ANNOUNCEMENT:
Tomorrow, there will be no intraday posts.
Also, I’ll be on holiday from 28th of June to 4th of July. There will be only a weekly post on 27/June.
Weekly post:
Yesterday, the VIX expiration worked out exactly as I expected and as weekly positioning forecasted.
Here is the conclusion from yesterday’s post:
“This is a heavy net short call wing trade with net long charm exposure, which is driving the VIX toward the observed 18 pin. Post-SOQ, this creates a fragile volatility regime driven by added convexity in the near term. However, the direct impact remains relatively muted because both the beta and conditional beta are comparatively small. As noted in the weekly post, customer vanna positioning exhibits a strong long skew for the week, but particularly for today.
That said, we can see that vomma demand is still present and will persist, though it is scaling cautiously. Heading into the next window, the VIX falls into a range trap with higher tail premiums. Therefore, the range will remain wider, and the VIX will trade at a premium relative to RV.
Barring an exogenous vol event, this regime can artificially prop up the SPX. Beyond June, positioning becomes notably less confident.
From a macro perspective, the current stagflationary melt-up is almost perfectly retracing the 1970s playbook. The SPR is low, the tank bottom is approaching—essentially, we are tracking toward the autumn of 1973.
More detailed analysis on this later.”
Very important to keep in mind.
Let’s look at today’s positioning…
