por Melida Montemayor | Abr 16, 2025 | Informe Option Levels
Macro Theme: Key dates ahead: 4/16: VIX Exp 4/17: Jobs + OPEX 4/15: Wed 4/16 VIX Exp may mark a short term high in equity markets, as large VIX calls expire, and equity OPEX has become quite neutral in terms of put vs call positioning. 4/14: Fixed risk short...
por Melida Montemayor | Abr 15, 2025 | Informe Option Levels
Macro Theme: Key dates ahead: 4/16: VIX Exp 4/17: Jobs + OPEX 4/14: Fixed risk short volatility trades make sense to us this week, as realized volatility should come in, which allows implied volatility to come in. Further, Thursday’s OPEX adds supportive flows...
por Melida Montemayor | Abr 14, 2025 | Informe Option Levels
Macro Theme: Key dates ahead: 4/17: Jobs + OPEX 4/14: Fixed risk short volatility trades make sense to us this week, as realized volatility should come in, which allows implied volatility to come in. Further, Thursday’s OPEX adds supportive flows due to put...
por Melida Montemayor | Abr 11, 2025 | Informe Option Levels
Macro Theme: Key dates ahead: 4/11: PPI 4/11: We are still looking to put positions on with respect to the 4/10 and 4/7 updates. Further, per our Friday AM note, we see a pickup in positive dealer gamma from ~4,500-4,800 and from 5,450 to 5,850. These are indeed wide...
por Melida Montemayor | Abr 10, 2025 | Informe Option Levels
Macro Theme: Key dates ahead: 4/10: CPI 4/10: Post tariff-pause, we look to sell put flies or ratio puts in the index and/or select single stocks. We will wait for bouts of weakness to initiate these positions, focusing on ~1-2 months to expiration. This trade...
