What are the core hedging flows, and why are they important? Let's start with Gamma. As a MM, Gamma tells me how my position's Delta will change with the index. (dDelta/dSpot) Gamma doesn't tell us about direction- it tells us about MM behavior. (a thread)

Trump is a structural bid to vol of vol continue to fade reality at your own risk.

Strange day, indeed.

We are trading $5475 in the overnight (SPX equivalent) with a low of $5450. Was it worth it, bulls? Congrats if you understood why long tails / VIX convexity was the play. (Technically, 1-3dte gamma, bought at today's close, will probably buy you a new home, too)

Skew marches higher. "Normalizing," —with room to run higher for longer, if you look farther back than the '22-'24 vol regime. h/t UBS

Someone told me “it’s bearish if the neckline is broken”

The owner of my former firm used to passionately insist that we assume all our counterparties to be sophisticated. He’d drill the idea that anyone building a position on the vol surface knows something we don’t— and is probably right. “Former” firm ✅

Pay attention. Scrolling through hot takes will not help you navigate this environment.

Pulse check

*BBG: MORGAN STANLEY NOW EXPECTS NO INTEREST RATE CUT FROM THE US FED IN 2025 VS PRIOR FORECAST OF ONE 25 BPS CUT IN JUNE

Let's go, VIX... time to meet your maker.

confirmed.

Shallower book depth today, and passive selling is keeping a stranglehold on this nascent rally attempt. Roughly 90-100 ES for sale every 5 minutes, just to keep up with the passage of time vs the MM long puts below spot here in the SPX. I call this the "undertaker"

RUSSELL 2K FINALLY TRADING BELOW PARITY

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Not bearish “Transitional” Still a tough convo

Bulls just can’t catch a break