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
6/x a waterfall until Wed. This will coincide perfectly w/ the inauguration & this could serve as an ideal narrative for a decline. Watch for continued NDX weakness in the face of more bear steepening, retail call buying optimism, trolling of my account, & more of the shooting of
7/x generals as signs of coming weakness. Until Wed morning, calendar expansion should continue to be the name of the game,& given the coming wave if policy news that should begin to flow, I would expect more policy winners & losers to drive dispersion for the next 2 days w/ Gary
8/x still firmly in control of the index’s wheel of fortune.The broad macro assumption by investors that MOAR stimulus is great for markets will ultimately be a miscalculation.The shift will be great for the economy & cyclical earnings.However the continued march higher in yields
9/x will eventually lead to multiple contraction...& this market is all about liquidity & multiples at this juncture.The wall of worry is still fading, & the exuberance of a reopening economy is building, which increasingly means that this window of weakness will most likely come
10/x & go as just a correction in time. But we must be on alert still until 1/22. We will continue to trade this market tactically from the short side at our levels taking profits into a likely stair step correction or sideways chop. Watch for our 3718.25 level as well as our
11/11 1 stdev bollinger down of the 20 day. If we can‘t close below the later by 1/22 EOD, we will be forced to begin looking to position longer for a potential blow off euphoric reopening top in a future coming window in 1 or 2 months... Remember, it’s never EZ. Good Luck! 🍀

More from Cem Karsan 🥐

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


2/x for this year, but for the economic trajectory of America & likely the macroeconomic regime of the developed world for the coming decade. That said, contrary to popular belief, the market does not move based on news in the short term if the positioning doesn’t allow it to.

3/x & our old friend Gary the 🦍 & his sidekick Vanna are positioned to have this market pinned through 1/11. So, as explained ad nauseam, the election news, though fundamentally important, won’t matter to the index itself in the ST. As predicted, the largest moves from the GA

4/x runoff INITIALLY have come from factor rotation. This should continue to be the case, as the street is oversupplied IVol & the index is pinned. This not only allows for idiosyncratic risk moves in constituents, but it actually FORCES extreme noncorrelation & rotation, as we

5/x have witnessed now for the past 2 days. This Vol compression will be increasingly difficult to break free from until 1/11-1/15, but the window of weakness is coming...soon the final hedges from the ‘election hump’ in Nov will expire with the Jan monthly options. Once the

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In the spring and summer of 2016, as reported by the Times, activity we traced to GRU was reported to the FBI. This was the standard model of interaction companies used for nation-state attacks against likely US targeted.

In the Spring of 2017, after a deep dive into the Fake News phenomena, the security team wanted to publish an update that covered what we had learned. At this point, we didn’t have any advertising content or the big IRA cluster, but we did know about the GRU model.

This report when through dozens of edits as different equities were represented. I did not have any meetings with Sheryl on the paper, but I can’t speak to whether she was in the loop with my higher-ups.

In the end, the difficult question of attribution was settled by us pointing to the DNI report instead of saying Russia or GRU directly. In my pre-briefs with members of Congress, I made it clear that we believed this action was GRU.