Is today the start of VIX perfection?

The Market Ear Picture

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...

Source: Vixcentral


Dealers are short VIX

Things could easily get a bit "fluid" should VIX move higher quickly...

Source: Nomura


0DTE mania is alive

Trading in very short term options has continued to impress.

Source: GS


King put seller

Selling daily ATM puts remains the winning strategy...and it works until it stops.

Source: Nomura


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.

Source: Nomura


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.

Source: GS


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