DOTRADING

Market Structure > Opinions. 📊 I filter the noise to deliver high-probability Macro insights and institutional data. 🎯 Focus: HTF Levels & Global Liquidity. 🚫 No hype. No noise.

@TradeVolatility Exactly. When Charm support rolls off, the market loses a key stabilizing flow. If VOLI and VVIX stay firm as Charm fades, liquidity can thin out fast and intraday moves become far less linear.

Billion of dollars in Charm flows helped keep the market up this week and tomorrow they go away. $SPX

Last day to trade the AM‑settled $SPX expiry. With the Fed now behind us, these positions rolling off can still shift dealer hedging enough to distort the surface and thin out liquidity into the close.

@MichaelPBento Backwardation into the Fed is always interesting, but the real tell is how the surface behaves. If VOLI and VVIX don’t ease with the front-end, any late‑day $VIX crush can still produce unstable liquidity tomorrow.

VIX is once again backwardated. Heading into the Fed like this, I would not be surprised if we get a slight VIX crush into EOD that produced a bull trap up move on SPY that gets slammed down hard tomorrow.

@Ksidiii Exactly. People underestimate how path‑dependent convexity really is. Vol can “perform” on paper while the surface and dealer hedging make the path almost impossible to hold.

No clue if markets go up, down, or sideways. But throughout this recent debacle, it has been clear to me that a lot of folks do not realize that volatility is very… well….volatile. When people look at charts and data from prior periods where volatility performs well, they are subject to a bias that makes it seem like it happens quickly and just goes straight up. But in every volatility regime, vol itself is extremely choppy and difficult to hold. If you are seeking to reap the benefits of convexity, the path is never easy. And if you are not comfortable with that, you probably should not be trading it in the first place as it will probably mess with your mental framework and create more harm than good.

@leadlagreport VIX cooling is one thing, but the real tell is whether VOLI and VVIX follow. Headline vol can compress while the surface still signals fragile liquidity.

$VIX near 27. Not panic. Not complacency. The market is pricing in uncertainty it can't resolve. Iran, oil, the Fed, private credit. Pick your poison.

NFCI increased to –0.49 in the week ending March 13. Risk indicators contributed –0.24, credit indicators contributed –0.14, and leverage indicators contributed –0.09 to the index in the latest week.

@MikeZaccardi VIX cooling is one thing, but the real tell is whether VOLI and VVIX follow. Headline vol can compress while the surface still signals fragile liquidity.

$VIX cooling further to 22 this morning

@VolSignals @hekyoda TDEX holding near 21. When tail pricing stays elevated while the front of the surface compresses, it usually means the market is hedging structural risk, not trading noise.

@hekyoda x.com/volsignals/sta…

VIX 22 today Down from 27 And markets literally haven’t moved.

VOLI remains elevated. When the ATM surface refuses to compress, liquidity tends to thin out even if headline vol looks calm.

@vixologist @ScottNations The interesting part is how tail pricing stayed elevated even as front‑end vol compressed. When VOLI and TDEX both sit above their medians, liquidity tends to thin out faster than spot suggests.

@ScottNations @Do_Trading Something like this??

Thanks to Saqib Ahmed of Reuters for highlighting the recent activity in TDEX. US stock market crash fears ease even as Middle East war rages on reuters.com/business/us-st…

TDEX holding near 21. When tail pricing stays elevated while the front of the surface compresses, it usually means the market is hedging structural risk, not trading noise.

$VIX expiry tomorrow and quarterly OpEx on Friday. Two gamma resets in 48 hours. When the surface rolls and dealer hedging shifts twice in the same week, price action becomes a function of flows.

@vixologist @Cboe The 9D refusing to compress is the real tell here. When the front of the term structure stays sticky into event risk, liquidity tends to thin out faster than the curve suggests.

Vol through the lens of @CBOE vol indices: better than 3/6; not as good as 2/27; pesky 9-day VIX refusing to cooperate.

@jam_croissant @joemccann The vanna‑charm window into Wednesday is doing most of the work here. When vol compression is flow‑driven, liquidity feels stable, until the post‑OpEx re‑hedging hits.

@joemccann Hmm 🤨 … clearly u haven’t been following along. Vol compression is the name of the game until Wednesday. Vanna Charm Flows are at their peak 🏔️ Monday morning into Wednesday of quarterly Opex’s.

Can someone get a locate on @jam_croissant?

@kurtsaltrichter Negative gamma doesn’t just amplify moves, it changes the quality of liquidity. When dealers are short gamma for weeks, every acceleration becomes self‑reinforcing and intraday liquidity gets thinner.

The $SPX has now been stuck in negative gamma for 3 straight weeks. Down moves accelerate. Rips fail faster. Volatility stays elevated. This isn’t a trending tape. It’s a liquidity vacuum.

Volatility isn’t reacting to the headlines anymore. $VIX and VVIX are both signaling that the market is pricing uncertainty in the tails, not the narrative. When vol stops following the news cycle, it usually means positioning is doing the talking.

@vixologist With $VIX expiry on Wednesday and OpEx on Friday, the surface is being pulled in two directions at once. When gamma resets twice in 48 hours, price becomes a function of hedging flows...

The bid for tail hedges could be seen in mid-Feb and peaked for now on 3/6. Meanwhile, ATM IV (VOLI) remains elevated. Big week with VIXperation on Weds and quarterly OpEx on Friday. Relax at your own risk.

@GlobalMktObserv With $VIX expiry on Wednesday and OpEx on Friday, the surface is being pulled in two directions at once. When gamma resets twice in 48 hours, price becomes a function of hedging flows; not narratives.

‼️Is volatility about to spike, or is a massive squeeze coming? Over 40% of the total exchange volume on Thursday was driven by ETFs. The last 9 sessions have all exceeded 35% of the tape, the 2nd-longest streak on record. The only longer streak was 10 sessions during the 2020 CRASH, when the VIX surged above 70. What stands out is that volatility remains notably low relative to the outsized ETF activity compared to previous episodes. This comes as hedge fund gross leverage is near an all-time high at 307%, driven by extreme shorting through ETFs, making the market extremely vulnerable to a squeeze. Any positive news could trigger a massive squeeze given this positioning.

VIX expiry Wednesday + monthly OpEx Friday = a full gamma/vanna reset inside 48 hours. Dealers lose their existing profile and must rebuild exposure into a surface that’s still elevated. That’s when flows dominate price.