Exhibits
Structured product-driven VOL supply continues to underpin market upside. Next window of weakness opens circa August OPEX (16-18).
Structured product flow is a big and strong handed source of VOL supply that is “pinning” SPX, and until we get a larger “unpinning” move to the upside it’s going to be tough to have the downside really open up.
Video link here.
Subtle messaging from Karsan. “Vanna” flows are bullish flows from dealers buying back hedges as options expire out of the money. Once the market moves past options expiration, those flows diminish. This humorous hint at Vanna White is a subtle indication he believes the market is likely to get “ugly” without supportive “vanna” flows in place.