mATTHEW rYAN

Gradient Shift™️ is my fear model SiggyPrime™️ is my extraction algorithm SSDA-IR™️ is my decision-governance framework

@traderhc @Ksidiii

Fair enough, I'll own that. Looking at the data right now, $VIX spot at 31.05 vs VIX3M at 29.27 . that's spot trading about 6% above the 3-month. You're right, that's backwardation, not contango. I had the read backwards. What I'd still push back on is "deep" backwardation. A 1.78 point inversion with VIX9D at 30.64 barely above spot isn't the kind of curve you saw in March 2020 or the Aug 2024 unwind. The front end is barely leading. VVIX at 31.10 confirms there's real uncertainty, but the 9-day sitting essentially flat with the 30-day tells me this is hedging demand concentrated around a specific event window, not a structural panic. The real tell is VIX6M at 29.78 . practically on top of VIX3M. The back end of the curve is flat, not steeply inverted. That's a market pricing near-term stress with a shelf life, not open-ended fear. Where do you see the curve normalizing . on a $VIX spike higher or a front-end collapse?

$VIX at 31 and everyone's panicking. But the vol surface is telling a different story. The term structure stayed in contango. VIX3M sitting below spot $VIX by over 6%. That's the options market saying "I'm hedging, not fleeing." Implied vol is running nearly double realized vol right now. 91st percentile gap. Someone selling this fear is about to get paid. When $VIX spikes above 30 but the curve refuses to invert, it resolves lower about 75% of the time within a month. $SPY closed right on its session low at 633. I think we're looking at 650-660 inside two weeks. Backwardation is the real danger signal. We don't have it. Does anyone disagree with this read?

so many market experts on X would love to see PnL’s

Liberation Day VWAP just got liberated lol

@ufc @MayceeBarber @paramountplus Valentina lickin her chops lol

THE FUTURE 😤 @MayceeBarber | 125lbs [ #UFCSeattle | TOMORROW 8pmET on @ParamountPlus ]

are you replacing thesis-based risk with P&L-based risk the moment the trade becomes emotionally loaded?

if your system expects directional expansion with noisy path dependence, then a return toward entry is often just part of the path

@weijianzhang_ @RichardSSutton for fear baiting you?! lol

@RichardSSutton Thank you

Doug Casey is a wise, independent thinker, and I recommend him to you.

@RealDougCasey and if you remove the loaded analogies and insults, the argument mostly collapses into unsupported assertions. that is a strong sign the text is selling emotional state first, analysis second.

@RealDougCasey lot of 'fear baiting' towards the end of your thought, sir...

Throughout history, mankind has periodically gone through periods of insanity. The 30 Years’ War and the witch trials of the 17th century are examples. Mass psychosis seemed to take over the whole world in the 1930s and ’40s. The recent great COVID hysteria is another. What the world is going through now is equally serious. For instance, Britain is prosecuting over 10,000 people for simply saying something that might make somebody else feel bad. Europe is simultaneously de-industrializing and turning into a police state while it learns to hate itself and imports millions of indigent people from alien cultures, races, languages, and religions. Wokeism is entrenched as a mass psychosis throughout Western Europe and North America. The U.S. launching a sneak attack during negotiations, starting an unprovoked war against a country on the other side of the world because it was using harsh language, is a sign of the times. Hopefully not the End Times. But it appears that elements of the three Abrahamic religions believe they’re following orders from Jesus, Yahweh, or Allah to Immanentize the Eschaton. Whether you like it or not. My view is that, when the world is going crazy, you want to get away from the craziness. Physically distance yourself from irrational people and unstable places. This is a bad time to be in most stocks. Limit your exposure to fiat currencies and bonds. Avoid living in big cities. This is a good time to keep a low profile. If I valued the opinions and likely reactions of Boobus americanus, I wouldn’t write articles like this. If only because, as a fan of Homer, I’m aware of what happened to the Trojan princess Cassandra.

use this taxonomy after every trade: -clean extraction, positive P&L -clean extraction, negative P&L -contaminated extraction, positive P&L -contaminated extraction, negative P&L a clean negative extraction is operational success. a contaminated positive extraction is operational failure.

@BenKizemchuk no no, i get your point. i was just making fun of the astrology you’re doing on those vol indexes but go off tho, King! just a little twitter fun 🤭

@iMATTHEWRYAN Huh? Smoothing has nothing to do with trying to bring back the surface. You are missing the point here.

Protection is building for another leg down: SkewDex, TailDex, and the Left Tail Volatility Index are all beginning to turn higher and cross above their short‑term moving averages, suggesting that downside‑tail momentum is firming. These indexes each capture a different but related dimension of crash‑risk pricing: SkewDex (SDEX) measures the slope of implied volatility, reflecting how much more traders are willing to pay for OTM downside options relative to at‑the‑money volatility. When skew rises, it can signal higher perceived tail risk. TailDex (TDEX) measures the cost of a synthetic put struck three standard deviations out‑of‑the‑money, providing a gauge of the market’s estimate of extreme downside probability. The Left Tail Volatility Index (LTV) isolates implied vol from deep‑OTM downside strikes, capturing the pure pricing of left‑tail volatility. What makes the current setup notable is that the S&P 500 has been in a bounded range over the last week, after a decline, and yet these tail‑risk indicators are now potentially turning higher again. The initial rise in skew we saw into early March had already washed out as OTM puts moved closer to the money during the selloff, which is a characteristic response through a decline. But now, the bounce in SDEX, TDEX and LTV likely points to fresh demand for far‑OTM hedging, as traders proactively bid up crash protection despite the index holding a bounce here, at least for now. The expiration of JPM's collar strike at 6475 on March 31 may be temporarily supporting the market, adding an additional technical element to the positioning. Gamma remains negative, consistent with markets staying in a more unstable and jump‑prone regime that tends to amplify intraday swings and makes markets more sensitive to flows. Overall, the combination of rising tail‑risk indices and negative gamma, along with the expiration of support next week suggests some traders are increasingly positioning for a potential next leg lower.

-you usually do not observe the true dealer book. -you usually do not know whether flow is informed, hedging, vol supply, overwrite, or noise. -you usually do not know whether the relevant strike inventory is stale, rolled, or offset elsewhere. -you usually do not know whether macro/event flow will dominate the local options mechanics. and even if you get the sign right, the magnitude may be too small to monetize after spread, slippage, and timing error.

@BenKizemchuk sure, just keep smoothing the scalar. maybe surface geometry you already threw away will come back lol

@iMATTHEWRYAN Of course I did. Second‑order transform of the noisiest part of the vol surface does not magically end up less noisy than the surface it comes from.

@ethanrkho @andrewcourt1 much edge such wow how did anyone not think of that ever?!

An Ex-SIG quant trader tends to take the other side of obvious bets: Andrew Courtney (@andrewcourt1). Ex-SIG quant trader. Now researching prediction markets. "If there's a really obvious trade — especially something talked about a lot in the media — and suddenly this market's trading a lot..." "Probably want to think about taking the non-obvious side." "Which side of the market would somebody who's not an expert most likely be on?" "If everybody's saying Taylor Swift's gonna perform the Super Bowl — Taylor Swift's all over the media right now — I might wanna think about taking the other side of that bet." "It probably correlates with something that is talked about a lot in the media, is top of mind, maybe exciting." "And I would tend to take the other side of those bets."

@Ksidiii "the market priced it in already" is used as a lazy post hoc excuse by people who were effectively gambling...

I think there’s a big misconception when it comes to large market moves. Many people take a theoretical view that “the market prices everything in.” But if you look at history, you’ll see that some of the largest market declines have come well after the catalyst was already widely known. 1.COVID-19: It’s called COVID-19 because it was identified in 2019. Yet markets didn’t fully digest the ramifications until mid-March, when economies were already shutting down. 2.GFC: Before the major collapse in Q3 and Q4 of 2008, it was already known in 2007 that cracks were forming. There were multiple warnings pointing to a potential mortgage crisis. Credit began to slowly reprice, and then it all unraveled at once. 3.Volmageddon: Prior to the February 2018 blowout, it was widely known among derivatives traders that these ETPs could fail. Portfolio managers were openly arguing with issuers at major derivatives conferences. 4.“Liberation Day”: Weeks before Trump announced tariffs, the market was aware he had a plan in place. In fact, markets initially rallied a few percent within seconds of the announcement, then went on to decline 20%. My point is that there’s a cognitive bias that leads people to believe the market is all-knowing, smarter than everyone, and always prices everything in. But during major volatility events, it’s often only at the very end that the market fully accepts the fear. This is likely because humans naturally are optimistic creatures. It’s embedded into our DNA.

"They gave us a present, and the present arrived today. It was a very big present worth a tremendous amount of money. And I'm not going to tell you what that present is, but it was a very significant prize." Any ideas what this might be?

Speaking to reporters earlier at the White House, President Trump mentions and vaguely talks about a mysterious “present” given to the United States yesterday by Iran: “Because they're going to make a deal. They're going to make a deal. They did something yesterday that was amazing, actually. They gave us a present, and the present arrived today. It was a very big present worth a tremendous amount of money. And I'm not going to tell you what that present is, but it was a very significant prize. And they gave it to us, and they said they were going to give it. So that meant one thing to me, we’re dealing with the right people. No, it wasn't nuclear related. It was oil and gas related. And it was a very nice thing they did.”

event-driven PnL, not continuous drift capture.

This is better than every UFC card since UFC 300