What follows is some information that tends to induce people to make bad decisions. So, disclaimer: Don't make bad decisions. There's some unique positioning in S&P options right now. Dealer SPX vanna exposure (VEX) is at all-time highs.
Specifically, VEX is around $500mm. That means that when VIX rises, there's an unusually high mechanical bid for the S&P 500, which reinforces an "auto-dip-buying" mechanism. It's very supportive.
@SqueezeMetrics Usta, This implies crash up and blow off top possibility? As well as huge drop if things take hold to downside? Seems to suggest potential for blow off top, unless I read wrong. Sagol
@SqueezeMetrics Do you find this odd? Selling OTM puts is not typical retail behavior, correct?
@SqueezeMetrics SM thx for this thread. School me on this if u will.... how much drop be considered as crash now? And you said theres bullish supportive flow (automatic buying dip) in case equity drops. How come theres no floor supporting drop in crash? Are they programmed to flip to short dip?