- Today’s volatility forecast down (0.53%)
- 295 strike put asking well below BSM valuation (underpriced)
- Higher 1-week vol forecast would benefit long gamma trade (convexity)
- New volume on SPY 295 strike following short-covering at opening bell
The trade will be closed in the event of:
- an aggressive up-auction with failure to see rejection at ~ 3007-3017 (SPX) (high-water marks for IV & GARCH vol forecasts),
- geopolitical/econ news that pushes price to new highs where it finds light selling,
- I become convinced the market is undervalued at a top.