The full Monday note can be found at www.blindsquirrelmacro.com

The Monday Note:

Show Note Visuals:

SpotGamma note the vanna and charm effects of the index options market.

Dispersion explainer: These days everyone is a seller of volatility and the dispersion trade (long single stock volatility, short index volatility - explainer here) continues to be crowded.

David Dredge’s excellent April Risk Update - “Wittgenstein’s Ruler” elegantly points out some long-term patterns from the past, highlighting how extreme compression in FX vols often acts as a harbinger for major (unforeseen) risk events. With hindsight it all looks so obvious!

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