By all definitions the past two years have been pretty challenging to many retail traders and not surprisingly the exhaustion I sense in the comment section is palpable. A lot of what has transpired can be attributed to a marked increase in realized volatility which over time has contributed to a now permanently elevated baseline in implied volatility.
In a featured comment yesterday I mentioned gamma risk in SPX and SPY options as one of the reasons explaining recent hedging activity in the VIX and ES futures. It’s a complex topic that we’ll have to peel one slice at a time. Let’s begin by considering that options in essence are multi-dimensional financial derivatives in that they exhibit sensitivity to not only price, but also time and volatility (yes interest rates as well but that’s not an issue in our current market environment).
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I am delighted to announce the official release of my System Building Masterclass which represents a cumulative nine months effort to produce a comprehensive tutorial on building non-fragile trading systems that stand the test of time.
Ten years since the launch of quantitative easing by the Federal Reserve and investors are still pining for yet another interest rate cut. Just let that one roll around in your mind for a moment. A few years back in one of my pertinent posts I mused that we would probably never again see a meaningful interest rate hike during our lifetime. And sure enough, here we are a decade later, still sitting in the same hole we dug for ourselves. Just that it’s a lot deeper now.