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Ol’ Wisco | I don’t think the Managed $ was selling calls the market makers were and they were just offsetting Vega and delta risk in other options and futures Likely had minimal Vega exposure with a bias to upside considering how dead vol was before this break. Man aged $ was likely long calls a while ago as a volatility and margin play.
Volatility is around 38-39% front month. We were running 40-45%ish in 12’. That tells you how real is got in the options market. | |
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CFTC
