The risk of vanna regime shift, Trades, Tariffs deadline + Intraday post (01/July)
+ Personal announcements
As you know I said last week: vol selling, and now I said that I don’t expect vol this week, rather from next week Tuesday/Wednesday window. Not a vol squeeze or something, but the trigger of a grind up.
At these points I use the spot to cash out of the positions (short vol, long delta) and roll up a small % of them only. I don’t open new longs, and buy very cheap July/August OTM put spreads (30/10 deltas are my targets now), bcs reversion model says 80%+, and I want to hedge this out… other conditions are not given yet for a net short bias.
My risk target remains August, that will be the pivot when we see if it is a bearmarket or a stagnation.
I literally don’t do anything else on this week, rather I watch how things evolve and how positioning reacts. This is especially important, bcs tariffs deadline can be ‘TACOed’…
Also two personal announcement:
1) I’m finally free, so I can continue my work on the educational section (implied vol and all of its aspect like skew, surface modeling etc, option greeks, vol trading etc.)
2) I won’t work from 24th of July to 2nd of August. But I will be here in the chat for the FOMC to comment. Also I’ll share everything that will be helpful to process the events on those days… (it’s the data mostly, not the Fed itself)
Before jumping into the intraday positioning breakdown, let me tell you why the vanna regime shift is problematic…