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1/x Alright. Time to spin the wheel....I probably sound like a broken record at this point, but vanna/charm flows are at their peak this week into 10/12. If you havenât seen the overwhelming market support that comes with them, youâve got your head in the sand.
2/x-today was an important day technically. Closing just over 1.5 stddev up yesterday & then following through meaningfully today/ holding meaningfully above has opened the door for risk parity & Vol targeting flows to put new capital to work. -The seasonality is improving fast
3/x -& despite increasing retail call buying in the last couple days, the Vol bid is much more tentative then it was near the highs in August -sentiment is equally tepid -the market has come very far/very fast and is a bit overbought, & NDX continues to lag -But when market shows
4/x this kind of price thrust in the face of numerous excuses for weakness, price momentum has to be respected & seen as a sign of robust underlying strength. -Oct OpEx skew & Vol is still running high, which tells me going into this Fri/vanna flows will be larger than usual
5/x What this means: Fading this rally until 10/12- 10/14 is a bad idea. Ivol should continue to get compressed & itâs likely theyâll be pushed down to unfathomably low levels in the front of the curve given the upcoming risks. Do not attempt to jump in front & buy Vol yet.
6/6 Thereâll be a time for buying Vol(10/14?)as we could start to see a Vol squeeze in back of curve on a rally above 3500 mid/late next week. Watch Oct skew & vol to normalize into a rally & back month Calls to firm. Thoseâ ll be your signs to buy Vol & turn temp 
Good luck!
Good luck!
