Leveraging Market Structure through Options, Volatility, Passive flows, and Systematic Rebalancing. Research Distributed through @Hedgeye
Joined August 2021
- Tweets 5,143
- Following 825
- Followers 50,359
- Likes 23,256
2,269 Photos and videos
12h
Imagine firing half your employees for an AI model, then the kill switch gets hit with no warning.
14h
I reckon @AnthropicAI killing Fable creates increased demand for M5 minis and Studios so people can run local now that they know they can't depend on reliable access to frontier models. $AAPL $DRAM
2
7
55
8,030
Jun 12
That's one small step for a man... One giant leap for Elons bank account. $SPCX
6
12
79
9,016
Jun 11
Selling begets selling. Buying begets buying.
Short gamma with levered ETF's is a structural force to be reckoned with.
4
11
88
7,147
Jun 11
I was surprised to see it, but this dropped a fair amount yesterday.
BBG: One-month skew, a measure of demand for options to protect against a drop in the S&P 500 Index, has risen from the lowest in a year to the 72nd percentile of observations, according to data compiled by Mandy Xu, head of derivatives market intelligence at Cboe Global Markets Inc.
“Friday’s selloff was meaningful in waking up traders to looming risks in the stock market,” Xu said by phone, referring to that day’s 2.6% drop in the S&P 500 and an almost 4.8% plunge in the Nasdaq 100 Index. “There had been a lack of hedging any downside risks after everyone was chasing the rally. But now we’re seeing a reversal on an index level, which signals investors see the potential for another leg lower in the market.”
1
6
54
11,514
Jun 11
Saying CTA's are sellers "under every scenario" is nonsense.
That implies a trend model that can get the direction wrong.
As with most systematic strategies, there is an inherent path dependency involved, and how you get there can be far more important than where you end up.
4
10
70
5,526
Jun 10
$SPX breadth deteriorated alongside mega caps today.
That may seem like a small detail, but it implies realized correlations are starting to pick up, leaving less dispersion to offset the momentum unwind at the top end of the index.
Worth keeping an eye on.
6
29
135
11,815
Jun 10
Largest 5-day drawdown for the $SPX Top 50 since liberation day.
Tough few days for long beta, but could be worse.
5
10
74
6,268
Jun 9
Don’t be fooled by the close. This is called structural instability.
9
18
176
18,474
Jun 9
Last week was all about the concentration unwind, which was accelerated by levered ETF flows.
While both of those dynamics remain actively in play, the next wave of structural risk is dealers shifting meaningfully short gamma at the same time we see forced selling from CTAs.
5
33
117
10,724
Jun 8
Basically, this is the inverse of last Friday's breadth profile for $SPX. There's a lot more going on beneath the surface than meets the eye.
When index concentration gets extreme, lower correlation doesn't always translate into lower volatility.
2
14
78
7,728
Jun 8
Haven't seen any "this just killed the Bloomberg terminal" posts in awhile...
6
46
5,601
Jun 7
To be clear, last Friday was a concentration unwind exacerbated by forced selling from leveraged funds into the close.
Looking ahead, there is still a significant amount of systematic convexity built up in other areas of the market should downside momentum/ vol start to trend.
7
20
140
12,689
Jun 6
$SPX Put volume absolutely exploded last Friday, easily setting an all-time record.
17
39
177
44,002
Jun 5
Today ended a 94-day streak without a 2% or greater decline in $SPX, and, per usual, it happened in spectacular fashion.
3
20
89
19,796
Jun 5
This is a search and destroy mission.
Scoop: Now buy-side Alpha Capture is likely landing at Point72. The firm is exploring ways to tap trading intelligence from external hedge funds, as rivals such as Citadel race to collect such signals from outsiders bloomberg.com/news/articles/…
2
1
15
8,023
Jun 5
We're setting up for a meaningful MOC imbalance from levered ETF's today if this continues.
The higher they climb, the harder they fall.
16
63
6,884