Vol Surface
Posts about implied volatility levels, fixed strike vol, term structure, IV vs realized vol, and implied correlation.
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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.
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.
The setup I'm watching for a VIX play
Most traders watch VIX rip on a selloff and assume single-stock vols are doing the same thing. They're not. And the gap is one of the most exploitable patterns in index options.
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.
Every option structure exists because a simpler one failed
Every option structure exists because a simpler one failed. Take the fly-agonal. It's one of the more complex structures out there, and most people learn HOW to put it on without ever learning WHY it exists.
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.
The vol relationship few chart
The majority of traders look at vol levels. Some look at term structure. Almost nobody maps the two together. They should.
The weekend gap the market forgot
Everyone's arguing about where the SPX goes next. I'm looking at something else entirely.
VIX is lying to you
SPX makes a new local low. VIX ticks higher. Looks bearish, right? Not so fast.
The signal hiding inside implied vol
Stock hits a new high. You think it's bullish. But what's implied vol doing?
One bad day is wrecking your vol reads
One spike to 120% a year ago is still messing with your reads today.