All the charts and data we refer to can be found on the Yacht Club page.
Hey everyone,
The long call that we've been hedging expires tomorrow. We'll flatten our deltas at EOD one more time.
And yet another move in excess of the SuMo bands. Beautiful.
Now what?
The 0DTE data for today has only one notable feature: There's some selling up at 7585. It's about $50mm worth, over the span of just a few points, so it'll probably be noticeable, and we'd say it's worth a bet.
But more interesting than today's intraday texture is the forecast that Jim is showing us now.
Fat left tail.
And since we're always suckers for a fat left tail, we're inclined to get back into some volga. E.g., a 7000-strike put for next month. With VIX at a 15 handle and extant macro risks and bubbly trading, this isn't a big ask—owning vol feels fairly easy. Jim gives us permission to do so.
(He also gives us permission to buy a cheap call spread, betting on a move above 7650. In either case, being net long options seems to be the play.)
Easy does it.
Talk Sunday.
The SqueezeMetrics Team
