Too good to be true
Are we seeing the start today?
Source: Equity Clock
Not your "normal" Friday VIX
VIX term structure moving higher on a Friday is not the "normal" VIX you are supposed to see. Early signs of stress picking up...
Dealers are short VIX
Things could easily get a bit "fluid" should VIX move higher quickly...
0DTE mania is alive
Trading in very short term options has continued to impress.
King put seller
Selling daily ATM puts remains the winning strategy...and it works until it stops.
What could possibly go wrong?
QQQY, the first put-write ETF using daily options (0DTE) to seek enhanced income for investors:
"The strategy’s objective is to generate outsized monthly distributions by selling option premium on a daily basis. The fund uses daily options to realize rapid time decay by selling in the money puts with 0DTE."
You don't see this at market lows...
Size gamma roll-off
Nomura's McElligott on today's gamma roll-off: "SPX Gamma roll-off for ALL STRIKES +/- 10% of Spot shows a jarring amount of the overall Gamma set to come-off, tied for the largest % roll-off of any SPX historical Quarterly Op-Ex in our history dating back to 2020". Things are about to move more freely.
Will it "kick in"?
GS advises buying VIX calls over SPX puts, as their EQMOVE model indicates that there is favorable pricing for upside asymmetry.
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