1/x The market continues to try & shake out weak hands from overextended positioning by both HF & Retail...After a strong Vanna run up overnight, as expected, retail exuberance exploded on the open in the form of retail call buying, this fragility, paired w/a)Mean reverting flows

2/x from pinned Index Vol b) well documented, risk parity rebalancing flows & c) selling flows tied to bank EOY liquidity constraints. In combination, these flows have together have amounted to substantive selling pressures, strong enough to counteract the positive vanna/ charm
3/x flows, & point to continued likely index RVol an IVol pinning...Historically, the week of quarterly OpEx markets are notoriously volatile intraday, but also mean reverting like we saw today. I think it is fair to expect continued IVol compression & more of the same underlying
4/x chop. Vanna/Charm flows will lose their oomph after Wed 12/16 vixperation morning. There’s a window of weakness which I’ve spoken to for a month that falls 12/16-12/23. That could open a brief window that could lead to revaluation of the real risk & short interest,post 1/6...
5/x but the overwhelming 10k 🦍 of index Vol compression should still hold any correction in time & price in check in the shortterm and it’ll be hard to have anything blow up too bad in SPX land given how cheap & abundant Xmas Vol is 12/23-12/24. NTM, a stim deal & potential Fed
6/x EOY liquidity bazooka likely imminent...Along w/ continued targeted short Vol, massive calendar expansion & dispersion opportunities continue to print $ with VRP >94th % of occurrences & post 1/8 Vol still at a floor...As discussed, Jan 8th call’s on back are still cheap w/ a
7/x GA runoff event straddle of now $64, which given potential macro-cyclical consequences of the next 4 years of fiscal stimulus (NTM final election resolution on 1/6) seems absurd.This calendar $ train shows no sign of stopping yet, as I expect Ivol oversupply should continue
8/x to be the dominant force through at least 12/16 & once we get through 12/21 without incident, likely to 1/4/21...As we saw again today, despite the SPX hardly moving on the day, the dispersion trade presented great opportunities. w/continued Index IVol compression w/elevated
9/x idiosyncratic risk still on the horizon for single names this should continue..I’ll reiterate, this is particularly interesting as it relates to owning IVol in the growth complex relative to SPX, given the coming regulatory/antitrust/duration trade funding risk,NTM the retail
10/x short Vol dealer positioning present in that complex... watch the Fed carefully on 12/16, any added EOY Fed liquidity could serve to alleviate the funding fears would light a Yuletide🔥under the market into 1/4. Until then, expect the market to continue to chop w/seasonality
11/x-accelerated Vanna flows w/classic wall of worry Ivol upside resolution. We’ll plan to scalp levels tactically from both sides, depending on the time of day, using the 1 stddev down of the 20 day SMA as a stop on any short gamma or long delta on a closing basis.We continue to
12/12 eye 1/6-15 as a window to sell vaccine/elec/earnings/stim news, & finally go long IVol, playing the short side w/convexity on a resumption of Value/Growth rotation, & yes even short TSLA, as the REAL (underpriced) risks of policy uncertainty, creep into the market. GL!🍀

More from Cem Karsan 🥐

1/x Vanna joined the wheel of fortune on this day in 1982,& 38 years later she’s stronger than ever...Friday’s into the Mon of qrtrly OpEx in particular aren’t a time to trifle w/her...As called for, the market continues to try & shake out weak hands from overextended positioning


2/x by both HF & Retail, but ultimately these moves are no match for our fair lady’s charming flows during this window, & should continue to support this market through 12/16 w/ qrtrly Vixperation & the Fed upon us....As I highlighted Fri, the minor correction in price/time that

3/x we got down to the 20 day, w/precise technical support at that level, paired w/ increasingly positive Dark Pool (DIX) demand was a textbook buy signal, given the timing...Despite all of this, the real story is not these positive flows nearly as much as the continued reflexive

4/x IVol compression...This is the holiday gift that keeps on giving. Along w/ continued targeted short Vol, massive calendar expansion & dispersion opportunities continue to print $ with VRP >94th % of occurrences & post 1/8 Vol still at a floor... This $ train doesn’t show any

5/x sign of stopping yet, as I expect Ivol oversupply should continue to be the dominant force through at least 12/16 & once we get through 12/21 without incident, likely beyond...W/ lots of imbedded potential energy still in the VRP to fuel more vanna/charm flows in the month to

More from Economy

I know I’ve been beating this redlining and wealth gap drum for 20+ years but here is a GREAT cliffs notes version.

But don’t take @ambermruffin’s word for it. You should get references...

A thread


How homes in Black neighborhoods are undervalued by $156

Every major bank in the US has been sued for mortgage discrimination and a study that included every mortgage in America found that Banks charge higher interest rates to nonblack customers



https://t.co/sx9tWWB98s

Baltimore redlined areas in 1935 vs Baltimore Drug arrests in 2016

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MDZS is laden with buddhist references. As a South Asian person, and history buff, it is so interesting to see how Buddhism, which originated from India, migrated, flourished & changed in the context of China. Here's some research (🙏🏼 @starkjeon for CN insight + citations)

1. LWJ’s sword Bichen ‘is likely an abbreviation for the term 躲避红尘 (duǒ bì hóng chén), which can be translated as such: 躲避: shunning or hiding away from 红尘 (worldly affairs; which is a buddhist teaching.) (
https://t.co/zF65W3roJe) (abbrev. TWX)

2. Sandu (三 毒), Jiang Cheng’s sword, refers to the three poisons (triviṣa) in Buddhism; desire (kāma-taṇhā), delusion (bhava-taṇhā) and hatred (vibhava-taṇhā).

These 3 poisons represent the roots of craving (tanha) and are the cause of Dukkha (suffering, pain) and thus result in rebirth.

Interesting that MXTX used this name for one of the characters who suffers, arguably, the worst of these three emotions.

3. The Qian kun purse “乾坤袋 (qián kūn dài) – can be called “Heaven and Earth” Pouch. In Buddhism, Maitreya (मैत्रेय) owns this to store items. It was believed that there was a mythical space inside the bag that could absorb the world.” (TWX)