1/x Vanna is back & ready to turn back on the charm! Overnight the market hit our weeklong target of **3705 and pulled back... We were able to take profits & play for a bit of morning digestion. It’s been a nice +3.5% in a week w/a few extra scalps along the way...But the best

2/x part has been the gift of Vol compression, which along w/ short Vol profits, has given us significant calendar expansion & dispersion opps, as predicted. I expect this to continue this week as well, as Ivol oversupply should continue to be the dominant force until 12/11.This,

3/x paired w/ the significantly increasing Vanna & Charm flows, will make it hard for any decline until 12/14 to catch meaningful momentum. This said, the narrowing of 20 day RVol as well as the 2 stddev of the 20 day just overhead should cap any rallies, given the dramatically

4/x overextended retail (8-day SMA of P/C equity is the lowest in 20 years) & institutional positioning. This push/pull, should ultimately keep the market fairly pinned this week...Jan 8th call’s on back are incredibly cheap w/ a GA runoff event straddle of only $55, which given

5/x the potential macro-cyclical consequences of the next 2 years of fiscal stimulus seems absurd...& In terms of a more short term trade,Tesla Vol is either too high or 12/18 on back calendar spreads in the SPX are too low, as there’s no premium being priced in for the inclusion

1/x The market continues to try & shake out weak hands from overextended positioning by both HF & Retail...After a strong Vanna run up overnight, as expected, retail exuberance exploded on the open in the form of retail call buying, this fragility, paired w/a)Mean reverting flows

2/x from pinned Index Vol b) well documented, risk parity rebalancing flows & c) selling flows tied to bank EOY liquidity constraints. In combination, these flows have together have amounted to substantive selling pressures, strong enough to counteract the positive vanna/ charm

3/x flows, & point to continued likely index RVol an IVol pinning...Historically, the week of quarterly OpEx markets are notoriously volatile intraday, but also mean reverting like we saw today. I think it is fair to expect continued IVol compression & more of the same underlying

4/x chop. Vanna/Charm flows will lose their oomph after Wed 12/16 vixperation morning. There’s a window of weakness which I’ve spoken to for a month that falls 12/16-12/23. That could open a brief window that could lead to revaluation of the real risk & short interest,post 1/6...

5/x but the overwhelming 10k 🦍 of index Vol compression should still hold any correction in time & price in check in the shortterm and it’ll be hard to have anything blow up too bad in SPX land given how cheap & abundant Xmas Vol is 12/23-12/24. NTM, a stim deal & potential Fed

1/x ‘Twas the night before Christmas & all through the market not an order was stirring not even for $TGT.
The bonuses were entered into payroll with care,
In hopes that next year would bring a similar fare;
The Bulls were nestled all snug in their beds;

2/x While visions of $TSLA danced in their heads;
& Biden in his Covid mask, & Powell with his still flowing money tap,
Had just settled their brains for a long winter's nap,
When out on the screen there arose such a clatter,
All sprang from their beds to see what was the matter.

3/x Away to their monitors they flew like a flash,
Tore open their Bloombergs & threw up the dash(board).
The S. Claus rally in markets, that all of us know,
Paired w/vaccine reopening, Gave a bid to the market, leaving old prices below,
When what to their wondering👀 did appear?

4/x But a Georgia runoff rushing up to them with complacency, not fear...
With once reliable Vanna flows no longer lively & quick,
They knew in a moment the markets might get quite sick...
Unexpected, 2 Georgia Dem peaches into Congress they came,

5/x Whistling & shouting they called for more fiscal, ‘CARES Too’ its new name:
"Now, Healthcare! Now, Infrastructure! Now Green Energy & Protectionism!
On, Labor rights! on, Minimum Wage! on, Basic Income & Populism!
To middle class households, To the poorest of them all!