Historic Plunge In S&P Convexity Reveals The Best Bearish Trades In Five Years

One week ago, we noticed something remarkable: after dealer gamma printed in deep negative territory for several consecutive weeks, a powerful reversal in the beginning of the month sent gamma soaring by the most on record.

whoosh pic.twitter.com/5D8AcBpmlt

— zerohedge (@zerohedge) November 5, 2023

Fast forward to today when as noted earlier, the equity vol market is not expecting substantial fireworks heading into the October CPI print, with the straddle for the event in SPX going out at around 70bps EOD...