Insights
Daily market commentary from Imran Lakha. Skew, vol surfaces, hedging, and what's actually moving the tape.
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How much did your hedges give back?
On a big rally week, the question I ask is how much my hedges gave back, and whether that’s about right.
Does the skew agree with the move?
After a big move, I want to know whether skew agrees with it.
What I watch before I take hedges off
After a big drop, the thing I watch before I unwind hedges is how vol behaves on the next leg down.
What pumped skew is telling you about dealers
When skew gets really pumped, it’s telling you something about what end users have already done.
I hate the term guru.
I’ve got no interest in predicting the future and getting everyone to copy my trades.
Gamma and vega age differently
Gamma and vega age differently.
The hidden cost in a risk reversal
A risk reversal hedge can be flat vega, small short gamma, and still cost you decay every day.
A gamma wall means nothing on its own
I don’t think a gamma wall means much unless you compare it to how much the stock actually trades.
No buy signal on NVDA yet
Last week I flagged a skew divergence on NVDA to members, right as the stock hit new highs above 240.
MSFT keeps bumping into 550 call wall
MSFT rallied back to the highs at 550 and got rejected again.
Same rally, two different stories
Both big retailers, COST and WMT, have had 10% rallies into overbought territory. They’ve both run into their call wall zones.
Why the VIX works as a hedge, and when it doesn't
The VIX mostly works as a portfolio hedge because of the skew.
Sell vol in bonds, buy it in gold
A lot of names look oversold on my compass right now.
The 0DTE broken wing fly
When I want to trade an intraday directional view, I tend to reach for a 0DTE broken wing fly.
Hedge it so you don't have to sell it
The reason to hedge something you love is so you don't have to sell it.
Rolling a winner when vol's caught a bid
When a single stock rips, the vol catches a bid alongside it. That's what makes rolling a winner awkward.
Monetising a put hedge in a vol spike
A specific play from the hedge-management drawer.
The premium is the stop
I generally don't use stop losses on long option positions.
Why 0DTE volumes went through the roof
I think a lot of people arrived at 0DTE from the same doorway I did.
Follow-up on Saturday's SMH note
SMH broke out on Monday