Insights
Daily market commentary from Imran Lakha. Skew, vol surfaces, hedging, and what's actually moving the tape.
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The Alpha Pod is open until the 23rd. Here’s a morning of it.
I’d rather show you than tell you.
The market still schools you + Alpha Pod free access
I had a rough one yesterday.
Interview w/ Theta Profits + Alpha Pod Free Access
I sat down with John at Theta Profits...
Am I up for playing with fire today?
You’re playing with fire in 0DTE, whatever you do. So I’ve got a few questions before I touch it.
The gamma number at the open isn’t the one that counts
You look at S&P gamma in the morning and there’s a billion or two. Then by noon or 1 o’clock there’s like $10 billion.
Last week, one put fly did most of the work
Here’s how the Alpha Generation Portfolio finished last week: up 3.04%, thanks mostly to one well-timed SPX put fly.
What was priced in for Amazon?
Before an earnings trade, the first thing I look at is how much the market thinks the stock will move. Then I look at how much it’s actually moved before.
How much did your hedges give back?
On a big rally week, the question I ask is how much my hedges gave back, and whether that’s about right.
Does the skew agree with the move?
After a big move, I want to know whether skew agrees with it.
What I watch before I take hedges off
After a big drop, the thing I watch before I unwind hedges is how vol behaves on the next leg down.
What pumped skew is telling you about dealers
When skew gets really pumped, it’s telling you something about what end users have already done.
I hate the term guru.
I’ve got no interest in predicting the future and getting everyone to copy my trades.
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.