SPX fixed strike vol: are you noticing?
Most traders probably read the SPX tape as directionally confusing late last week.
When price whips around and fixed-strike skew stays bid, as it was the case, the market is repricing downside distribution even though spot is rallying. Volatility under the hood is shifting the scenarios. Chasing price action higher is premature.
I was taking down DELTA risk.
To me markets felt somewhat unanchored, and with this much intraday volatility, it felt like a precursor to something bigger. Intraday instability is a signal to broader instability.
It's time to recognize the market is paying for tails while retail is still buying every dip.
Inside my process, this kind of repricing is monitored quietly. Sometimes it leads to a tradable option structure. Often it leads to no trade at all. Both are valid when volatility and skew, not spot direction, are the dominant signal. Sure, you ignore these things if you like and just be a long term bull. But, if you care about drawdowns then you may want to pay attention.
We hedged out most of our crypto exposure with 1-month puts last week because we pay attentions to the signal in volatility. That saved us on the weekend drop and means we don't need to panic sell the lows.
Imran
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