1/x As we’ve been calling for since Nov, today we finally got our 2 ‘Georgia Peaches’🍑 precisely on schedule, as we’ve called for since Aug, & the underlying rotation has confirmed now for months, this matters. This is a historic turning point. It matters not only https://t.co/BFxKGrI1Oo

1/ Ch-ch-ch-ch-changes (Turn and face the strange)... as futures, sit pinned @ an odd elevated morning perch awaiting Janet Yellen’s confirmation hearing & her call for the new admin to ‘act big’...this narrative has markets on high. But the truth is that it’s actually just Gary

2/x behind the curtain, pulling the usual levers. Until Vixperation on Wed, it‘ll be nearly impossible to break the IVol oversupply. This pinning of IVol was so strong on Fri that despite a peak to trough drop of nearly -2% in SPX, fixed strike straddle were down across the board

3/x & particularly decimated in the very front of the curve. IVol particularly in the 30 day range is showing dramatic signs of oversupply relative to the rest of the IVol surface, giving a nod to the Vix strip driving the compression. Even during windows of vanna weakness as we

4/x are in now, this oversupply phenomenon paired w/ a market decline & a slide to higher fixed strike IVols can still lead to a temporary ‘Dead Cat Bounce’ where residual Vanna/charm morning flows lead to brief AM market support. These supporting flows are generally just strong

5/x enough for a countertrend thrust &, unable to meaningfully impact more important macro flows & hence generally should be faded starting around 9-10am CST. That said Gary’ll likely see to it that there is no major technical break below 1 stdev in the 20 days, likely preventing

1/x The window we have been targeting for 2 months has officially opened... i Can not imagine a more textbook display of the power of Vanna at expiration as we saw on Friday. The capital building was overrun by an insurrection, but all that that meant was a bigger late day rally.

2/x that ended at ATH on the close. Between Gary the 🦍 & his RVol suppression & his hand off to late day Ivol compression & the Vanna index bid, the 🐻’s never had a chance... but Gary’s getting tired after 2 months battling complacency & Vanna’s 2 week vacation, 1 of her only

3/x 2 week departures of the year (a 5 week OpEx) is quickly approaching on 1/15 morning. That means she’ll be increasingly absent as she prepares for her trip. W/ a $59 1 week straddle & $50 1 day range on Friday, & another $30 overnight drop, it’s hard to see why you wouldn’t

4/x want to take a chance on a little long gamma at this juncture. Especially given the obvious warning signs coming from the steepening of the yield curve, underperformance of the Growth complex, complacency in sentiment & positioning, anecdotal signs of bubbles in BTC & TSLA,

5/x NTM the growing exuberance surrounding a fiscal stimulus deal near $2 Trillion. The wall of worry of 3 months ago is gone. The vaccine is being deployed, the election is resolved, fiscal stimulus was passed & w/2 Georgia 🍑 🍑, ever moar 🚁💰is on the way. But what happened

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

1/x Vanna is back & ready to turn back on the charm! Overnight the market hit our weeklong target of **3705 and pulled back... We were able to take profits & play for a bit of morning digestion. It’s been a nice +3.5% in a week w/a few extra scalps along the way...But the best

2/x part has been the gift of Vol compression, which along w/ short Vol profits, has given us significant calendar expansion & dispersion opps, as predicted. I expect this to continue this week as well, as Ivol oversupply should continue to be the dominant force until 12/11.This,

3/x paired w/ the significantly increasing Vanna & Charm flows, will make it hard for any decline until 12/14 to catch meaningful momentum. This said, the narrowing of 20 day RVol as well as the 2 stddev of the 20 day just overhead should cap any rallies, given the dramatically

4/x overextended retail (8-day SMA of P/C equity is the lowest in 20 years) & institutional positioning. This push/pull, should ultimately keep the market fairly pinned this week...Jan 8th call’s on back are incredibly cheap w/ a GA runoff event straddle of only $55, which given

5/x the potential macro-cyclical consequences of the next 2 years of fiscal stimulus seems absurd...& In terms of a more short term trade,Tesla Vol is either too high or 12/18 on back calendar spreads in the SPX are too low, as there’s no premium being priced in for the inclusion

3 December 2020 #MAGAanalysis #RedoTheElection

When You Catch A Thief

The sleeping giant of America sleeps no more. We have awakened. We're nothing more than the same Common Sense Americans we were in 1776. We're feisty. Independent and self-sufficient. Hard working.

A short thread on one aspect of trolling on here, from my recent experience. I’ve got a fair number of followers. I tweet about controversial topics - and yet I don’t get trolled that much. A bit, but not thatmuch. There are times, though, that I *do* get trolled a lot. 1/n

The pattern is pretty clear, and has been played out a few times over the last few days. I get into a conversation about a topic that could be considered race-related. Empire. Immigration. Something like that. And that conversation includes a highish profile BAME person. 2/n

More often than not, a BAME woman. In those cases, it takes very little time for the trolls to come steaming in. Most of them seemingly rational, taking issue with some technical point, but quickly descending into something much worse. 3/n

When I look at the profiles of the trolls, they’re often relatively innocuous. Not saying ‘Hey, I’m a racist troll, a white supremacist’ at all. Not likely to be caught by any kind of anti-troll measures. Instead, they look relatively normal. 4/n

But what happens is very much about racism, and often misogyny. Attacks that are - or appear to be - not that dramatic on their own. Not rape threats or death threats, or ‘go home’ or things like that, but designed to undermine, to disturb, to annoy - but with an undercurrent 5/n