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What a wild couple of days! Yesterday the market closed up with a huge amount of put selling in the last several hours, close to a hundred thousand against ES for today's expiration. That helped to spur a lot of liquidity being added to the market, which in turn led to a lot of stops being run, and the cycle fed itself with dealer chasing due to negative gamma.
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Hey Mayhem, thanks for your hard work! We all appreciate your effort into making this community a great educational resource! For realised volatility, how do you compute it? Do you use the standard deviation of returns? Or some more heavy mathematics. My maths is probably my strongest point so be as quantitative as you like!
I have held $SRTY for some time now, and continue to hold. Today, my patience paid off. Now let’s see where we go from here. Probably a bounce for $IWM that’s very brief tomorrow, and then even lower lows.
Hey Mayhem - so glad I joined. Looking forward to continuing to learn from you!