Market Structure
Posts about flows, dispersion, news/macro impact, and how market plumbing shapes prices.
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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.
Blowout earnings are getting sold. That's a tell.
The NASDAQ rally has at least four tailwinds behind it. Most commentary only names one. Yes, the AI story is real. But look at what else is driving the flow.
The hidden reason NASDAQ upside keeps getting supported
There's a dynamic impacting vol markets this month and it doesn't get much airtime outside hedge fund desks.
The spike in implied correlation and what it means
SPX 3-month implied correlation just spiked to 0.40. Realized correlation? Sitting at 0.15.