right but Lily's whole supposition is that they can't hedge in SPY and thus the high NOPE reading.
-
do you think that SPX futures measured at 3am have lower, the same, or higher volatility than spy measured close to close?
It’s not obviously higher! There are massive distortions around the close (and futures settlement) from market-on-close orders.
-
-
But even if it were higher we are not comparing hedging at 3am to hedging at the close. We’re comparing continuously adjusting your hedge between close and open to just going “fuck it” and waiting until 9.30.
-
/ES is very liquid at 3am even /MES options are bid at 3am
End of conversation
New conversation -
-
-
EMPH say those definitely shouldn't exist.
Thanks. Twitter will use this to make your timeline better. UndoUndo
-
-
-
anecdotally seems higher, but I haven’t done the analysis. my whole point is that it depends on liquidity for two reasons. 1. Could be hard to execute without slippage if liquidity is poor. 2. the trading signal is unreliable if there is noisy relationship between futs and spy
-
I am a nerd so I just did the analysis (2013-2020). SPX volatility is higher from close to close is higher than literally any other 24 hour period you could choose. As I said, massive price distortions around the close from market-on-close orders.pic.twitter.com/KpXgV8Fu0K
- Show replies
New conversation -
Loading seems to be taking a while.
Twitter may be over capacity or experiencing a momentary hiccup. Try again or visit Twitter Status for more information.