@azrael_options I agree it doesn't cap risk, but premiums as a function to lead periods of under hedging and over hedging of Deltas. Especially taken in context of their broader portfolio, they could have offset deltas through correlation on another instrument and not be active on the tape.
@azrael_options Why would they hedge more if they have (hypothetical number) 80% of premium collected from original transaction? Would over hedging just each into Transaction cost and create more -EV?
@azrael_options With that context, would you assume less hedging as Dealers realize Theta on these large positions as it creates a buffer to where they originally transacted at and their breakeven from an Option Pricing standpoint?
@XennialTrader Primarily thinking of the ES world. Range from midpoint ~+/-20 Tick range (20up/20down). Taking cancelations messages and aggregating past 5 minutes to the next 5 minutes ignoring MOO/MOC. Rvol in terms of High-Low range compared against T0 High-Low. Can DM prior notes.
SpaceX lists tomorrow. Forget the price target debates, the only thing that matters for the next 60 days is whatโs on their calendar.
- JUNE 12. Listing day. Only ~4% of the company floats. Whatever prints tomorrow, understand it's a price discovered by the thinnest sliver of supply meeting maximum sentiment. That's an auction for a scarce ticket.
- JULY 7. Fifteen trading days in, SpaceX enters the Nasdaq 100. Vanguard, the index complex, they don't get an opinion. They are CONTRACTUALLY required to buy, estimates running $8-18B, into a float sitting at its absolute minimum because insiders still can't sell. Forced buyers, fixed date, no supply. Everyone can see it coming, which means it gets front run, which is the point.
- LATE JULY. First earnings as a public company and right behind it, 20% of restricted shares unlock.
if the stock is 30% above IPO price, an ADDITIONAL 10% unlocks. The supply release is literally contingent on the squeeze working.
So itโll be a tiny float sets a hot price โ> index funds are forced to buy the top of itโ> insiders unlock into the strength they engineered.
It's a liquidity grab imho.
None of this says SpaceX is a bad business, it might be the asset of the decade. It says the first sixty days of trading have almost nothing to do with the business. Trade the calendar or don't trade it at allโฆ
Sending out some stuff to investors in the coming months.
We have some extra hats if any of you vol nerds would like em.
Just like the tweet and we will randomly pick a few folks to send one to.