Lol the implied vols on $VIX ETPs ( $VXX & $UVXY) skyrocketing, with the 2M 25 delta calls IV higher than March 2020 & Volmageddon, even with UVXY having a 2x leverage back then. These are mainly retail products, which makes me wonder... twitter.com/FadingRallies/stat

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Breached the lower edge of $SPX weekly expected 1StdDev move yesterday. Clearly plenty of positioning tied to this level, the failed attempts to defend it triggered dynamic hedging flows across the complex. Remain below & these reflexive flows can exacerbate forced liquidations t.co/Kwo0fot0M9
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RT: @Stretching Spreads
Despite the breach last week, less premium priced into $SPX weekly 1StdDev move this week with ±73.49, a lot of breach/tags past few weeks... Moreover, vols have be

Multiple Vol dynamics at play, but 1 reason for the relative strength in $VIX ETPs today( $VXX, $UVXY...)is their increased Vega exposure relative to VIX futures Vega exposure. VIX futures Vol supply tends to unwind faster, which can synthesize outsized Vol demand during selloffs twitter.com/FadingRallies/stat

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Despite the breach last week, less premium priced into $SPX weekly 1StdDev move this week with ±73.49, a lot of breach/tags past few weeks... Moreover, vols have been catching a strong bid all morning & seeing some short front end vol unwinding. Liquidity has been getting thin... twitter.com/FadingRallies/stat

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Breached the upper edge of $SPX 1StdDev expected move yesterday, but didn't really see much dynamic hedging flows on the break. Defended instead & spent today trading around it, clearly a lot of positioning tied to this level. Vols have been offering clues last night & today. twitter.com/FadingRallies/stat

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The amount of hidden negative convexity in equity markets is ominous. Passive flows within highly concentrated indexes are elevating correlations & ruining diversification. Current option flows (Weaponized Gamma), deteriorating market depth,&fat vol tails creates a fragile market twitter.com/FadingRallies/stat

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Despite the shortened week, more premium priced into this week's $SPX 1StdDev expected move with a solid ±82.51 (some of it is likely due to inauguration related event risk). Call heavy OpEx gamma rolloff creates room for vol expansion, here are some 'gamma levels' for this week. twitter.com/FadingRallies/stat

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...and we pretty much tagged the lower edge of the 1StdDev expected move this morning with a fragile OpEx mkt structure ;) Now the focus will be on the vulnerabilities from the gamma rolloff, & tying the outsized impact from these flows w diminishing liquidity

Enjoy your weekend twitter.com/FadingRallies/stat

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RT: @FadingRallies ±77.03 priced in for this week's 1StdDev expected move, yet $SPX has traded flat so far as flows tighten into OpEx. Sensitive mkt structure thru tomorrow–possibility of tagging a 1StdDev edge remains. However, my focus is on the window of fragility following OpEx gamma rolloff... twitter.com/FadingRallies/stat

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±77.03 priced in for this week's 1StdDev expected move, yet $SPX has traded flat so far as flows tighten into OpEx. Sensitive mkt structure thru tomorrow–possibility of tagging a 1StdDev edge remains. However, my focus is on the window of fragility following OpEx gamma rolloff... twitter.com/FadingRallies/stat

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