Why Brent Kochuba Calls This a Transient Rally, Not a Real One — watch on tastylive
Brent Kochuba, founder of SpotGamma, joined tastylive to work through why the volatility surface has not moved with this rally, where forward gamma turns negative, and why Tesla call skew screens unusually cheap.
French bond yields eased, oil sold off sharply late in the morning session, and equities turned higher as money moved back into tech and out of last week’s rate-sensitive winners. Brent Kochuba, founder of SpotGamma, joined tastylive to explain why the options market has not confirmed that move.
Short-Dated Vol Rose, Longer-Dated Vol Did Not
A fixed-strike comparison against yesterday’s close shows short-dated implied volatility higher, which is what a 1% rally in the Nasdaq alongside FOMC and earnings risk tends to produce, while two-, three- and six-month vol sits essentially unchanged. The far end of the surface is where a durable change in regime tends to appear first, because it prices risk beyond the next headline. When price rallies and longer-dated vol stays put, the advance reads as a reaction to oil and French yields rather than a repricing of risk, and the S&P 500 is back above its risk pivot at 7690 without that endorsement.
The VIX Drop Is Mostly Skew Slide
One-month skew sits almost exactly where it did yesterday, so as spot rises the VIX references strikes further down the curve where implied vol is lower, without much change in underlying vol. Brent looks to see vol contract alongside a price rally before treating it as stable, and that usually requires a scheduled event to clear. FOMC on Wednesday and the megacap prints are the events that could release some of that premium.
Forward Gamma Turns Negative Through FOMC
Today’s 0DTE positioning leaned on a familiar iron condor, a roughly 8,000 to 9,000 lot position with call spreads sold at 7750 and put spreads sold below. This adds positive gamma above spot and negative gamma underneath and tends to compress the intraday range. That cushion does not extend far: push the gamma map forward four or five days and it reads negative from 7,800 down through 7,400, which means hedging flows can amplify moves instead of leaning against them, leaving large swings available through the event calendar.
Tesla: Call Skew Reads Unusually Cheap
Tesla screens at an IV rank of 7, so implied volatility has been lower on only a handful of the past 100 days, and earnings are already behind the stock, so the post-event vol contraction that taxes long option holders has been paid. The 25-delta call prices cheaper than at any point in the past 90 days in both one-month and January expirations, even with the stock up roughly 10% over two sessions, while a risk reversal rank of 20 says puts still trade richer than calls — relatively few traders are paying up for downside.
Brent walked through the January 440 calls, about 10,000 contracts and roughly $10 million of premium, modeled as buyside long positions, and disclosed that he is long Tesla stock without owning the calls. Equity Hub shows dealers short 12,000 calls at the 440 strike and 24,000 at 500, so a sustained move higher can force buying into thinner upside inventory.
Brent Kochuba founded SpotGamma and contributes to tastylive. He was previously a portfolio manager at Seven North Capital Management, building options-based strategies, and a derivatives broker at Wolverine Execution, Credit Suisse and Bank of America.
Watch the full segment on tastylive.
Brent returns to tastylive on Thursday.