Want to know what I think caused this latest bear rally? This chart of SPX is broken into quarters that represent when the very large JHEQX hedge that rolls over the funds put credit spread. The funds put options netted most of the funds profit in q2 fuelled by sell offs in technology. In Q1 I thought a market wide sell off would net the fund 2B but Vanna Flows...
I'm going to breakdown JPM big 20 billion dollar Put Spread Collar Hedge trade early this quarter. The trade usually gets a lot of attention when they do the roll/reset on the day it expires each quarter. For the uninitiated, this trade occurs every quarter by JPM as a premium neutral hedge (market crash protection) for a 20B fund. Furus try to explain the...
I have not been able to trade/chart much lately but I wanted to make note of where we closed yesterday vs open today. CPI running hot. almost a perfect setup for a bearish reversal leading into opex next week. SPX just closed above the ZeroG (gamma flip) in relation to Naive Gamma. Means dealers should be selling us lower into next week. Get free Naive Gamma...
Trading would be completely boring if there wasn’t a fintwit argument over market effects. Leading up to this week it was all about the santa rally which was muted the past week by a pinning effect of significant gamma in SPX expiring around the 4800 mark. The only topic of interest seems to be around the JPM quarterly collar trade. I recently pointed out a...