Insights
Daily market commentary from Imran Lakha. Skew, vol surfaces, hedging, and what's actually moving the tape.
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Alpha book up 5.22% on a strong theta week
Weekly update on the Alpha Gen book. Strong week. Alpha Gen up 5.22%, driven almost entirely by the Theta sleeve.
How MMs killed the meme squeeze
Two mechanics are doing most of the work. Both live on the vol surface.
Why I'm playing NVDA back up here
NVDA has sold off hard. The thing I keep looking at is how calm the options market is staying about it.
Why steep put skew is a gift to gold buyers right now
Quick observation for anyone wanting to add to their gold exposure at lower levels.
A 99th percentile NASDAQ vol spike is the fade
Vol spikes on down days usually become the setup for a crush. Read the mechanics before you chase the move higher.
The cheap asymmetric vol is sitting in bonds
VIX is back around 20. That's where the crowd is putting its vol bets.
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.