Month-End Vol Trades

Adding NFP vol on the cheap/SLV vol and a GLD spread

In this post two weeks ago:

I suggested SPX put calendar spreads that sold Fed day vol to own giga tech earnings vol, shutdown vol, and NFP vol:

These are now $35 from $22 thus far. On the same premise, I also started QQQ put spreads:

Those are now $6. Not too shabby, so I am going back to the well, but selling all the event vol this week, Fed/giga tech/red hot AI/SMH name earnings releases/PPI Friday to own next week’s vol which includes NFP vol of course. First, an SPX 6930 Jan 30th/Feb 6th put calendar spread for 18.75:

And a QQQ $623 Jan 30th/Feb 6th put calendar for 2.50-2.55:

I’ll be targeting $30-35 for SPX and $4-4.50 for QQQ. You know the end of month is the underappreciated opex, and odd things happen. Last year, it was quite volatile both overnight and intraday, a real two-sided affair:

So, if we ramp on giga tech earnings late this week, good chance that will subsequently be given up and you can blame part of that on February seasonality and part of that on end of month opex. But, we can probably assume at the very least, this week will be a 0DTE playground as we get into it, exacerbated by these factors.

Now, on to GLD. In the chat I put up a few different SLV structures to capture a vol surface that is absolutely meme wacky:

But trading silver futures right now is like Talledega Nights, cougar in the front seat, a bag of cocaine taped to the bottom of a car with Staties on the way. Driving fast and taking chances. SLV vol went full loco in a gross exaggeration of spot up vol up:

Option volumes were in unchartered territory 6 million contracts yesterday:

And the 2x SLV ETF had quite the day for itself as well, this is now about $4B in size:

So, while the SLV chat trades have already left the barn on yesterday’s reversal, let’s stick to GLD on this one with more approachable vol, which in and of itself is not exactly snoozing but more in line with other expiration events: