VolSignals

Market Makers don't manipulate price— we're trapped by our own hedging requirements. When SPX drifts between long and short strikes, our systems start buying and selling futures in ways that create predictable paths. (short thread)

DB: At the end of March, the equity market selloff put it at the bottom decile of responses to geopolitical shocks, i.e., pricing in one of the worst outcomes ever. The rally since has now put it in the top decile, i.e., one of the best.

In 2018 I became increasingly obsessed with a prediction I felt certain about Based on what I was seeing as a MM, closely tracking customer flows (and incompetency of institutional position “management”)… I saw the market destined to go off the rails over the next decade, in both directions, in bull-whip fashion, until ultimately collapsing dramatically… turning sentiment against systematic quant strategies and triggering regulatory overhaul. It’s gamma. …negative gamma, to be clear. Here I use the term broadly- if the manager of the product must buy more assets when they go up and sell when they go down… that’s negative gamma from the market-wide perspective. And as everything begins to exhibit shades of this behavior… -you better prepare.

Something critical happened at the end of summer '24 which caused and/or coincided with the Aug 5th VIX spike. I will not say what it is on any social feed but I encourage you to scrutinize my public tweets from March 23rd onward through August of 2024... I was all over it as it unfolded. What happened beneath the surface in that one week period was equivalent to a tectonic shift under the sea- invisible to most people and even if seen, only a small handful of people would have had any clue what it would mean but it was clear to me- VOL/VIX regime shifted UP SKEW regime shifted UP VOL OF VOL / VVIX shifted UP this was not based on technical analysis or some estimate of XY or Z- it was much more basic than that. A key component of the market's structure vanished and nobody mentioned it anywhere. Not a single person I follow ever alluded to the fact they had a clue it had happened. No article, no bank note, no nothing- zip, zilch, nada but this thing that changed was a massive piece of a risk transfer puzzle and it's not come back yet- make of that what you will. it doesn't HAVE TO come back. The analytics we lean on are just the eventual downstream outputs of constantly colliding supply and demand functions- ...as expressed (literally) in the positioning Understanding what positions facilitate which risk transfers can apparently give you a 0DTE read or a multi-year regime read more potent than anything I've seen anyone in this space articulate by way of alternative explanation. I won't say what that thing is on X, or any other public feed. IF you think you know what I am referring to- I will confirm or deny over DM if you are correct. Look at how desperately the market wanted skew to go back to normal after that "event"

Someone owns 112k SPX Aug 8400/8600 call spreads currently worth $28M + with massive upside potential ...and it all started on Mar 23rd with a $660,000 bet on 4k June 7575 / 7700 Call Spreads dream big guys.

Here's the largest SPX trade you've ever seen This is the rolling "up and out" of a large part of the most important index position All options are Aug AM expiry: Customer sells these >> SPX Aug 8300 Calls... 9,250x SPX Aug 8400 Calls... 49,250x SPX Aug 8500 Calls... 9,000x SPX Aug 8800 Calls... 112,700x --- TO BUY THESE >> SPX Aug 8600 Calls... 165,200x SPX Aug 8700 Calls... 6,000x __________________________________ Customer closes their call spreads AND DOUBLES DOWN

Here's the largest SPX trade you've ever seen This is the rolling "up and out" of a large part of the most important index position All options are Aug AM expiry: Customer sells these >> SPX Aug 8300 Calls... 9,250x SPX Aug 8400 Calls... 49,250x SPX Aug 8500 Calls... 9,000x SPX Aug 8800 Calls... 112,700x --- TO BUY THESE >> SPX Aug 8600 Calls... 165,200x SPX Aug 8700 Calls... 6,000x __________________________________ Customer closes their call spreads AND DOUBLES DOWN