Buy the Squeeze, Sell the Skew

Explosive move up decimates volatility

SPX Expected Move shattered in two consecutive weeks.

Short term inefficiency in play

Rates Rip Higher
—Financials fly
—10yr and 30yr diverge, curve is STEEP!

Strategy Talk-
—buy short term gamma
—sell long term premium and skew

SPX Expected Move
–last week– 132.54 (expected move)
–actual move –169.59
–next week– 63.34

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