because ultimately the delivery obligation is spy... if spy close to close vol is 20 but /es vol measured at 3am every day is 25 then I’ll make more money by hedging at spy close
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Replying to @mpp75214 @macrocephalopod and
right but Lily's whole supposition is that they can't hedge in SPY and thus the high NOPE reading.
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Replying to @FREAK0NAUT @mpp75214 and
I have no idea tbqh, that's just an idea I had.
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Replying to @nope_its_lily @mpp75214 and
i know, this is a thread of my criticisms. which I was asking
@macrocephalopod to confirm or deny. the EOD imbalance supposition just doesn't make sense to me. But.. again... I am an idiot.pic.twitter.com/hhPgicpyov1 reply 0 retweets 0 likes -
Replying to @FREAK0NAUT @nope_its_lily and
Wait was I supposed to respond to this
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Replying to @macrocephalopod @FREAK0NAUT and
I didn’t follow the whole thing but I think it’s pretty clear that if you’re making markets in SPY options, you would hedge your delta with ES futs outside market hours.
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Replying to @macrocephalopod @FREAK0NAUT and
has to depend on liquidity though... you wouldn’t hedge if the market were 1% wide right?
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Replying to @FREAK0NAUT @mpp75214 and
I literally can’t think of a market that is more liquid than EA futures.
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Replying to @macrocephalopod @FREAK0NAUT and
ea futures way more liquid when stock market open than not
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Even when the market is open, all the price discovery happens in futures. SPY is a sideshow. Don’t get me started on the constituents.
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