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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."pic.twitter.com/pJ4HyqMlGz
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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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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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One last rude question: Previously,
@bennpeifert 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.pic.twitter.com/flAYCcPWz7
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“Free data” was actually just a ruse to get smart people to figure stuff out for me. Success! http://sqzme.co https://twitter.com/nextSignals/status/1222907142136422400 …
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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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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.https://twitter.com/bennpeifert/status/1222267013709496320 …
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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?”pic.twitter.com/rxbTqypIrM
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The dip was bought. DIX 46% -> http://dix.sqzme.co
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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.pic.twitter.com/CuDOUZjBzI
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SqueezeMetrics proslijedio/la je Tweet
MNUCHIN: FUTURE PHASES OF TRADE DEAL TO BE ROLLED OUT WHEN GEX FLIP < 2% BELOW THE MONEY
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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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Two *more* days of historically significant dark pool buying across the S&P 500. Wow. -> http://sqzme.co pic.twitter.com/hTOSzHMrl7
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And 46.6% today. Merry Christmas.https://twitter.com/SqueezeMetrics/status/1205619237995372549 …
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DIX 47% -> http://dix.sqzme.co Yowza.
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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.pic.twitter.com/EMFFUMMs07
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