Hey everyone,

 

Vol not rising enough to drop RISC. Customers continuing to sell near-term puts, causing dealers to sell on intraday upside. DIX still low. Robo-Jim presenting broad distributions with a negative mean.

 

All this led to an SPX settle a bit below 7300. And we've been hanging on to some OTM puts the whole time.

Now what?

Jim's got a [barely-] positive mean, and his distribution isn't wider than the market's implied anymore. That's a bit more "neutral."

 

DIX printed 46.7%. Also more "neutral."

 

RISC more like –30, which is a bit more supportive (getting to be more blue, suggesting positive 1-month returns).

Today's 0DTE data has a little cliff of selling around SPX 7310 ($50mm worth), which should make it a bit tough to get above that, but otherwise it's pretty flat. Which is indicative that we're not dealing with as much net customer sold puts, particularly above spot.

So that, too, is more "neutral."

 

The most logical price-action to expect from this arrangement is flat-to-up today. Nothing exciting. The question for us is whether to ditch the OTM puts, because we're finally getting the signal that they're not quite worth holding anymore. They've done well—we'll plan on selling at least half today (even though we really wanted VIX at 25+).

 

Perhaps we shall be given another opportunity.

 

The SqueezeMetrics Team