- Published on
4/9 (Wed) Bond Sell off, Pump and Dump Madness, and Vertical Spread Heatmap
- Authors
- Name
- Teddy Xinyuan Chen
Table of Contents
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
Full screen: https://gg.teddysc.me/?g=379c75c17c60772499ba7b86e13add4e&a&c=2
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.