Introduces unique risk environment: President's tweets as new risk factor ('Tweet Gamma'), crude as current epicenter driving VIX, MOVE, credit spreads.
Host (Tom)
Asks Dean about current positioning given short covering and 'OMG' rally.
Host (Tom)
Dean Curnutt
Crude fell on ceasefire news, but rally fueled by mechanical trades: CTAs were short and had to rebuy, adding fuel.
Dean Curnutt
Hedges bought at high VIX are losing value fast (VIX falling fast + market going up = double whammy); to retain value, must sell fast.
Dean Curnutt
Selling a put you own forces someone to buy stock as hedge, adding more fuel to rally.
Dean Curnutt
Cautions against interpreting low VIX as pure ceasefire optimism; must respect positioning reshuffled by ceasefire.
Asks if clients want protection or to buy risk.
Host (Tom)
Dean Curnutt
It's both: S&P is benchmark, back to pre-war levels (~7000 futures); risk of underperformance is real, so reweighting occurs.
Dean Curnutt
VIX is proxy for price of 5% OTM 1-month put on S&P; costs ~55 bps now, which is 25% cheaper than pre-war and seems a good deal given added uncertainty.
Asks about weekend risk given one social media post from Armageddon.
Host (Tom)
Dean Curnutt
Pattern of bad Thu/Fri returns vs good Mon-Wed returns has faded; recognizes Trump's motivation to 'tie things up and declare victory'.
Asks about value of learning options Greeks.
Host (Paul)
Dean Curnutt
Options training provides framework for relative/arbitrage pricing and understanding probabilities; markets can deviate from Black-Scholes.
Asks to explain theta and gamma trade-off, especially re-hedging costs.
Host (Paul)
Dean Curnutt
Theta is cost of right to change mind (time decay); gamma is monetizable rate of change from market movement; hedging costs money, a key media omission.
Asks how to characterize trading over last 6-7 weeks; didn't feel panicky despite VIX near 30.
Host (Paul)
Dean Curnutt
Trading was fast/furious but VIX intraday high 31 vs 55 during tariff tantrum; macro events shift focus to index/ETF trading (less single-stock discussion).