1/x ‘never short a dull market...’ is a tried & true Wall Street adage, and risk premia decay and the charm that accompanies it is the primary driver of the phenomenon. The last few days, along w/ the next few to come are a glimpse of this wild creature in its natural habitat... https://twitter.com/jam_croissant/status/1358714146389426176

2/x Charm is like a tree sloth . Charming & consistent but w/out the sex appeal & superhuman force of our WofF host, Vanna or our 10k lb , Gary. That said, if he’s anything, he’s predictable, particularly much like Vanna, when Gary is well fed his ’s... w/ the long weekend

3/x approaching & OpEx & Vixperation soon after, this is the time for our lazy low metabolism friend to shine. He is nocturnal & particularly active @ the EOD’s, from 2pm until 9am CST, as his theta clock accelerates during these windows. Tune in for our live NOVA special on !

4/x Though hardly prime time television, you will rarely witness a more perfect time to observe the creature in the wild. Everything from yesterday’s update still applies. w/out Charm & Vanna, underneath the surface, there are real problems at the W of F…

5/x It’s a seasonally weak period for the show, NTM w/a new administration calling the shots, a lot of upcoming uncertainty regarding gameshow rules and restrictions. Vanna also has less and less power these days, with a VIX floor around 20-21, & the ratings can only go so high,

6/x as we levitate 2 stdev above the 20 day. Sentiment (low short interest/low Put Call ratios) is at all-time highs when it comes to the W of F & you can’t help but worry that the recent resurgence of the Price is Right (the value rotation-NDX weakness) on cable will potentially

7/x begin to suck ratings away from all the networks (passive) that have fed this rally for all these years. Recently, there have been some major warning signs: Equity index skew is at the 95th+%, fragility as experienced by the historic outperformance of VIX/ SPX beta a week ago

8/x has spiked(speaking to poor liquidity on the tails), correlation has begun to rise from a historically low floor, TSLA skew & bearish flows have showed the 1st signs of a potential crack in the edifice of 1 of the most popular contestants on the show, NTM recently the pace of

9/x the rally has slowed, & we have had multiple 2 sigma sell offs. So, despite the calm façade, there's reason to be worried about the future of the W of F, if/when Gary were to lose his grip over the cast with a move below the 1 std dev down of the 20 day for 2 days…& W/ Vanna

10/x heading on vacation again starting for a week & a half on 2/16-17 & the administration likely announcing their new policy initiatives, particularly as it relates to China & Big Tech in their 1st coming SOTU... it seems this would be a particularly dangerous window coming up.

11/x If the cast is able to come together to support the show’s ratings again w/out Vanna, this will be increasingly bullish in the midterm as we head into the Spring & the beginning of what could be a Goldilocks slow reopening.Given all of this, we would expect some digestion w/

12/x an upside bias this week. Given the floor on VIX, this should be a great time for calendar call spreads again. This, paired w/ tactical vol selling in the front of the curve, to take advantage of historically high VRP, until Vanna heads back to the beach, should be the move,

13/13 as the market sits b/w structural weakness & Charm ’s supportive flows, should be lucrative this week. Continue to ride long deltas, scalping our levels, w/ our stop @ 1 stdev down of 20 day, tactically adding 0 cost downside convexity hedges for post 2/17. Good Luck!