Market Structure
Posts about flows, dispersion, news/macro impact, and how market plumbing shapes prices.
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The S&P dealer position has flipped into OPEX
The S&P dealer position has inverted, and that changes what the drift into OPEX usually looks like.
Why I ignore GEX-by-strike numbers
The metric I actually use for reading dealer gamma at each strike is net position size in contracts
Positioning size without liquidity context is noise
A flow is only as powerful as the liquidity that has to absorb it. People forget that when they read positioning data.
Google is the tell for the rest of Mag7
The semis just handed us a warning about tech earnings. Google is the next name to watch to see if it confirms.
One dealer position explains both VIX mechanics
The VIX usually bleeds into its expiry. When it does go, it goes violently. The same dealer positioning explains both.
The vol supply that never went away
A story from my market-making days that shapes how I still read index vol today.
The VIX is a one-way street
The VIX is the most one-sided book in the entire market. Once you see it, a lot of the VIX's odd behaviour starts to make sense.
The skew is one of the best early-warning systems
The volatility skew is one of the best early-warning systems in markets.
Vol catching a bid on META's rally is the tell
Vol is catching a bid on the way up.
AAPL is at the highs but the surface says capped
AAPL is a clean example of a stock that looks strong on the chart but is quietly capped underneath.
Why tech vol isn't going back to old baselines
Every day into the close, there's a mechanical flow running through the tape.
The vol surface isn't buying the rally
Something worth sitting with.
How MMs killed the meme squeeze
Two mechanics are doing most of the work. Both live on the vol surface.
The SPCX vol crush is underway
Following up on the SPCX vol crush thesis.
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 equity skew finally caught up
Last week I was banging the drum about equity skew being way too cheap.
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 invisible gamma driving these parabolic moves
A market-structure read on why these parabolic moves are getting more violent.
This sounds wrong but it's a reality check
If a big call purchase is a stock-replacement trade, is it bullish or bearish? Bearish. The buyer is reducing his net delta, not adding to it.