From PMB South Africa, Savannah GA, U.S. Army Vet, Trader, Market Breadth, Market Gamma, Vol Control.
Savannah, GA
Joined April 2010
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David Pegler retweeted
It's good to be back. Even better to share a collaboration between @t1alpha and @weareintropic in my first return post. Please checkout the analysis.
SpaceX may be the clearest example yet of how passive flows can shape price discovery.
The shares rose 62% in three sessions, before falling 7% after the largest index flows had cleared.
We colaborate with @profplum99 in this note, with the IPO acting as a blueprint for upcoming mega-cap listings. (intropic.io/research-hub/thr…)
David Pegler retweeted
*SOUTH KOREA OFFICIALLY SUSPENDS LISTING OF NEW SINGLE-STOCK LEVERAGED ETFs AMIDST MARKET TURMOIL
David Pegler retweeted
1/ Are implied correlations broken?
We've often referred to implied correlations as the real "fear index", which has become increasingly harder to justify over the past several months.
David Pegler retweeted
We’ve been covering this in-depth for several weeks now in our daily reports.
AUM in these funds, specifically $SOXL, means the notional MOC imbalances has entered unprecedented territory. More importantly, it’s the swaps that count more than the fund itself.
62% of the market is green on a day the market is down -1%. Average gain 1.3%. @t1alpha
David Pegler retweeted
85% downside day following Warsh's debut as Fed Chair.
Clearly, the blue tie was the wrong choice.
In all seriousness, bad spot for realized correlations to pick up. Luckily, semis were able to avoid the worst of it, which has been the key contributor to the rally since April.
David Pegler retweeted
I don't think people realize how much index concentration has been skewing correlations lately.
It's heavily degraded the usefulness of things like CBOE's COR1M index, which only measures IV for the top 50 names in $SPX. Good time to zoom out a bit.
David Pegler retweeted
That's one small step for a man... One giant leap for Elons bank account. $SPCX
David Pegler retweeted
Saying CTA's are sellers "under every scenario" is nonsense.
That implies a trend model that can get the direction wrong.
As with most systematic strategies, there is an inherent path dependency involved, and how you get there can be far more important than where you end up.
David Pegler retweeted
It's been a pleasure working with the Intropic team on SpaceX. What @t1alpha is to option mechanics and systematic flows, @weareintropic is to index inclusion. Make sure to check out their work.
SpaceX may set a new benchmark for how investors approach large IPOs.
Building on our comments on Bloomberg, our latest note examines the structural differences from a traditional listing and the potential implications for price discovery.
Read more on our Research Hub
intropic.io/research-hub/spa…
Intropic.io
David Pegler retweeted
Basically, this is the inverse of last Friday's breadth profile for $SPX. There's a lot more going on beneath the surface than meets the eye.
When index concentration gets extreme, lower correlation doesn't always translate into lower volatility.
David Pegler retweeted
To be clear, last Friday was a concentration unwind exacerbated by forced selling from leveraged funds into the close.
Looking ahead, there is still a significant amount of systematic convexity built up in other areas of the market should downside momentum/ vol start to trend.
David Pegler retweeted
We're setting up for a meaningful MOC imbalance from levered ETF's today if this continues.
The higher they climb, the harder they fall.
David Pegler retweeted
It’s been 92 trading days since $SPX has seen a 2% decline or worse.
For context, that stretch includes a partial government shutdown, the Iran conflict, an oil shock, inflation pressure, AI-linked layoffs, and even a new Fed chair.
Positioning > narratives.
