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Craig P
Independent Macro/Vol/Crypto/Quant/Fintech Nerd

Gamma Exposure / Vol Update

Few charts i'm watching today.

SPX is sitting right around the neutral gamma exposure level. A further break below could lead to some higher volatility. 
SPX is sitting right around the neutral gamma exposure level. A further break below could lead to some higher volatility. 
VVIX is breaking out to the highest levels since March. 
VVIX is breaking out to the highest levels since March. 
Front end of the VIX term structure curve inverted. 
Front end of the VIX term structure curve inverted. 

Continued Rotation in Economic Data

Really helpful chart in @Aahan Menon most recent article. It is so easy to take an extreme view and I always use his articles to get a balanced perspective based on the data. 

https://prometheusresearch.substack.com/p/the-next-economic-regime

For those trading different equity rotations, the underlying consumer spending data is incredibly helpful for a reversion to the mean trade. 

Weston NakamuraVisionary
Real Vision Exchange Manager, Programming and Community Engagement

Midday Markets Note: VIX, hedges, 🇯🇵Softbank earnings tomorrow

•DXY breaks the 90 handle into 89.98

•VIX spot >22 vs sub-20 yesterday is a hurdle leap. Watch for 20 to switch from resist → annoying go-between flip flop level → support for SPX ↓

•Nasdaq 1m Implied Vol (VXN) >25 = Why NDX has been particularly lame -6% MTD

•Eyes on UVXY, if it breaks clean thru 5.10 (5.17 to be exact), and depending on how far and fast thru those levels- can see a price indiscriminate squeeze ↑as the matchstick that triggers an array of risk shedding. For now, they’re fighting its rise on volume at the open ↓

•YTD: SPX equal weight (RSP) continues to crush SPX by nearly 7%. They hold the same exact stocks.

•”Nothing going on in rates“ really? German 10Y Yields about to break ‘20 highs for new 2yr levels

•Japan’s “GLD” outperforming GLD by +3.5% from March.

This is what happens (or, this what contributes to) JPY being the world‘s 4th worst performing FX pair against USD YTD. The only 3 worse performers against USD in ‘21 is Brazil Real, Turkey Lira & Argentina Peso - and then JPY. Thats not a low bar, the bar is on the floor. This whole “there are no (cheap/non crowded) risk hedges out there“ thing- yea there are 2: gold and JPY, the latter more attractive.

Big Tech & Banks reporting season is definitely not over. Tomorrow after Japan cash close:

•SoftBank FY20 results, company is expected to come in with the most profitable annual... (More)

Weston NakamuraVisionary
Real Vision Exchange Manager, Programming and Community Engagement

Crypto Winter Coming in Charts & History - Unless This Time Is Different (it is - but still noteworthy info)

Crypto Cyclicality / Seasonality Developing... The Looming Crypto Winter Cometh… or not. But these are of note:

  • Analysis of Price Action via Relative Market Cap for BTC, ETH & total crypto ex BTC + ETH
  • DOGE: Difference between “use(ful)” and “significance”
  • May 16th sell catalyst: Sudden re-emergence of Coinexchange.io

Spot price matters, but more so for technicals and price action analysis and trading - whereas looking at market cap (or changes in market cap), absolute and relative, provide flow context, which represents global capital investment interest, which determines the rate of progress in this digital asset ecosystem building or conversion. I drew up some charts which I meant to put out yesterday, but after the fucking “back button” erased my work for the 50th time this month and I didn’t have the time nor patience to re-write it at 3am (theres a lot of stuff that never makes it out there to see the light of day, and a lot of what exists that was draft attempt #2-4, hence why I often don't seem to care about grammar, if anyone was wondering). So this was going to be another crumpled up ball of paper in an overflowing wastebasket- but of course, those are the moments when crypto sells off and your note’s relevancy jumps. So- this is a very lazy version with maybe a quarter of the insights I had put in, let me know if anyone cares and and I’ll be happy to share further. And the charts below... (More)