1/ HOW TO USE OUR Q-MODELS with IV RANK: IV rank is great to find opportunities in the options market. For example, one can use it to sell options. In general, if IV rank is high, a good strategy could be to sell options. Let’s see how our models can help 🧵 @AlessioUrban

1/ OPTION EDUCATION: What does it mean when our model is in positive or negative gamma? In this thread we will help you understand how our model can help your option spread trading🧵 @AlessioUrban

1/ This from Nomura McElligott is to saved 🚨🧵 “Low VIX” question is about the difference between the QE era of the post GFC period through 2020 and the current QT reality that we remain embedded within until the Fed is forced to actually “pivot” to outright “easing”.

1/ Weekend Gamma Education In our charts you can see what we call the Walls (in white). These are the levels where you have most gamma. Throughout the trading day they can act like magnets to price. But let's dig deeper.

The Brent backwardation getting tighter. Oil is following coal’s steps. Where supply was destroyed by disrupting capex and capital cycles. This means that there is a loss of elasticity in supply and demand. Fed can lift rates as much as they want, they ain’t solving this

1/ Backwardated markets usually imply a low level of inventory. That is because, spot demand is so strong that none fills storage tanks. It makes more money to sell immediately than storing and playing the carry trade

Another way to visualize the greeks. It simplifies the chart I posted I while back. Everyone using options these days right? Just learn how to use them properly, don’t be the sucker at this game

1/ How CHARM affects MM Delta Hedging. The different greeks affect delta in different ways. A lot of the time, the market movements you are seeing are simply the result of the adjustment of delta to movement of primary and secondary greeks. Let’s focus on Charm today 🧵

1/ RISK REVERSAL SKEW: it’s the difference in implied volatility between the call options and put options that are used in a risk reversal strategy. Compares the volatility of out-of-the-money (OTM) calls and puts (25 delta)

1/ Shorting Vol. Let’s do a thread on this. What is it, what does it involve and what can go wrong? Let’s look at this 🧵

1/ Today is the Option Expiry also known as OPEX. This refers to the day when monthly options contracts expire and settle. Opex at times is confused with operating expense (for those who build DCFs) but in this case it means options expiration 🧵

1/ 🧵P/C Ratio: why we never use it alone but in conjunction with other tools we have created? The P/C compares puts to calls, but because of the types of structures you see in the market, it is not always reliable. Let's see why and how try to solve for that 🧵👇

1/ 🧵 Do 0DTE pose a systemic risk? While the product is new, the concept of 0DTE is not new. All options eventually become a 0DTE. That is stating the obvious. This is our take

We also wrote an article about the High Vol Level, a level often misunderstood, but important for your trading. You can read it here 👇

1/ As the market opens tomorrow, we will be in negative gamma - MM are short gamma. Since these will be bumpy times, let's just re-visit some important concepts, because you will have to be on top of your risk management in the next few weeks 🧵

1/ How to think about 0DTE Options, risk, rewards and how our Q-Models can help you risk manage your daily positions. Let's go through it in this thread 🧵

1/ Today let’s talk about the Greek Vega: represented by V, it shows how much an option's price changes for every 1% shift in the implied volatility of the underlying asset. What doe Vega influence, and let's analyze its profile 🧵

1/🚀 Intro to Managing Short-Term Momentum using our option models. A question from our trading community: "How to gauge short-term momentum, especially with an expiring OTM option?" In the last thread of the year, let's dive into using SPX data to unravel this 🧵

1/📷Year end Analysis, and a good time to review/analyze market dynamics: Dec 20th's market turbulence offers a stark reminder of the impacts of 0DTE and leverage: heightened intraday volatility. Below is SPX's intraday chart from that day, annotated with our key levels 🧵

📌IV*OI $SPX spiking at 4900 & 5000. This chart aggregates IV and OI by maturity for strike. The objective of the chart is to confirm what strikes are more sticky from OI and IV perspective. You have a profile by strike that has the sum of IV and OI per maturity. When you…

1/ How do Greeks for call option change compared put options? Let's take a look in this weekly education thread. Boring topic, but when markets are closed, better to solidify the basics 🧵

1/ 🚨 VVIX/VIX: we are seeing a big widening of these two indicators. What do we make of this? Let's see what this is and also look at our model to find some interesting data before Monday open

Delta, Gamma Hedging & Vanna Hedging Part 1. Linking these three should help us understand better certain market moves and liquidity. We wrote about it today. Read it here 👇

1/ Understanding how different investors use different option maturities can helps us understand why there are certain dynamics on the option chain. It will also help you use our Q-Models better. Let’s go 🧵

One thing to keep in mind, as we move in negative gamma (slightly at the moment), higher volatility will change the gamma profile of options and its delta. As volatility increases, the gamma curve flattens. In this chart the blue line is the the gamma profile in a low IV…

1/ 📉 Long Weekend Education Thread: What is the Volatility Smile? The volatility smile shows how implied volatility changes across different strike prices for options with the same underlying asset and expiration. It's a key concept in options trading 🧵

1/ A bit of Waller and pre Vixperation gave the market a little excitement. Today last trading day for VIX. Let's see how the key levels can help you risk manage. While it is impossible to have 100% accurate models, we can still use them as support. Let's take a look 👀🧵

1/ A quick look at Gamma in Options including for 0DTE to close the day. Gamma is a crucial Greek in options trading (we all know that at this point), indicating how sensitive an option's delta is to changes in the underlying asset's price. Let's explore the key factors…

1/ SPX is in negative gamma. What does that mean? Let's understand the difference between Positive and Negative Gamma. Gamma conditions significantly influence investment strategies and risk exposure. Let's delve into how these conditions affect market dynamics and trading…

1/Tomorrow is OpEx. Understanding OpEx is important for traders, this is when options contracts expire and lose their value. This period can significantly impact investment strategies and market movements. Let's break it down a little 🧵

1/ Last week we covered Skew. But when using options, one has to consider Term Structure too. It looks at the implied volatilities for a particular underlying and strike across different maturities. Can be described as steep, flat, or inverted. Let's break it down a little 🧵