'Teenies' and Lamborghinis

The Blind Squirrel's Monday Morning Notes, May 1st 2023.

#Wen lime green Lambo? The Blind Squirrel has already spent the winnings on his $DBA ‘teenie’ calls

Summary

• Big focus on volatility and ‘lottery ticket’ options this week. A thought triggered by Dean Curnutt’s most recent Alpha Exchange podcast.

• He focused his discussion around the sharp fall off that we have seen in both (headline) equity and bond volatility since the spike following the collapse of Silicon Valley Bank in March.

• Periods of low realized volatility often precede extreme market events. We are in one now and it could be nothing, but downside protection is now starting to get much more expensive and may soon no longer be available.

• We touch on gold, grains, sterling (yes, sorry!), luxury hedges, uranium and The Druck jinxing (aka goochering) everyone’s Japanese Yen trade.

Teenies and Lamborghinis

“Buy ‘teenies’ to own Lamborghini’s” is options market jargon that highlights the potential windfall profits available to owners of ‘teenie’ options with a very low theoretical proba…