Stretching Spreads @FadingRallies

Cross the spread and you'll get crossed up Volatility. Joined June 2020

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Stretching Spreads @FadingRallies

a year ago

I have returned

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Stretching Spreads @FadingRallies

2 years ago

Beyond the limp in vols, vol of vol has been marked down significantly. Nonexistent bid in $VIX calls better reflects the lack of fear despite heavy delta1 flow continuing to unwind. Suppressed vols provided mkt stability so far. Something about breeding instability I think...

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Stretching Spreads @FadingRallies

3 years ago

There is an idea of liquidity, some kind of abstraction, but there is no real depth, only an entity, something illusory. Though flow toxicity is hidden, and you can get a quote & feel an HFT algo tightening spreads, maybe you can even sense an order book... it's simply not there.

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Stretching Spreads @FadingRallies

2 years ago

Persisting deleveraging has continued to fade every bid in equities. Ive noted in the past how real deleveraging flow hasn't hit yet, the ongoing bleed reflects this. Orderly degrossing has led to vols underperforming,yet current fragile mkt structure enables reflexive situations

Stretching Spreads @FadingRallies

2 years ago

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Stretching Spreads @FadingRallies

2 years ago

The silent massacre of $ARKK +garbage betas persists. For over a year, I've highlighted the fragile correlation, concentration, & liquidity structure. No victory laps yet. ARK has an intense beta to flows, still a vulnerability should all the knife catching turn into liquidations

Stretching Spreads @FadingRallies

2 years ago

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Stretching Spreads @FadingRallies

2 years ago

Friday Vibe Check

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Stretching Spreads @FadingRallies

2 years ago

Bid in equities has been fueled by short term systematics covering, reflexive puking of short-dated tails, & retail flow. Institutional positioning has hardly budged. This (slightly improved) low-liquidity environment creates stretched ranges where larger risk is transferred.

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Stretching Spreads @FadingRallies

2 years ago

Action this morning where you see most shorted, puked longs, &garbage betas outperforming alongside aggressive liquidity taking delta1 flow &sudden vega supply is indicative of a high vol regime bear market. Positioning is essentially inverse to vol–creating stretched ranges here

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Stretching Spreads @FadingRallies

2 years ago

Equity exposure has continued to unwind relentlessly. Despite relatively cleaner positioning, delevering has been orderly thus far & the lack of stress in flows has been reflected in vols. As I've noted repeatedly, ranges will be stretched here & real deleveraging hasn't hit yet.

Stretching Spreads @FadingRallies

2 years ago

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Stretching Spreads @FadingRallies

2 years ago

Equity market liquidity has absolutely collapsed. Markets entered a new volatility regime following Volmageddon –– evaporating liquidity reflects this. Volatility is expanding and this is just systematics pulling. Bids are vanishing & real deleveraging will trigger feedback loops

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Stretching Spreads @FadingRallies

2 years ago

Barbaric flow today with crowded levered betas continuing to unwind into poor liquidity. Spot/vol is coming back to life as more material fear is starting to manifest. Vol expansion in an increasingly fragile market structure fuels embedded reflexivity. Ranges will be stretched.

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Stretching Spreads @FadingRallies

2 years ago

Friday Vibe Check

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Stretching Spreads @FadingRallies

2 years ago

liquidity vibe check

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Stretching Spreads @FadingRallies

2 years ago

Rapid collapse in my institutional positioning indicator reflects the recent unwind as a result of the bloodshed across crowded longs. However, broader exposure is still stuffed with levered beta & we're nowhere near real "fear"... the real deleveraging flow hasn't hit yet

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Stretching Spreads @FadingRallies

2 years ago

@DeiSubNumine Volatility is expanding. Markets will become faster, ranges will be stretched

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Stretching Spreads @FadingRallies

2 years ago

Been noticing rapid intraday shifts in equity flow. Net order imbalance on the AM fade was -$400M for R3000 names & -$1.2B for equity ETFs. This type of flow whipsaw is symptomatic of vol expansion and indicative of larger shifts in positioning

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Stretching Spreads @FadingRallies

2 years ago

Liquidity in equities continues to evaporate. The speculative garbage has been silently massacred & now broader indices slip –– bids are becoming more scarce. Vol expansion in the face of thin market depth intensifies the impact of flows. Remember, liquidity is short volatility.

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Stretching Spreads @FadingRallies

2 years ago

Interesting to observe single name flow this morning, with net ~$2B delta1 lifted among $SPX constituents from the open. Eager dip-buying perhaps, but likely more tied to short lived OpEx flow juicing thin orderbooks. Backwardated $VIX futs curve triggers positioning shifts

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Stretching Spreads @FadingRallies

2 years ago

Deteriorating liquidity is evident even on days like today, fueled by crowded longs continuing to unwind. The broader equity market is fragile and flows are slowly starting to shift. Garbage is the first, and struggles the most to find a bid –– symbolized by $ARKK.

Stretching Spreads @FadingRallies

2 years ago

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Stretching Spreads @FadingRallies

2 years ago

Pain today is being felt across crowded long positioning. $ARKK continues to suffer as highly correlated garbage betas unwind into poor liquidity. Hedge fund crowded longs basket are also underperforming. Concentrated positioning broadly continues to be a vulnerability.