VolStudies

Options theory- through the lens of a Market Maker. Bridging the gaps between the books and "the book"

[VolStudies @Vol_Studies]

Everyone asks me "what should I read?"

I recommend Natenberg first:

"Option Volatility & Pricing" is the industry standard-

a "prerequisite" for any junior market maker or prop trader.

And for good reason- it's timeless.

https://t.co/0MNoCOnTGX

[VolStudies @Vol_Studies]

Dealer Hedging Basics
Live today, Dec 22 at 8:00 AM EST.

A real trade from entry to expiration and how dealers hedge along the way.

Register:
https://t.co/pR5SW6NScz

[VolStudies @Vol_Studies]

"AMA Webinar | VolSignals
Join us on September 30th at 12 PM Chicago time. Bring your questions, get real answers, and see how our tools can elevate your trading.
Register: https://t.co/joFnNsLHa0

[VolStudies @Vol_Studies]

"Tomorrow at 1:00 pm EST → Free webinar
Intro to the Greeks: Delta, Gamma & Theta
Quick 30-min session + live Q&A.
Don’t miss it.
Register: https://t.co/lkbEqk0bVa
"

[VolStudies @Vol_Studies]

"Lets get back to basics with the Greeks.
On Sept 16, 1:00 pm EST, we’ll show you how Market Makers actually think about Delta, Gamma, and Theta.
📍 Free webinar
👉 Register here: https://t.co/Vpx1rNJXWO

[VolStudies @Vol_Studies]

"For swing turns, Vanna > Charm.
In a high-Vanna regime:
• Vol ↑ = forced selling
• Vol ↓ = forced buying

That feedback loop is the true compass for spotting market shifts."

[VolStudies @Vol_Studies]

CTA long exposure is at 4-year highs (GS).
From here, flows are asymmetric:
• Buy a little 📈
• SELL a lot 📉

When positioning is this stretched, even a small vol shock can flip flows.
#Volatility #CTA

[VolStudies @Vol_Studies]

"This week’s catalysts:
1️⃣ VIX expiration
2️⃣ Jackson Hole

Both hit with vol at low percentiles + skew at extremes.
That’s why… it’s a great time to hedge."

[VolStudies @Vol_Studies]

"Vanna > Charm
Charm explains intraday decay.
But for swing turns, Vanna is the real compass:
Vol ↑ → forced selling
Vol ↓ → forced buying"

[VolStudies @Vol_Studies]

"Flow ≠ context
Options flow prints without positioning context = noise.
Dealer books, systematics, gamma regime & Vanna determine whether that print matters.
We trade the sequence, not screenshots."

[VolStudies @Vol_Studies]

"Gamma / Window of Weakness
OPEX removed part of the gamma that pins price.
Systematics are max long → from here they can only buy a little or sell a lot.
That’s the “window of weakness” we’re trading into."

[VolStudies @Vol_Studies]

@SeedyPeacock @VolSignals Technically it’s dDelta/ dTime.

Options don’t decay linearly though, so in practice it’s common to slice time into buckets which better capture the way the option’s delta changes throughout the day

[VolStudies @Vol_Studies]

All options expire.

Charm tells you how option Delta
changes as time runs out.

Why it matters:

You may not hedge your options.
But dealers do.

As options decay,
dealers buy or sell futures to keep Delta flat.

Charm tells you where the market's going.

[VolStudies @Vol_Studies]

Master the basics with VolStudies.

options theory—
...through the lens of a market maker.

https://t.co/8YtXsHm5rN

[VolStudies @Vol_Studies]

Negative charm in markets
means dealers buy futures as the clock ticks.

Supports markets. Creates drift.
- Long options above the market means dealers get shorter Delta as time passes.

Short Delta?
—buy futures.

And the market drifts higher...

Is it stable?

Stay tuned.

[VolStudies @Vol_Studies]

Master the basics with VolStudies.

options theory—
...through the lens of a market maker.

https://t.co/8YtXsHm5rN

[VolStudies @Vol_Studies]

Right call, wrong trade.

Options are unpredictable in the short-term.

Why it matters:

If you have an edge,
spreading protects you from "bad luck."

Without it,
randomness can wipe you out
before your edge pays off.

Be the casino, not the mark.

[VolStudies @Vol_Studies]

Casinos limit bet sizes to hedge variance.

Even a 5% edge can be wiped out with one massive bet gone wrong.

Great options traders:
✓ Spread risk across positions
✓ Keep their edge
✓ Play the long (-run) game

Top traders aren't necessarily right more often.

[VolStudies @Vol_Studies]

Master the basics with VolStudies.

options theory—
...through the lens of a market maker.

https://t.co/8YtXsHm5rN

[VolStudies @Vol_Studies]

Buy stocks, write calls.

The BuyWrite is the OG of option strats,
pulling "income" out of your stock portfolio.

In the wild:

XYLD holds the stocks in the S&P 500,
and sells 1 month SPX call options on the index.

This flow hits like clockwork, each and every OPEX.

[VolStudies @Vol_Studies]

They sell at-the-money Calls
with the strike benchmarked against the SPX price
at 11:00 EST on Friday morning.

XYLD keeps the Call premiums as "income,"
but has no upside if the market rallies.

Your payoff in the end...
is the same as if you sold the same strike Put.