Vol Surface
Posts about implied volatility levels, fixed strike vol, term structure, IV vs realized vol, and implied correlation.
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Every market maker's recurring fear
Every market maker I know has the same recurring fear
The volatility skew as a conditional statement
The volatility skew is a conditional statement. Every point on it is the market's expected vol if the underlying actually gets to that strike.
What the AAPL surface was telling me into earnings
AAPL has been on fire. The call wall has shifted up to 350, which tells you positioning has moved with the rally.
On the shopping list: October vol
My base case for the next few weeks is boring. Markets drift up into mid-August. The low-vol regime just carries on.
The earnings calendar trap on retail platforms
The single biggest mistake I see on earnings calendar spreads makes a good trade look twice as good as it actually is.
How I teach options
Quick note on how I teach options.
Bitcoin's options are getting bullish ahead of the price
Bitcoin's options are quietly getting bullish before the price is. The signal sits in the skew.
Why Friday-Monday calendars are a trap
Something I've stopped doing recently: Friday-Monday calendar spreads.
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.
Your total Vega number is probably lying to you
If you run a multi-expiry options book and you're looking at one total Vega number, that number is probably lying to you.
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.
Why I'm playing NVDA back up here
NVDA has sold off hard. The thing I keep looking at is how calm the options market is staying about it.
Why steep put skew is a gift to gold buyers right now
Quick observation for anyone wanting to add to their gold exposure at lower levels.
A 99th percentile NASDAQ vol spike is the fade
Vol spikes on down days usually become the setup for a crush. Read the mechanics before you chase the move higher.
The cheap asymmetric vol is sitting in bonds
VIX is back around 20. That's where the crowd is putting its vol bets.
The asymmetry in spot-vol that catches people out
Vol often collapses faster on the bounce than it rose on the sell-off.
The SPCX vol crush is underway
Following up on the SPCX vol crush thesis.