Dean Curnutt

I’ve been hosting the Alpha Exchange podcast since 2018 (recent episode Apple link below). There’s some good regular content on market risk posted under the X account for the pod. Please follow! @Alpha_Ex_LLC podcasts.apple.com/us/podcast/alp…

Hello! It’s been quite a bit since I tweeted from this account. A pandemic, a record high VIX, a massive easing cycle, a steep tightening cycle, two elections, a Meme stock episode, a tariff tantrum and much more.

@SqueezeMetrics The opposite narrative - that investors were loaded up on hedges - reported on Bloomberg. Today’s move is 70bps, basically 11 vol. Up from the shockingly low realized of last week, but to suggest folks are front-running expiry is a stretch. It’s just not a big move at all today.

S&P 500 volatility has increased in the last two days. This is because everyone knows OpEx is coming, and that SPX dealer long gamma disappears. This has happened for every major SPX expiration in the last few months. They are frontrunning GEX. It is the end of an era.

@TommyThornton @NewYork_SEC Scam? It’s electronic option volume. Nothing to see here at all.

@economics @endacurran Or “new”

Peak central bank support marks a nwew phase for the world recovery (via @EndaCurran) trib.al/z6qgL2M

@SqueezeMetrics How do you 1) account for whether the initiating party was a buyer or seller 2) account for put spreads, ladders, flies 3) differentiate between combos and straddles, risk reversals and strangles? It’s pretty challenging to get these properly classified.

Does this chart confirm your biases or challenge them?

@MonetaryWonk @dandolfa If it were 1 million quadrillion USD printed and burned is the answer the same? Are we assuming no market pricing reaction to the print and burn?

Thought experiment inspired by @dandolfa. If the US govt “borrowed” $1t, literally printed the money, then burned it in a giant bonfire, did US taxpayers just get poorer?

I launched a podcast in 2018 focused on interviewing hedge managers and policymakers on risk, volatility and portfolio construction. We recently hit twitter and all 30 episodes are posted. You can also find the Alpha Exchange on podcasting hosting sites like Apple and Spotify.

@ReformedBroker To use a word that Barry uses more than anyone else...”fascinating”!

As we celebrate LGBT Pride Month and recognize the outstanding contributions LGBT people have made to our great Nation, let us also stand in solidarity with the many LGBT people who live in dozens of countries worldwide that punish, imprison, or even execute individuals....

@LONGCONVEXITY Curious, have you received permission from HSBC to publish this?

HSBC #HedgeFunds #Returns

$VIX “The VIX Turns 25...Reflections on Quiet and Fear Throughout the Years”. youtu.be/wA2PMm9hgqc

@TimOBrien Is that a sentence ?

In which Rudy Giuliani seems to forget, again, that Bob Mueller has subpoena power. He’ll pursue what he believes he needs to pursue. twitter.com/costareports/s…

@TheStalwart you'd actually want to be long UST as per 2011.

Macro Risk Advisors donated more than $68,000 to iMentor as part of its 2nd annual Charitable Trading Day! Read more: bit.ly/MrYsf0

Trading options to help educational causes. #VIX macroriskadvisors.com/layout/pdf/cha…. Support us!

@johnauthers Assets become more correlated at same time they become more volatile, often muting benefits if diversification

Great read. Page 10 has elements of reflexivity. bis.org/publ/qtrpdf/r_…