4/9 (Wed) Bond Sell off, Pump and Dump Madness, and Vertical Spread Heatmap

Moontower-style vertical spread heatmap

Inspired by https://blog.moontower.ai/a-sense-of-proportion-around-skew/, I decided to build a minimally working version of the same thing.

Building on the foundation of my versatile surface plotter, I glued up some code and made a heatmap to get a sense of how expensive vertical spreads are of different combination of strikes.

Here I selected 4/14 tenor (_P in the screenshot means PM expiration, I put it there so that the app can handle SPX and RUT)

Full screen: https://g.teddysc.me/b5cb7ce01234149ba0f43ca5429fef89

I think it's just a very tiny miss quote on market close (SPY trades til 4:15) - the 515P has locally dampened IV, you can spot it if you look at the surface by strike price carefully:

Surface by strike - Full screen: https://g.teddysc.me/32e53849f826a4053900bb8a2b3c709e

Surface by sampled delta - 515P can't be found on the surface, but 516P is there. Full screen: https://g.teddysc.me/9da12ea29a48b17f53b4ca1683c240b0

Volatility in bond

The Pain Trade in Equities is to the upside: https://repoinsight.substack.com/p/the-pain-trade-in-equities-risk-on

Click on this link for memes: https://www.shrubstack.com/p/an-apple-a-day-onlymemesedition

Full screen: https://gg.teddysc.me/?g=379c75c17c60772499ba7b86e13add4e&a&c=2

(I do not endorse FT or FT's contents, nor do I have a view on this video)

Rumors were that Jamie Dimon made Trump to pull the tariff

Pump and Dump Madness

Full screen: https://gg.teddysc.me/?g=f52e3e773cad0b4945cf830617dca47b&a&c=2

The charts are:

• Intraday 5min RV of SPX, I attached 1 second chart below to show how extreme this is
• Cboe's GAMMA index fucked up beyond recognition and readable on most charting platform
• SPX/TNX correlation chart - still positive, but declining

Full screen: https://gg.teddysc.me/?g=976decc11ebaeac8ee54c295b5059c3d&a&c=2

1 second chart is the 3rd one, no this is not crypto! The bears who got in thinking they secured a better short entry got slaughtered.

Illiquidity

But what about the penguins? 🐧

😈

Soybeans...

https://www.google.com/search?q=SOYBEAN+FARMER+WHO+BACKED+TRUMP+%22BEGS%22+HIM+TO+END+TRADE+WAR

This is why you should hedge - CME's contracts made this so simple, they even have a farmers education app explaining how to short ZS.

If this guy had hedged, he'd walk away unharmed.