SqueezeMetrics

@SqueezeMetrics

Dark pools, options, and volatility.

Vrijeme pridruživanja: siječanj 2016.

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  1. prije 9 sati

    It decided to go up.

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  2. 2. velj

    When S&P 500 Gamma Exposure (GEX) is close to zero, the subsequent month of returns takes on a bimodal distribution. There are two types of markets: High GEX and low GEX. There's no "middle path."

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  3. 31. sij

    While TRP had the early lead, VRP came out ahead, 55/45. Thank you all for voicing your opinions and sharing your insights. They *will* be used against you.

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  4. 30. sij

    To clarify: TRP captures the difference between far IV and near IV (volatility rolldown). VRP captures the difference between near IV and realized IV (theta/gamma). Answer as if they are equally easy to “harvest”: Which do you prefer?

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  5. 30. sij

    One last rude question: Previously, helped us make the useful distinction between variance risk premium (VRP) and term risk premium (TRP). If you *had* to choose which “type” of short vol premium to collect, which would you prefer? VRP or TRP? Poll is below.

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  6. 30. sij

    “Free data” was actually just a ruse to get smart people to figure stuff out for me. Success!

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  7. 28. sij

    An edge, if it exists, could come from one, the other, or both of these. But they really need to be considered separately.

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  8. 28. sij

    He who has ears let him hear... There is (or at least should be) a real conceptual distinction between variance risk premium (VRP) and term risk premium. Conflating these risks is bad. Listen to Benn.

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  9. 28. sij

    Another impolite question: If front-month vol is lower than back-month vol, you can short back-month vol for the next 30 days. With the front-month as your “signal,” you expect the back-month to decay—and to collect the difference. Is this, per se, an “edge?”

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  10. 27. sij

    VIX M1:M2 is...

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  11. 24. sij

    The dip was bought. DIX 46% ->

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  12. 24. sij

    In the near term, GammaVol (GXV) predicts volatility almost precisely in line with the market. Identical skews. It has been this way *all week.* Translation: No edge. Hoping today's shakeup will change that.

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  13. proslijedio/la je Tweet
    15. sij

    MNUCHIN: FUTURE PHASES OF TRADE DEAL TO BE ROLLED OUT WHEN GEX FLIP < 2% BELOW THE MONEY

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  14. 10. sij
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  15. 8. sij

    If you're going to assassinate folks, hurl ballistic missiles, or otherwise threaten global hellfire, be sure to do it when Gamma Exposure (GEX) is high. No biggie. GEX floor still in place.

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  16. 26. pro 2019.

    Two *more* days of historically significant dark pool buying across the S&P 500. Wow. ->

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  17. 20. pro 2019.
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  18. 16. pro 2019.

    Good job, everyone.

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  19. 13. pro 2019.

    DIX 47% -> Yowza.

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  20. 3. pro 2019.

    Tonight's vertical skew charts: 1-day volatility pretty fairly-priced. Bold red line higher than bold green says mean return is negative. 6-day modestly overpriced. Bold lines together says mean return is 0%. 21-day is just saying go ahead and sell puts. Mean returns positive.

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