Convexity.eth

@Alpha_Ex_LLC What’s the VIX TS look like

Almost 100% De-escalation Priced in to SPX vol...options provide the right to change your mind... Below, the termstructure of SPX implied vol as of Friday's close. Right next to it, the two trading days before 2/28, when the the conflict began. It's been a frenetic 2 months, to be sure. SPX 2m realized vol rose from 12 to 16. The VIX surpassed 31 on an intraday basis. The Oil VIX reached its highest level ever, outside of the GFC and Covid crashes. The correlation of crude to major macro proxies surged as crude became the VIX across markets. The readthrough on the negligible increase in implied vol is that this conflict is quickly fading into the background. Is that too optimistic? Current vol on the SPX, nearly back to where it began, is essentially a free option that expresses doubt that that can happen.

@KrisAbdelmessih @Alpha_Ex_LLC @_MathAcademy_ You rock Kris - thank you

Moontower #307 🌙math in the car with kids 🌙subway platform riddle for demographics 🌙trader quick math 🌙from straddle to gamma moontower.substack.com/p/subway-platf… refs: @Alpha_Ex_LLC @_MathAcademy_

@dampedspring Would u sell some puts here?

If you sold long stocks on Friday and bought 10d 3 month calls at equal notional you are going to underperform badly in most right tail events. Doing it delta neutral is highly likely to get destroyed in most right tail paths. These sorts of trades need a right tail event something that rivals 4/9/25 taco like melt up. Otherwise they need left tails. Buying 1-6 month OTM calls is NOT the trade. And my whole feed is doing that trade at spiky vols

@DeepDishEnjoyer Brother it’s down 25% in the last month

think bitcoin is being a little too euphoric here

@Alpha_Ex_LLC Caleb Williams

Who is your favorite “Iceman”?

@KrisAbdelmessih Awesome post - ty Kris

Nigel James on this Marquette team

I’d like to contribute $100 directly to Nigel James’ NIL fund next year. @mooof23 will donate $100 for every RT this gets. This is legally binding.

@Glenn_Diesen what’s your take?

The US is bombing Venezuela in an actual unprovoked attack. Many excuses will be given over the next days: Narco-terrorism; Hezbollah, Hamas, Iran and others "operating" in Venezuela; democracy promotion backed by the Nobel Peace Prize etc.

@bankingslut @cmsholdings hahahah wow

Chamath, you couldn’t grasp munis, CDS, or capital markets if they were lubed up & shoved into your ass. States can’t file Ch.9. CA would raise taxes, strip services, and crush vendors and pensions before skipping a GO coupon. Your “10-30% tax fraud” point is just All In podcast slop for high finance incels. You’d be bleeding negative carry in a CDS pit and betting against the United States, Fed, and Treasury. There is no “asymmetric 10-1000x trade”. You’re trying to cosplay as Soros but you just look like a poser.

@DeepDishEnjoyer Legend - ty p4

@0xPatBateman it depends on a LOT of things and it's more helpful to think in terms of impact than edge, but here's a place to start: cfm.com/wp-content/upl…

because despite what some options traders incorrectly think customers are not putting on vol trades! they are putting on trades with packaged risk - both delta and vol in tandem - and there is juice in providing to both. moreover, there is a lot MORE juice in the delta piece

@DeepDishEnjoyer Edge charged for each scale**

@DeepDishEnjoyer Help me picture the size/edge curve for delta and Vega risk? How does the edge each charged for each scale

@KrisAbdelmessih What type of gamma exposure are you left with ?

Bought some IBIT calls and sold silver puts, roughly theta neutral

@DeepDishEnjoyer I’m going to go with: then no one would make markets on or probably ever use Kalshi because it is perfectly efficient It’s like paying $1 for a chance to win $2 betting in heads in a coin flip

@0xPatBateman Give it an honest try at least

junior trader interview question: why is this a nonsensical argument! provide a token example to illustrate your case

@TheFlowHorse 1x2 call spreads

For the options nerds and galaxy brains, what’s the clean way to express “silver blows off” from here? Straight naked puts feel like lighting money on fire when IV percentile is this elevated. So what’s the better expression, sell call spreads into the froth, or buy put spreads? Chart from moontower.ai

The whole thing where Lane Kiffin has to decide on LSU prior to the bowl games seems totally absurd.

@intangiblecoins @tether @galaxyhq @maplefinance @Two_Prime @coinbase @hodlwithLedn @sygnumofficial @unchained @ArchLending @glxyresearch Who and what does tether lend too? I thought they mostly bot USTs with deposits

the cefi crypto lending league table is out 👀 crypto lenders had an aggregate loan book of nearly $25 billion outstanding at the end of Q3 2025, the highest since the Q1 2022 peak proud of this chart and the transparency of its contributors. big change from prior market cycles tether 🥇 nexo 🥈 galaxy 🥉 maple two prime coinbase ledn sygnum unchained arch +5 others

@Alpha_Ex_LLC No one wants to be short the winner of the AI race and the subsequent move higher that the decisive winner would undergo

Below, a chart of the 2 year implied volatility by delta for $GOOG and $NVDA …8.3T of combined market cap and both have Aa2 ratings from Moody's with tons of cash and FCF. Credit risk, often a driver of volatility in an equity, is not a thing that comes to mind. But 2 year implied vol for NVDA is 46, for GOOG it's 39. Why are these long-dated option prices so high? NVDA's market cap is 40x that of GM and F. Their 2 year implied vols are around 34. The carmakers are rated BBB, the bottom rung of IG. For these companies, unlike the tech megacaps, debt can be an issue. GOOG is up 68% this year, adding 1.6T of market cap. Two-year 120% implied vol is up 12 at the same time. This is a MASSIVE increase. To give you a sense, a 2y 120% call at 39 vol costs 64% more than it does at 27 vol (at the start of this year). Why the huge increase in premiums even as the stock is doing so well? My take is that the market cap of the tech behemoths is so large and has increased so quickly that the options market is struggling to provide insurance against loss on them. The option price may clear at a high level because there’s not enough natural capital ready to bear risk of loss. All else equal, a higher premium is needed to bring sellers to the table. There's almost an options market equivalent of what's happening in the broader insurance industry ... Premiums are simply higher and it's not necessarily a result of risks that are materializing today. It's more about compensation for future uncertainties and, related, a shortage of capital.