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
More from Cem Karsan 🥐
1/x Vanna joined the wheel of fortune on this day in 1982,& 38 years later she’s stronger than ever...Friday’s into the Mon of qrtrly OpEx in particular aren’t a time to trifle w/her...As called for, the market continues to try & shake out weak hands from overextended positioning
2/x by both HF & Retail, but ultimately these moves are no match for our fair lady’s charming flows during this window, & should continue to support this market through 12/16 w/ qrtrly Vixperation & the Fed upon us....As I highlighted Fri, the minor correction in price/time that
3/x we got down to the 20 day, w/precise technical support at that level, paired w/ increasingly positive Dark Pool (DIX) demand was a textbook buy signal, given the timing...Despite all of this, the real story is not these positive flows nearly as much as the continued reflexive
4/x IVol compression...This is the holiday gift that keeps on giving. Along w/ continued targeted short Vol, massive calendar expansion & dispersion opportunities continue to print $ with VRP >94th % of occurrences & post 1/8 Vol still at a floor... This $ train doesn’t show any
5/x sign of stopping yet, as I expect Ivol oversupply should continue to be the dominant force through at least 12/16 & once we get through 12/21 without incident, likely beyond...W/ lots of imbedded potential energy still in the VRP to fuel more vanna/charm flows in the month to
\U0001f4faOn December 13, 1982, Vanna White joined @WheelofFortune pic.twitter.com/rzrPcBTI59
— RetroNewsNow (@RetroNewsNow) December 13, 2020
2/x by both HF & Retail, but ultimately these moves are no match for our fair lady’s charming flows during this window, & should continue to support this market through 12/16 w/ qrtrly Vixperation & the Fed upon us....As I highlighted Fri, the minor correction in price/time that
3/x we got down to the 20 day, w/precise technical support at that level, paired w/ increasingly positive Dark Pool (DIX) demand was a textbook buy signal, given the timing...Despite all of this, the real story is not these positive flows nearly as much as the continued reflexive
4/x IVol compression...This is the holiday gift that keeps on giving. Along w/ continued targeted short Vol, massive calendar expansion & dispersion opportunities continue to print $ with VRP >94th % of occurrences & post 1/8 Vol still at a floor... This $ train doesn’t show any
5/x sign of stopping yet, as I expect Ivol oversupply should continue to be the dominant force through at least 12/16 & once we get through 12/21 without incident, likely beyond...W/ lots of imbedded potential energy still in the VRP to fuel more vanna/charm flows in the month to
1/x As we’ve been calling for since Nov, today we finally got our 2 ‘Georgia Peaches’🍑 precisely on schedule, as we’ve called for since Aug, & the underlying rotation has confirmed now for months, this matters. This is a historic turning point. It matters not only https://t.co/BFxKGrI1Oo
2/x for this year, but for the economic trajectory of America & likely the macroeconomic regime of the developed world for the coming decade. That said, contrary to popular belief, the market does not move based on news in the short term if the positioning doesn’t allow it to.
3/x & our old friend Gary the 🦍 & his sidekick Vanna are positioned to have this market pinned through 1/11. So, as explained ad nauseam, the election news, though fundamentally important, won’t matter to the index itself in the ST. As predicted, the largest moves from the GA
4/x runoff INITIALLY have come from factor rotation. This should continue to be the case, as the street is oversupplied IVol & the index is pinned. This not only allows for idiosyncratic risk moves in constituents, but it actually FORCES extreme noncorrelation & rotation, as we
5/x have witnessed now for the past 2 days. This Vol compression will be increasingly difficult to break free from until 1/11-1/15, but the window of weakness is coming...soon the final hedges from the ‘election hump’ in Nov will expire with the Jan monthly options. Once the
1/x Well you can\u2019t say I didn\u2019t warn you... We\u2019ve been eying that 3770.5 level and the 1/5-1/13 window for many weeks. To get it a day early, @ the lowest edge of the upper range, tells me that there\u2019s understandable concern over the impending outcome of the runoff. As I\u2019ve said https://t.co/BxG2DzdXqt pic.twitter.com/ki4sYprwIH
— Cem Karsan \U0001f950 (@jam_croissant) January 5, 2021
2/x for this year, but for the economic trajectory of America & likely the macroeconomic regime of the developed world for the coming decade. That said, contrary to popular belief, the market does not move based on news in the short term if the positioning doesn’t allow it to.
3/x & our old friend Gary the 🦍 & his sidekick Vanna are positioned to have this market pinned through 1/11. So, as explained ad nauseam, the election news, though fundamentally important, won’t matter to the index itself in the ST. As predicted, the largest moves from the GA
4/x runoff INITIALLY have come from factor rotation. This should continue to be the case, as the street is oversupplied IVol & the index is pinned. This not only allows for idiosyncratic risk moves in constituents, but it actually FORCES extreme noncorrelation & rotation, as we
5/x have witnessed now for the past 2 days. This Vol compression will be increasingly difficult to break free from until 1/11-1/15, but the window of weakness is coming...soon the final hedges from the ‘election hump’ in Nov will expire with the Jan monthly options. Once the
More from Economy
1/ To add a little texture to @NickHanauer's thread, it's important to recognize that there's a good reason why orthodox economists (& economic cosplayers) so vehemently oppose a $15 min wage:
The min wage is a wedge that threatens to undermine all of orthodox economic theory.
2/ Orthodox economics is grounded in two fundamental models: a systems model that describes the market as a closed equilibrium system, and a behavioral model that describes humans as rational, self-interested utility-maximizers. The modern min wage debate undermines both models.
3/ The assertion that a min wage kills jobs is so central to orthodox economics that it is often used as the textbook example of the Supply/Demand curve. Raise the cost of labor and businesses will buy less of it. It's literally Econ 101!
4/ Econ 101 insists that markets automatically set an efficient "equilibrium price" for labor & everything else. Mess with this price and bad things happen. Yet decades of empirical research has persuaded a majority of economists that this just isn't
5/ How can this be? Well, either the market is not a closed equilibrium system in which if you raise the price of labor employers automatically purchase less of it... OR the market is not automatically setting an efficient and fair equilibrium wage. Or maybe both. #FAIL
The min wage is a wedge that threatens to undermine all of orthodox economic theory.
1/4 Most people, especially academic economists, think that the controversy over the minimum wage is a contest over facts. It's not. It's a contest over power, status, and wealth. It is just like the contest over racial and gender justice.
— Nick Hanauer (@NickHanauer) January 17, 2021
2/ Orthodox economics is grounded in two fundamental models: a systems model that describes the market as a closed equilibrium system, and a behavioral model that describes humans as rational, self-interested utility-maximizers. The modern min wage debate undermines both models.
3/ The assertion that a min wage kills jobs is so central to orthodox economics that it is often used as the textbook example of the Supply/Demand curve. Raise the cost of labor and businesses will buy less of it. It's literally Econ 101!
4/ Econ 101 insists that markets automatically set an efficient "equilibrium price" for labor & everything else. Mess with this price and bad things happen. Yet decades of empirical research has persuaded a majority of economists that this just isn't
5/ How can this be? Well, either the market is not a closed equilibrium system in which if you raise the price of labor employers automatically purchase less of it... OR the market is not automatically setting an efficient and fair equilibrium wage. Or maybe both. #FAIL
