The AI trade has been the story of the first half of 2026, and semiconductors have been the main characters. The sector now accounts for roughly 20% of the entire S&P 500 — a historically high concentration. As we covered in our previous newsletter, any meaningful profit-taking in this area brings up the important question […]
Volatility Skew
July’s Setup: Rotation and Repositioning
June lived up to its reputation as a volatile month with last week’s market drawdown. As we turn the page into July, the market now appears to be recalibrating positioning. Recent turbulence has driven capital rotation out of crowded tech leadership, and we now look for opportunities in alternative pockets of the market. In our […]
After OPEX: Market Loses Its Shock Absorber
The options market has just cleared one of the largest structural events of the quarter, as Friday’s OPEX saw nearly $1.4 trillion in delta notional expire for the S&P 500. Because significant positions have now rolled off from the March expiration, the market has lost an important stabilizing force just as macro pressures begin to build. […]
March OPEX: Tipping Point or Turning Point?
Fragility, Risk, and Potential Vol Reset As the S&P 500 enters OPEX week, we echo the same theme of the past few weeks: this market remains fragile. Last week’s selloff pushed the index below the three-month trading range of SPX 6,800-7,000 that had held since late 2025, subsequently closing down 5% since mid-January. The conflict with Iran continues […]
Geopolitical Risk Hits a Fragile Market
Markets entered last week on fragile footing. In our previous Sunday note, we emphasized how negative dealer gamma, extreme put skew, and heavy 0DTE options activity set the market up for a trapdoor scenario. This created a market structure vulnerable to sharp drops and spikes in volatility, as we saw play out last week. The dramatic […]
The Options Market Trapdoor
Over the past week, the topic of volatility has returned to the forefront. While the market has been largely range-bound, underlying support remains tenuous. Simultaneously, traders have begun more actively paying for downside protection. Given the backdrop of flaring geopolitical conflict, we see assymetric downside risk forming as trader uncertainty and negative gamma threaten to unlock the […]
Office Hours with Imran: Key Strategies for Navigating Volatility, Black-Scholes Calculations & Volatility Skew Insights
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