Peter Privon 🐍

0DTes Decoded from CBOE Worth a read

so let me get this straight openai decides to become a for-profit company now the cto, head of research, and vp of training research all decide to leave on the same day this is announced sam altman gets a $10.5B pay day (7% of the company) on the same day tim cook and satya nadella are okay with this? they have no issue with their core foundation model investment losing 3 core execs, including the CTO? not to mention the cofounder LEFT and started a new startup called “Super Safe Intelligence,” last month…kind of implying he doesn’t think OpenAI is safe?! i mean dude what did SAM do?! no WAY three high level people leave on the same day, almost as if it was coordinated, unless they felt Sam did something. having been part of various groups in my life, when people leave, it’s because there was beef. that simple. when one of my friends quit the debate team in high school it wasn’t to focus on his school work, it’s cause he hated our debate coach. I think Sam did something. something that made 3 execs leave at the same time.

Remember, this market IS going to change. ...don't be lulled to sleep by the weighted blanket on the index this week. Adding insult to injury (if you're long gamma), is the pile on from customers who are selling into this market, opening short calls on the 5750 strike in all the expirations AROUND 9/30 If you're having trouble wrapping your head around WHY this market is so hard to break (especially during a period of seasonal weakness/ higher *expected* volatility) ...go back to basics. When a market maker is LONG gamma, it's not generally directional in terms of market influence. Instead- it defines the market's character. As a dealer, if I'm looking down at a risk profile with +gamma, it means I *want* movement- because I will get SHORT delta on drops and LONG delta on rallies. -basically I can behave like a "market maker" in the underlying asset, too- by having futures on the bid and the offer, JUST to neutralize my book delta. JUST HOW MUCH GAMMA ARE WE LOOKING AT? Remember- this is not *explicit*, it's a generalization. But the dealer profile right now suggests that market makers are long so much gamma that for any $1 DOLLAR move LOWER in ES, they would have to buy around 850 ES minis to get back to FLAT delta. ...go ahead and read that one again. THE MARKET MAKER WOULD HAVE TO BUY 850 MINIS FOR EVERY DOLLAR DROP IN ES JUST TO GET BACK TO FLAT DELTA (THEIR PREFERRED DELTA) Rally back? Sell 'em back out. And now you see why this range is so hard to break. That's the outsized influence of this position on dealer behavior. Don't fight it. Understand it. GEXPLOIT IT.

the once every 4 year thing called supercontango is here... front VIX future minus VIX (now and 2020) also, that 5750 call bringing some greeks... g.enerally a.bsent m.arket m.ovement a.ltogether