People keep asking @multistratmark why market makers don't just run his strategy. They aren't in the risk premium business. They've spent a hundred million on infrastructure to capture the bid-ask with almost no risk. Collecting premium isn't the job. They are in for a different game.

The thing people keep getting wrong about the current vol regime is assuming it decays on its own. It doesn't. Somebody has to come and take the other side . Set the scene first. For most of this month equity vol has behaved backwards. Sell-offs have not produced a vol bid, rallies have not produced a vol offer. That is the reverse of how this market normally works, and the cause is that the street is long skew rather than short it. Now the bit that matters. For the normal reflexes to come back, dealers have to be short skew again. And the only way that happens is if clients turn up and buy skew back off them in size. It isn't time that fixes it and it isn't a news event. It's flow. So the question I'm sitting with is whether that demand arrives next week, or whether we wait until the end of August, when the current expiry clears out and the positioning resets by itself. There's a second effect underneath all this that I think is underappreciated. The inventory the street is carrying is supportive. It holds the market up on dips, and it also caps how much of a bid vol can catch when we do sell off.

Owning a genuine megatrend name doesn't exempt you from a broad sell-off. If the index wobbles into the midterms, most of these go with it. They carry beta whatever the story says. A handful with their own supply dynamic might escape. Great story, still correlated

High VIX" and "low VIX" are close to meaningless phrases. A VIX of 30 in 2008 or 2020 was a terrible time to sell vol. A VIX of 30 at almost any other moment was superb. Same number, opposite trade. It isn't a valuation like a P/E. It's a statement about now.

Long-time followers know I have my doubts about GEX as a number. I asked Mark (@multistratmark) for his view and he did not hedge. He thinks it is complete rubbish, and his reasons are different from mine, which made them worth hearing. His first objection is practical. Nobody has produced a systematic, backtestable way to trade off it. If a number is genuinely informative, you should be able to demonstrate that with data rather than by pointing at a chart afterwards. His second is specific to short-dated trading. He accepts the observation that price often pauses at these levels and comes back. But if you are running a stop, that does not help you at all. You get stopped out at the level and then watch the market recover without you. The third one I had not considered. On the day before a mega-cap earnings print, that single stock might be eight percent of the index. Whatever is happening in its options could be wagging the whole index gamma picture, and none of it necessarily shows up in SPX data. He offered a fourth on positioning generally. Hedge funds being long more VIX calls than ever tells you nothing on its own, because they might simultaneously be shorter SPX puts than ever as the other leg of a relative value trade. His hierarchy was clear enough. Spot price beats GEX, and what the option chain is doing beats both. I'd not put it quite that strongly myself, but I take the point.

Mark Anderson @multistratmark now runs a fund trading one of the more demanding corners of the options market. Before that he was doing construction in the Bay Area and fixing up rental properties. His explanation for leaving was one sentence and I have not been able to shake it. A good hourly career is a high floor with nothing on the upside. That is a fairly brutal summary of the trade most people accept without examining it. You buy safety and you pay for it by capping what the work can ever become. He wanted the shape of the payoff to be different, so he sold the rentals and went into markets full time. There was a nice piece of timing in it. He went properly full time in 2022, which is when 0DTE went to five days a week. His words were that the maths worked once you had five days of compounding. The bit that made me laugh was what happened next. He had met a group of maybe twenty people in various online communities, and between them they all started funds. He reckons that loose group of internet traders was doing more 0DTE volume than any pod shop or bank desk. I think a lot of us ex-bank traders could learn a thing or two from those guys.

"We roughly spend 55% of our P&L on slippage" @multistratmark (Mark Anderson) on where the money in 0DTE actually goes. Mark trades one of the largest 0DTE books I know of. Before this he was doing construction and fixing up rental properties. 0:00 From Construction Sites to Running a 0DTE Fund 2:21 Why 0DTE Isn't the Casino Everyone Thinks It Is 3:55 What His Book Really Is at the Tail 6:27 Why He Buys 80-Vol Options on Purpose 10:37 Is the Risk Premium Broken? 13:34 Where I Disagree With Him 15:02 Why "High VIX" and "Low VIX" Are Meaningless 16:48 The Three Volatility Factors Nobody Separates 19:03 55% of His Profit Goes to Slippage 20:08 Fifteen Strategies, Only One That Works 30:56 There's No Such Thing as an Uncorrelated Strategy 32:16 What He Does on FOMC Day 35:04 Is the Edge Structurally Decaying? 40:41 The Cost No Trader Can Control 44:56 Using Anything as Collateral 48:19 Captain Condor and the Target on Your Back 50:10 Why Market Makers Don't Just Do This 55:22 What Retail Gets Most Wrong 1:01:50 The Truth About GEX