Insights
Daily market commentary from Imran Lakha. Skew, vol surfaces, hedging, and what's actually moving the tape.
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The asymmetry in spot-vol that catches people out
Vol often collapses faster on the bounce than it rose on the sell-off.
The risks that actually end careers
The first-order Greeks are the easy part. The small stuff is what ends careers.
The SPCX vol crush is underway
Following up on the SPCX vol crush thesis.
Alpha book up 3.71%: Delta did the work
Decent week. Alpha Gen book up 3.71%, almost all of it from the Delta sleeve. Long-only also recovered nicely.
What 100% IV on launch day actually means
A market maker pricing the opening chain on a brand-new, retail-loved name has no realised vol history to lean on. He's looking at a flood of one-way call demand coming at him.
SpaceX options launch Tuesday. Here's the mechanic.
SpaceX options launch on Tuesday. The setup is worth understanding before the chains open.
The 1-2 week window in VIX worth knowing about
There's a clock in the VIX cycle worth knowing about.
The equity skew finally caught up
Last week I was banging the drum about equity skew being way too cheap.
70x on a 3-month option I didn't buy
The semis ETF rallied about 80% off the lows over a few months. Most people remember that move.
When the surface goes parabolic with the spot
A stock rallies 20% in two weeks. Call skew runs from neutral to 7-8 vols into calls. Fixed-strike vol is bid only across the surface.
The hedging trap that catches you in month four
Hedging a long-only book sounds simple until you've been doing it for three months and the market has only gone up.
One of these three skews is wrong
Three asset classes, three different reads on the same macro picture. One of them is probably mispriced.
How I pick a short-theta structure by regime
How I think about picking a short-theta structure depending on the regime.
The invisible gamma driving these parabolic moves
A market-structure read on why these parabolic moves are getting more violent.
A diagnostic for spotting bad IV on your platform
A quick diagnostic anyone can run on an options chain to spot when the model is lying to you.
The cleanest way to think about implied vol
The cleanest way I've found to explain why higher implied vol means more time value.
The mindset shift that makes options click
A mindset shift that changes how you think about trading options.
Two under-the-hood metrics I track on single stocks
What these give you that a price chart doesn't is the footprint of the flow. Options flow is exploding right now...
Why I'm not buying VIX here yet
When VIX beta collapses, that usually suggests VIX is a buy. But there is something else...
Why I keep a 20-30% hedge ratio...
Before the end of the decade, the market is likely to have a problem. The problem is that these things take a ridiculously long time to actually materialise though