Insights
Daily market commentary from Imran Lakha. Skew, vol surfaces, hedging, and what's actually moving the tape.
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Gamma and vega age differently
Gamma and vega age differently.
The hidden cost in a risk reversal
A risk reversal hedge can be flat vega, small short gamma, and still cost you decay every day.
A gamma wall means nothing on its own
I don’t think a gamma wall means much unless you compare it to how much the stock actually trades.
No buy signal on NVDA yet
Last week I flagged a skew divergence on NVDA to members, right as the stock hit new highs above 240.
MSFT keeps bumping into 550 call wall
MSFT rallied back to the highs at 550 and got rejected again.
Same rally, two different stories
Both big retailers, COST and WMT, have had 10% rallies into overbought territory. They’ve both run into their call wall zones.
Why the VIX works as a hedge, and when it doesn't
The VIX mostly works as a portfolio hedge because of the skew.
Sell vol in bonds, buy it in gold
A lot of names look oversold on my compass right now.
The 0DTE broken wing fly
When I want to trade an intraday directional view, I tend to reach for a 0DTE broken wing fly.
Hedge it so you don't have to sell it
The reason to hedge something you love is so you don't have to sell it.
Rolling a winner when vol's caught a bid
When a single stock rips, the vol catches a bid alongside it. That's what makes rolling a winner awkward.
Monetising a put hedge in a vol spike
A specific play from the hedge-management drawer.
The premium is the stop
I generally don't use stop losses on long option positions.
Why 0DTE volumes went through the roof
I think a lot of people arrived at 0DTE from the same doorway I did.
Follow-up on Saturday's SMH note
SMH broke out on Monday
The vol level picks the shape
Quick one on structure selection.
If you've got a small account, don't hedge it
Something I'd say more often if I got asked more often.
Grinding into new highs on falling vol (AAPL case study)
You don't need GEX data
You don't actually need a GEX data feed to know you're probably in a long-gamma market.
Trust the tape, not the number
If dealers were really short $10 billion of gamma here, a bad day in the S&P would be down 1.5% or more.