Crossvol

@abnormalreturns Could be interesting : crossvol.com/en/blog/china-…

🆓 Thursday links: ETF competition, the SpaceX IPO, and AI-powered podcasts. abnormalreturns.com/2026/05/21/thu… chart: tinyurl.com/n6695j4v

Bloomberg : ▪The 2061 UK government bond has slid to a record low, causing investors who bought it at an historic discount to face a loss if they cash out. ▪Investors have the alternatives of holding the bond for the foreseeable future or leaving it to the next generation, as selling now would crystallize their capital loss. ▪Some investors still see the bond as attractive due to its tax advantages, and it may yet pay off if there is a sharp economic downturn or lower inflation. By Georgia Hall and Greg Ritchie 05/22/2026 11:00:00 [BN]

Premium sustains when there's理由. What's the term structure telling you? If short-dated vols are bid vs. backend, it's event flow, not a structural short. Selling VRP into that = pain trade.

NDX implied vol sitting at 22% vs 16% realized. Buying protection at a 38% premium. This gap rarely sustains. Look for mean reversion

SPX vol premium at 52%. Implied 15% vs 10% realized. Something has to give.

Net gamma $1301M. DEFCON 2. When dealer positioning gets this crowded, it doesn't end well.

NQ 0.2% from the 29326 flip. Positive gamma has this tape glued. Needs a real catalyst to break loose.

Call wall 7500, put wall 6800. Net gamma $1543M. Dealers own the range until OI rolls. Trade the edges or get chopped.

NQ 1.3% from the 29326 flip. Positive gamma keeping this tape glued. Won't break free without a catalyst.

CL: 59% realized, 49% implied. Negative skew on the vol surface. Getting paid to own protection. Uncommon setup.

NDX pinned below dealer zero-gamma at 675.00, spot 674.15. Short gamma regime. Buying 1M-3M ATM straddles -- vol expansion incoming.

Dealer range: 6800 to 7500. $1365M net gamma. The tape respects these levels until they don't.

NDX spot 674.15 trapped below zero-gamma at 675.00. Dealers short gamma, vol expansion incoming. Long ATM straddles 1M-3M is the cleanest way to play it.

GC in the acceleration zone. 0.7% from 4685 flip, negative gamma. One push and flows compound.

Specs 100th percentile long ES, z=2.3. Max crowding. These unwind ugly.

2 of 10 names in negative gamma -- GC, YM. The rest pinned positive. Coils this tight don't unwind quietly.

VIX 17.8, steep contango, every desk short premium. Mean reversion crowd is packed shoulder to shoulder. Classic setup where the obvious trade stops working.

2 of 10 names negative gamma (GC, YM). Rest pinned positive. Compression won't hold forever.

NDX pinned 0.7% above the 29175 gamma flip. Dealer flows keeping the tape glued here.

Specs long RTY at the 100th percentile. Z-score 5.1. That's not a position, that's a traffic jam. When it unwinds, it'll be violent.