Vol Surface
Posts about implied volatility levels, fixed strike vol, term structure, IV vs realized vol, and implied correlation.
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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.
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.
70x on a 3-month option I didn't buy
The semis ETF rallied about 80% off the lows over a few months. Most people remember that move.
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.
One of these three skews is wrong
Three asset classes, three different reads on the same macro picture. One of them is probably mispriced.
How I pick a short-theta structure by regime
How I think about picking a short-theta structure depending on the regime.
A diagnostic for spotting bad IV on your platform
A quick diagnostic anyone can run on an options chain to spot when the model is lying to you.
The cleanest way to think about implied vol
The cleanest way I've found to explain why higher implied vol means more time value.
Two under-the-hood metrics I track on single stocks
What these give you that a price chart doesn't is the footprint of the flow. Options flow is exploding right now...
A chart setup is only half a signal
The vol surface is the bit that turns a chart setup into an actual trade.
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.
How to tell if smart money just hit the tape
Most retail watches the flow. They look at the print, see the size, and try to guess what someone knew.