I know what you're thinking right now, "lets short volatility with $VIX at 40 here." Something that I haven't seen anybody really mention is the Vega risk from Structured Product issuance. The pre-determined barrier (usually 15-20%) that these SPs have, if breached, exposes the

Structured Products have wreaked havoc on Asia’s markets not once, not twice, but on three separate occasions. One of the worst cases which helped to exacerbate the “Black Monday" crash was in 2015. Exo-desks were jumping over one another trying to find Vega to buy once the

Today is arguably only the 2nd day of vol really outperforming on this decline. There still sits a massive tail out there if $SPX can’t stabilize in the ~4700 region. To all the people thinking “vol blew out today,” it just simply hasn’t yet. We haven’t even traded 60… There was

Does the market just keep expecting Trump to step in? I will continue to warehouse tails until a bigger mistake happens...

Over the last week we’ve seen $SPX spot/vol outperform relative to the move in spot. This period of outperformance can lead to correlation breaks (spot up/vol up) when we slide into too low of a vol and go vertical up the curve. The dynamic isn't too uncommon but I would expect

This is an incredibly tough trading environment for many folks out there. If you’re struggling right now, just know that you’re not alone. All of those core principles that you learned when you first started engaging in the markets are extremely critical right now like proper

Look how 1YR floating vol has moved from when $SPX topped in February into the local bottom on April 7th. Now compare that into today and it's carrying quite well. While I might be alone in this view, I believe that the market is underpricing downside vol here, especially left

Large shipment of physical VIX expected in 2 weeks. Looking for where I can store it.