Show was recorded at 6.45pm EST on Sunday 17th May, 2026.
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Today’s Slide Deck
Pod Summary
Trend Following Review
Rupert explains his 15% NAV allocation spread across seven CTA/trend-following funds (6 ETFs, 1 mutual fund). These have been “the solid offensive midfield” of portfolio performance over the past year.
Backstory: the allocation was made in response to inflation volatility breaking the traditional stock/bond hedging relationship.
Full 15% allocation was made in May 2024 at “a spectacularly bad time,” right before a painful drawdown. Recovery from drawdown occurred in October 2025, with the allocation finally charging ahead in recent weeks.
Greenlight for more Energy (Minute 5)
Key purpose of the CTA review was to determine where trend funds are positioned relative to 🐿️’s discretionary views — specifically in energy. We have green light.
Plan is not to add more futures, but to load up on energy equity closed-end funds — a potential “double win” on both energy cash flows and NAV discount compression.
Discussion of the sell-side convention of applying a zero multiple to “one-time” energy cash flows during price spikes.
Energy Transfer (ET) used as example: $1–2B windfall cash flows from extreme weather events shouldn’t be valued at zero given their network edge.
Modern energy companies are better capital allocators (returning via dividends/buybacks vs. drilling more rigs).
S&P Earnings Revisions (Minute 13)
Energy sector has had a 48% upward earnings revision since 12/31/25, contributing +150bps to S&P 2026 EPS; Tech with a +14% revision contributed 500bps.
Together, energy and tech account for essentially all of the 7% total S&P change. Both agree ‘26 and ‘27 energy estimates still “feel light” given the structural dynamics.
Volatility & Dispersion Markets (Minute 16)
30-day realized dispersion vs. 30-day implied correlation — current reading is a five-year outlier completely “off the map.”
On 10-year lookback: also an extreme outlier, comparable to early 2023 (Feb 2023 junk rally), summer 2024 (NVIDIA blowoff into the yen-carry unwind), and the Rivian November 2021 top.
Ned Davis Research correlation chart — Trailing 250-day median correlation of S&P 500 stocks to the index is near dot-com era lows and pre-Volmageddon levels. The high-beta/low-vol ratio (inverted axis) tracks this closely. Key prior extremes: pre-Liberation Day, summer 2024, August/September 2020, Rivian Nov 2021 top. Each preceded a sharp, fast correction — “not the end of the world, but crowding that set up something sharp.”
Dispersion vs. put-call ratio — uncharted territory — Dispersion divided by put-call ratio is at 10-year highs (only comparable to COVID on a 1-month basis). Translation: the market is overwhelmingly positioned in calls, nobody owns downside protection, and “if it moves, it’s going to move a lot.”
Skew data from Nomura — Call skew at the 100th percentile (1-year trailing); put skew at the zero percentile. 25-delta risk reversal “outrageously out of line” post-Liberation Day. A broker’s proprietary model flags a 75% probability of a 5%+ down-draft in the next 23 days. The “gas is in the tank” from levered ETFs, vol-control funds, and option dealers — a negative gamma environment where selling pressure accelerates as markets fall.
Negative gamma dynamics explained — In a normal environment, dealers sell puts; here they are selling calls (”spot up, vol up”). This means that on a down move, dealers have to unwind calls AND sell the underlying simultaneously, creating sharp, fast left-tail moves. Historical example: NVIDIA June 8, 2024.
Historical case study: Summer 2020 SoftBank “option whale” — The original dispersion/gamma squeeze was run by an ex-Deutsche Bank team working for SoftBank out of Dubai. They drove Apple up 23% in a few days on no news (August 4, 2020), before it collapsed 20% in two to three days.
Tactical opportunity: what to watch — Recommend QQQ over SPY expression for put positioning; also EWY (Korea).
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