still navigating U.S. regulatory clearance. Combined monthly...
💡Trade Idea for Wednesday April 29, 2026
The analyst revisits a stock that previously yielded a successful earnings‑driven trade, entering after a sharp pullback. By selling an out‑of‑the‑money put, the position targets a 71% probability of worthlessness and a 77% probability of profit. The premium collected provides...
Empureon’s Growing Volatility Franchise
Empureon, a Frankfurt‑based volatility‑risk‑premium manager, has raised €1.6 bn (≈$1.73 bn) in just 2½ years, marking one of the fastest UCITS fund builds in continental Europe. The firm’s flagship Empireon Volatility One uses a systematic, rules‑based approach that sells short‑dated S&P 500 puts while...
FOMC LIVE Reg | April 2026
On April 29, 2026, Stock Market TV will host a free live trading webcast at 3 PM ET, covering the day’s heavy earnings calendar and Federal Reserve news. The session will dissect earnings from Microsoft, Alphabet, Meta and Amazon, which together represent a sizable...
Ryanair Will Use Locked-In Fuel Costs to Pressure Rival Airlines Suffering From Surging Oil Prices
Ryanair is leveraging its aggressive fuel‑hedging program—covering roughly 80% of its 2024 fuel needs—to keep ticket prices low while rivals grapple with soaring oil costs. Competitors such as EasyJet hedge a smaller share of fuel, and legacy carriers like Lufthansa,...
How to Trade the Vanna Rally: Profiting When Volatility Drops
The article explains the Vanna rally, a market move where a drop in implied volatility forces options dealers to buy S&P futures, pushing the index higher regardless of fundamentals. It outlines a four‑step process: identify a short‑Vanna regime via SpotGamma’s...
Vanna and Charm Explained: The Hidden Greeks Driving Market Rallies
Vanna and Charm are second‑order options Greeks that capture how an option’s delta shifts with changes in implied volatility and the passage of time. In the S&P 500, a short‑Vanna environment forces market makers to buy futures as volatility drops, creating...
5 Stocks with the Most Predictable Earnings IV Crush
The article identifies NVIDIA, Tesla, Netflix, Apple and Amazon as the five stocks that consistently experience the sharp post‑earnings implied volatility (IV) collapse known as an IV crush. These high‑growth and consumer‑staple giants see option premiums inflate dramatically ahead of...
Petroleum Products vs Crude Price Spreads Highlight Crude Oil Futures Pricing Disconnect
The 3‑2‑1 crack spread—a proxy for refinery margins—has surged to roughly $57 per barrel, up from an average of $25 before the February 28 2026 Iranian attack. The jump reflects a widening gap between CME COMEX crude oil futures and petroleum product...
🎯Covered Call Trade Management Alert: SERV
Trader Edward Corona reports that his covered call on Serve Robotics (SERV) expired worthless last Friday. He is now initiating a new covered call with a $13.5 strike, $0.19 premium, and a May 22, 2026 expiration. The trade is positioned...
Hormuz Re-Opening Odds and Brent June Futures
The Kalshi prediction market indicates a roughly 45% probability that the Strait of Hormuz will be reopened by July 1, while Brent June futures have risen about 2% as the perceived supply risk diminishes. The chart, dated April 27, shows the probability...
Operation Economic Fury Targets Australian Dollar
Treasury Secretary Scott Bessent is urging Congress to broaden dollar swap lines with Gulf allies as their oil‑linked revenues dwindle, threatening the sale of U.S. Treasuries and equities. The six Gulf nations collectively carry roughly $400‑$500 billion of dollar‑denominated debt, and...
Where Will Brent Futures Open Today?
A market‑based forecast predicts Brent crude futures will open near $111 per barrel today. The estimate combines data from the Kalshi prediction market with the Economic Policy Uncertainty (EPU) index, assuming the index remains unchanged from the previous session. The...
The Death of the Bitcoin Carry Trade?
Bitcoin rallied about 15% since early April, yet its 30‑day average funding rate plunged into historically negative territory. Traditionally, rising prices push funding positive as leveraged longs dominate, but the current divergence shows short positions gaining strength. The article attributes...
We Urgently Need to Talk About Swap Lines
Izabella Kaminska’s latest Blind Spot piece warns that the current debate over dollar‑swap lines is more than a sovereign’s plea for liquidity—it is a window into the hidden mechanics of global finance. She argues that swap lines reveal who still...
A Full Week Of Coil For SPX. Do We Trend Next Week? April 27 Pan
Over the past month the S&P 500 e‑mini (ES) has posted a steep upside rally, with each minor dip quickly bought up. The author attributes the move to a classic "failed breakdown" pattern, where institutions accumulate during sharp, short‑lived drops...
Consus Ag Consulting Afternoon Wrap Up
Futures slipped after mixed overnight trading, led by wheat losses as technical profit taking intensified. Corn and soybeans also fell on May options expiration, while drought in the West weighed on wheat but supported planting progress for corn and soy....
Precious Metals Rise As DOJ Drops Powell Probe To Facilitate Warsh Confirmation
Gold futures edged up $14 to $4,738 per ounce while silver rose 92 cents to $76.43 per ounce, keeping precious metals in positive territory despite ongoing geopolitical tension. The Department of Justice abruptly ended its investigation into the Federal Reserve’s...
🎯Take Profit Alert: CORZ Cash Secured Put
Trader closed a cash‑secured put on Core Scientific Inc. (ticker CORZ) with a $15.5 strike, collecting $87 in premium and realizing a $78 profit after seven days. The position captured 89.66% of the premium, indicating the stock stayed well above...
Citadel and Point72 Rebound From Volatility “Catch-Out”
Citadel and Point72 experienced a sharp drawdown in late March when a sudden spike in market volatility hit their short‑volatility and carry trades. Leveraging their multi‑manager platform architecture, both firms quickly de‑risked, added hedges, and rotated capital into macro, relative‑value...
Decoding April 23 Market Drop: Hero’s $2 Billion Delta Shift, Trace Map Insights, and Strategic Options Flow Analysis
On April 23 the S&P 500 slipped about 1.2%, a move anchored by a $2 billion delta shift in options on the ticker HERO. SpotGamma’s trace‑map visualized a surge of put buying at key resistance levels, signaling aggressive bearish positioning. The flow...