Read on Twitter
1/x I’ve done some thinking about this TSLA inclusion event... My read is that @bauhiniacapital is right that TSLA is it’s own Vol center & will not have its RVol meaningfully suppressed by SPX...That said, SPX RVol for the next 2-3 weeks won’t likely be meaningfully raised by https://twitter.com/squeezemetrics/status/1339434552192868352
2/x TSLA’s addition either. The compression due to oversupply in the SPX is simply too extreme @ this juncture over the holidays, EOY, and Jan effect. Which leaves the the only possible remaining outcome as a decrease in constituent correlation...This is what we saw in 2017 & is
3/x the usual release valve under these types of conflicts between index Vol suppression and single name idiosyncratic Vol. So, IMO, in the short term the answer to make $ on this, will likely not be to sell 1 Vol & or buy the other. The way to profit here will be to suss out who
4/x the most likely factor pairs are to be affected by counter correlation here...Now having said that, not surprisingly, I think @SqueezeMetrics vanna points are Spot On. Although I don’t believe spx Vol will constrain TSLA Vol directly in a meaningful way, i do believe when
5/x momentum slows for other reasons, like @alexharfouche1 shows is happening, simply due to ‘the event of forced buying’ being priced in & a sell the news psychology taking hold, vanna effects will IMO likely play a significant role in driving daily vanna selling pressure, as 
6/x illustrates. This IMO will become particularly noticeable & play into its role as a potential leader to the downside in a market decline, when market seasonality gives may to risks in Mid January. & could help reinforce a coming growth rotation in a declining SPX, where SPX
7/7will see countertrend supportive vanna flows, but the growth complex will see reinforcing neg flows...This action was highlighted in the Sep selloff, & IMO is the new blueprint for what to expect, as long as retail momo call buying continues to be a source of disruptive flows.
