por Melida Montemayor | Feb 20, 2025 | Informe Option Levels
Macro Theme: Key dates ahead: 2/19: VIX Exp, FOMC Mins 2/21: OPEX 2/26: NVDA ER On 2/11 we recommended buying SPX ~1-month calls as a way to hedge a right tail move. Our data suggests calls are cheap (ex: 3/13 exp 25 delta call = 10.6% IV ref 6,200). We flip to...
por Melida Montemayor | Feb 19, 2025 | Informe Option Levels
Macro Theme: Key dates ahead: 2/19: VIX Exp, FOMC Mins 2/21: OPEX 2/26: NVDA ER On 2/11 we recommended buying SPX ~1-month calls as a way to hedge a right tail move. Our data suggests calls are cheap (ex: 3/13 exp 25 delta call = 10.6% IV ref 6,200). We flip to...
por Melida Montemayor | Feb 18, 2025 | Informe Option Levels
Macro Theme: Key dates ahead: 2/19: VIX Exp, FOMC Mins 2/21: OPEX 2/26: NVDA ER On 2/11 we recommended buying SPX ~1-month calls as a way to hedge a right tail move. Our data suggests calls are cheap (ex: 3/13 exp 25 delta call = 10.6% IV ref 6,200). We flip to...
por Melida Montemayor | Feb 14, 2025 | Informe Option Levels
Macro Theme: Key dates ahead: 2/19: FOMC Mins 2/21: OPEX 2/26: NVDA ER On 2/11 we recommended buying SPX ~1-month calls as a way to hedge a right tail move. Our data suggests calls are cheap (ex: 3/13 exp 25 delta call = 10.6% IV ref 6,200). We flip to risk-off/short...
por Melida Montemayor | Feb 13, 2025 | Informe Option Levels
Macro Theme: Key dates ahead: 2/12: CPI + Powell Testimony 2/21: OPEX 2/26: NVDA ER On 2/11 we recommended buying SPX ~1-month calls as a way to hedge a right tail move. Our data suggests calls are cheap (ex: 3/13 exp 25 delta call = 10.6% IV ref 6,200). We flip to...
