Show: Market WineDown Episode: 4 Title: VIX Rises With the Market, the Avis Gamma Squeeze & a Napa Cab | Market WineDown Show Ep. 4 Date: May 22, 2026 Runtime: ~23 min Video ID: AaCq3sRTFBE URL: https://www.youtube.com/watch?v=AaCq3sRTFBE ============================================================ Welcome to the windown. This is Mark. Wait, this is Mark Phillips. I did it wrong. And this is Lex. Go figure. I can never get this right. Mark, you're hidden in the into the cellar. Do you sleep there often? Uh, only when I get excommunicated. How often is that? Not as much as I'd like given what I've got down here. That's right. Well, good to see you another week uh almost in the hopper because we do these things on Thursday after the close. I think that Thursday for me is sort of a synthetic Friday in general now that I'm in the retail trading world um as opposed to being in the pro world on the floor because in the old days we'd have to go down to the floor on Friday. At least I would. Um in the new days I can do whatever the hell I want on a Friday. Therefore, Thursday becomes synthetic Friday. Any of that make sense? Absolutely makes sense. And expiration's all automated right now. So, I mean, not only do we have them every day, but when it used to be on Friday, you even used to have to stay late on Fridays. Yeah. You had to balance, right? Or what the hell did we do? We had to make sure we didn't have out trades or something. Oh, when I first started, we were queuing out carbon copy trades and we were double-checking that you weren't exercising more than you had, that you checked your botto. There was all kinds of manual manual details to be reconciled. Yeah. Um, so I Yeah, those those were fun days. This is all that it's all it's all behind us now. So, you just if you have a problem um in a retail account, uh you're they're you're going to know about it as quickly as the brokerage firm gets it and it's pretty quick, right? Would you agree with that? Yeah, absolutely. Uh and everything's automated now. I mean, they keep shrinking the automated exercise uh threshold, right? Yeah. I think we're down to a penny now. Um, so basically everything that should happen will just automatically happen automatic. But yeah, automatic. I gotcha. Okay. Um, anything anything exciting for you this week? You know, I think one of the things you and I talked about pre-show that I'll just toss out there, see what you think about it, is um we had markets reaching new highs this past week and we had implied volatility actually running a little bit higher as well, which is an unusual phenomenon, right? When when V is positively correlated to spot to the upside, did I say that right? So, V up market up. No, that doesn't happen very often. Did you see that as well? No, not in equity. I mean, I saw the same thing, but yes. No, that that does not happen in equities because, you know, we typically associate rising prices with better future, you know, results that stocks are going up because the future, you know, revenues of all the companies are are going are increasingly positive that there's reduced, you know, volatility on the horizon. And so yeah, you generally tend to see more certainty, rising prices, reduced volatility. Um, but the, you know, the explanation that I saw was that it was due to uh kind of more downside bid uh that it was investors kind of going for some hedges. Um, that some of the order flow was indicating that uh we're seeing a little bit of that rising vault coming from rising downside skew um that you know people see 7100 S&P and say might want to buy some puts and lock this in. Right. So what is that? So, so then but wouldn't that would that would that affect the skew more than than rising V across the board or I know and and let's get into a little chat about the you know the the u the relationship of of one option to another right they're all connected right um so wouldn't that make the skew steepen or could it necessarily bring up the whole curve with the skew steepening you know what I mean so what I've actually seen and this is a great point that we should be a little more specific that I've seen at the money v relative relatively stable, but the VIX itself is actually up a little bit, up a touch. And that VIX being up indicates some of that skew because we are seeing the rising downside. Even if kind of the pivot point in the middle is staying the same, if you're going like this, that's going to increase the VIX number because it includes that full strip of options. Got it. Got it. I'm trying to read this real fast from Ed. You know, by the way, folks, if you don't subscribe to um Mark, first of all, uh Harvested Financial, it's called the till. Um you can plug what you want while I read this. I believe you were talking about the volatility digest where we saw this factoid from No, I'll tell you about your thing. I'm giving you a chance to plug. So you um well, check me out on the tape.report. Um and that's where you'll find all the different like analytics I build, but also links to my different blog. And the blog you're talking about is the till. That's where I write weekly about market structure, about how to think about options, how to think about not trading options or when to trade options. Um, all kinds of good fun stuff. And, uh, I do in some good wine knowledge in there, too. There's pretty regularly a connect to the to the wine world. I like that. I like that. Yeah. So, you're right. I'm reading what Ed said. Um, and I'll get back to Ed in a second in his in this his post. Um what he said it was d the the the spot up dynamic was driven by a combination of higher fixed strike balls and long risk reversals long risk reversal positioning. So i.e. investors selling upside calls to fund purchases of downside protection or puts right. So they're selling a little bit of upside buying that downside and that curve steepens a little bit. It does swing that implied volatility a little higher. Okay. And it makes sense. You know, people are like saying, you know, with the global tension that's out there, you markets can do just about anything and we're at all-time highs more or less, right? So, why not buy a little protection while we're here? Absolutely. And I think, you know, another one of the unique features that I saw for that was also relatively rare is that we tended to see more upside volatility contributing to the realized V than downside volatility. that typically, you know, the old adage that you take the staircase up and the elevator down, prices move down faster than they tend to move up, right? Whereas over the past three weeks, we've seen the exact opposite that prices have just, you know, leaped over themselves to get to these all-time highs. So, we break down that realized V, more of the moves that are contributing to the realized number are coming from positive moves when it's almost always the opposite. Right. Right. That's interesting. Um, yeah. and and and you read this market commentary from Ed, right? Uh regularly. I I think I'm I'm on the list. I know that it's called it's linked to the report market volatility digest from them. And I I think it's probably a SIBO output. Is that accurate? Yep. Yeah. It's the Him and Mandy do it too. Mandy. Yeah. Manny Zoo. Yeah. So, if if you guys aren't you guys watching this aren't aren't subscribers that I' I'd suggest giving that a try. It's it's it can be a little bit technical and scholarly. I think from time to time, but it's it's really interesting. I I I really like reading reading their stuff. So, um yeah, it's good insight into, you know, what's going on in the marketplace, right? Like your line earlier about how institutional demand for some of those risk reversals, right? You can see kind of what the big boys are trading right now, you know, what the big order flow is that's that's moving pricing around, right? Yep. No, I like that. Uh really good. Um, so speaking of uh of volatility, okay, and and moves and big moves. Did you follow car last week? So car is for those that was right by me. Yeah, car for those who don't know is Avis Budget Group. So the the rental car folks, the ticker C. I know we're going to come up with some something punny here, Mark. We got to come up with something because car went on a roller coaster ride. Um, from, you know, I want to say 92 is I think what we looked at it pre pre-market or pre-show uh about a year ago 9293 to like $713 in this happened in a week, right? Yeah. What is that called? Is that a short squeeze orma? Certainly what it looks like from the charts. Yeah. Uh it certainly wasn't due to changing fundamentals. No, not at all. So we I think we had that classic short squeeze. Are you able to describe a short squeeze for the folks or you you want to do it together? What what is a short squeeze? Um you know just in its in its basic form. So when you sell a stock short uh what you have to do is borrow that stock, right? And borrowing stock was actually a really important component of what we did as market makers, right? Because we were borrowing stock to hedge our sold puts or long calls. Uh so you're borrowing stock and stock borrow rates are really important. Not only you know how much is available of that stock but how much you're paying for that stock right? So in short selling you're obviously doing the reverse of long buying uh that you sell it first. You borrow someone's stock you sell it and you promise to give them back the money um you know once you buy it back and ideally you're paying less to buy it back than you sold it out for. However, the squeeze factor comes in because there really are only so many shares out there. And not only is there a limited float, but there's also price action that's going against you. So, every dollar that stock's going up, you're increasingly losing money, reducing the amount of margin that you have available in your brokerage account. And whether you're forced to for margin reasons, whether it's your own internal stop-loss, whether you're panic trading, if you're coming back and buying that, all of the sudden that's got a cyclical effect, that squeeze effect where one buyer then raises the price for the next buyer who's then increasingly impacted by, you know, all the above factors and you get this sort of positive, you know, self-reinforcing cycle to the upside. Yeah. It becomes a whirlwind that just spirals upwards. And and not to mention that the possibility of a little bit of gamma squeeze in smaller stocks like this. Um the only reason I say I I qualified is I think people talk about gamma squeezes in S&P and I'm just not a fan of that because I think SPX is such a gigantic market. Um I I I find that hard to believe that the market makers book would cause that in an SPX type product. could, I guess, but much more likely in a stock like CAR, Avis Budget Group or like GME, we saw that as well. Um, and just to add to that cycle, right, of what you just said? If a market maker selling calls to the public or whomever, guess what he has to do to to get flat? Well, he's got to probably buy a little stock himself, right? That's the easiest way to get get deltas back is buy stock because the options aren't necessarily super liquid and they are the liquidity source. So they're selling you whatever you want but prices keep rising blah blah blah. So that can also cause that cyclical effect as or not cyclical but that spiraling effect. Um what I noticed was when I looked at it uh when we got to 700ish um there were 900 calls that were listed right and they were in 10 $10 increments way up there with three days to go. Okay. And this was last week with 3 days to go. The 900 call was $43 bid with the stock trading around 550. I'm like, what? Holy cow. And and if if you look back, the stock did make a run up to in the mid700s to give you enough scare. It doesn't it's still far away from 900, but those things probably goose themselves up from $43 and give you, you know, the willies uh before they went to zero. But can you imagine $43 for that call with three days to go? What what volatility is that in your head? I don't know. It had to be like 500. Oh yeah. I mean, we might even be talking four digits on something like that with that short of time, that much out of the money. Um, it's crazy. I mean, it it definitely brings back memories of GME what we saw a couple years ago. Oh, yeah. Where the highest listed option is still doubledigit dollars to buy. Yeah. It's crazy. I And then you say to yourself, you know, I I would love for someone uh to ask us, well, geniuses, tell me what the 890,900 call spreads worth. What's fair value? It's a $10 spread. Is it just worth the middle point? Because everything's a coin toss. Everything's a roughly a 50 delta. I don't know. I mean, it's got to be darn close. And I don't think I'd want to buy it. And I don't want to sell it either. I'm selling that. I'm I think I'm selling that. If you're if you're paying five bucks for that 890900 call spread with three days to go, I'm probably selling that. Yeah, I'm I'm I'm if I if you had a gun to my head, I'm selling it for sure. Definitely not buying it. Um but I think if you bought it, you probably get a chance to get out of it for better than better than five. It's I don't think it's worth the middle point. I really don't. I think mathematically it's probably worth, you know, somewhere in the 38% of that strike value difference. So 380, $4 thereabouts. Do you have like a Black Scholes calculator in your head? How'd you do that so quickly? I did. because I figured out what the deltas would be and I took the difference and then I said, "Well, if that's the case, the difference has got to be about 6%." And then that comes off of those two numbers of the delta. Um, just it's it's it's sticky math. I mean, just very rough, but 380 I might be buying. I I might be buying. Yeah. Yeah. I'm not selling it. But I I gotta tell you there's, you know, and then when you look when the stock ran up to 700, you look at the the 300 put that all of a sudden was a big number too. But here's what happens in the stock like that. Skew also upside skew becomes positively correlated as well. When stock goes up, V goes up in a stock like that. And it's the opposite. When it goes down, stock goes I guess it's the same I guess it's the same thing. V goes down, stock goes down. When stock goes down, V goes down. So when it went down, and it was down pretty hardily. Um, the V went down, which is nuts, right? Yeah. That's a tough put to be long, right? Because you need a serious move in a very short amount of time to make that pay itself off because as soon as whatever is causing this vault, like we think most likely a short squeeze, but could be anything. Anytime that skew gets completely out, like if you're long that put, you're probably gonna I'd love to know what the dollar price is, but like you need to see a serious move because decay is not your friend and you're probably paying a pretty high implied ball for it. Yep. 100%. So, all right, enough of that stuff. Let's move to something juicy like wine. Oh, what are we drinking? I have it as well. But, um, the wine for me today is Hobel. H O B E L. It is of course a California uh Cabernet. Um it is it's a small production. When I mean small, I mean they probably produce about a hundred cases a year in this thing. And this is a 2023 um 100% Cabernet. The wine maker, he's a renowned kind of dude in California. His name is Thomas Brown. Thomas Rivers Brown. Um and he's he's you know one of the better ones out in out in California. Um, pretty pretty famous. Um, so you know th this thing is going to be I I did I tell you I can't smell anymore. Oh no. Do you know why? Uh, are we talking CO? Yeah, dude. I got I once I got I got CO like three years ago and I lost my smell. I didn't even notice it until my wife said the dog took a dump on the carpet and she smelled this shitty smell and I couldn't smell it there. I walked right by it. I'm like I mean I didn't see it. It was kind of hidden. I'm like holy cow. You could that smells that bad. I I can't smell a thing. Anyhow, um I digress about smelling But here, this is not This is You're not putting your nose deep enough into the glass. You You really need to be sniffing every sip. I know. You got to get a get a grip. I still can't smell anything. But it is supposedly bold and structured, super concentrated. Um which I believe them. Uh because it taste I my taste is good. So, it is it is absolutely uh uh you know, for me one of those kind of knock you in the face kind of wines with a good right hook because it's it's big. 100% Cabernet Soven. Yep. Yep. 100%. So, and you know, if the the the the annals say it's it's blackberry, corrant, um dark cherry. You can see the colors in it like that, too. Um, I like wines that taste like that. Um, because they really go well with steak and I love steak. Uh, and you know, this is the leftover from last night because I'm a baby. I can't drink a whole bottle anymore. And I had steak. Go figure. And I had this wine with it. I love that. The uh, you probably get like almost maybe a little chocolate on it, too. Is it that uh, rich of a c? Yeah. Yep. Definitely a little chocolate. Say a little little little blueberry compost and chocolate. I'm like, wow. You know, if I had to Sounds like dessert. Yeah, right. If I had to describe this stuff like that. Who comes up with these words? I can't figure that out. But it's got a um an ABV of around 15%. So, you know, that's pretty that's pretty good. Yeah. No wonder you can't get through a bottle. That's That's heavy. That's heavy, right? It's called Hobble and it's called the joist. So, um and the joist is a uh in woodworking it's a plane, which I didn't know. Um, it's a it it's been used for centuries by skilled craftsmen to smooth, balance, and finish wood surfaces. So, they kind of made that little analogy and, you know, kind of deal. So, it's good. It's It's hard to find. It's Oh, I didn't tell you how much it costs. Uh, I don't know because I came in in a case. So, they're saying it's around 110 to 150 a bottleish. You know, somewhere in that ballpark, which is, you know, folks, I'm not drinking wine like that every night, but that's a little expensive. I get it. Everyone wants to know the great $50 bottle of wine that tastes like that bottle that's 150. We'll have them. Don't worry. They'll they'll pop up from here from time to time. Um but you know Mark seller they're all like $500 bottles so or and beyond. So you know good luck. I wish. Uh now was this on allocation that you got this or were you can we find this in stores? So one of our sponsors on the show is is a company has a firm called our company called Acme Fine Wines. It's based in in uh St. Helena, um, California, which is in the Napa Valley, um, up north a little bit. Um, and Acme is a small boutique shop. So, it's a little luxury wine shop. And I visited them, God, probably 20s something years ago, I'd bet. 23 years ago, they have a little, you know, whatever subscription thing where you can join their club. So, it's called the Under the Radar Club. Okay. Acme ACME. If you ever want to join, it's great. They'll send you two bottles a month, okay? And it's always, as it says, under the radar stuff, 100 cases or less. Um, and it's really wild stuff. And you could say, I don't want pen noir, or I don't want Cabernet. I do want this. I do want that. So, you can kind of fill out your your kind of description and they send you that. So, interestingly, I get a the UPS guy comes over the weekend and I'm like, "What's up, dude?" And he's got this big box. He goes, "Oh, I got your wine." And I'm looked at, I go, it's a 12-pack. So, I'm thinking to myself, Acme Wine's 12, but I usually get two. Well, you know what happened, right? We live in winter places, so they kind of held them back from shipping over our winter. Now, all of a sudden, the spring comes. I've got two bottles six times coming my way, and I'm I've got all of a sudden a new case of wine. They're all different, too. Every wine's different. So, anyway, that's my story. I'm sticking to it. That's fantastic. Well, I'm glad because like it's nice to be able to get something like that in a store. That's one of the more frustrating things I find about the California marketplace is that everything's done on allocation. Yeah. You got to wait in these weight lists to get access to get offered to buy this. Yeah. You know, yeah, I agree with you. Not a fan. I would say this stuff if I called them up, if I like this, which I did, and I just emailed them that, you know, I know that I know the gals. Uh I I work with Liz over there. Um I say, "Liz, I love this. Can you send me four more bottles, three more bottles, five more bottles, six more bottles?" She says, "If they have it." Yes, sir. On its way. They keep your credit card on fire, which I love. Bam. Comes, you know, everyone's happy. Uh, my wife's We opened three bottles last night because pino noir first with my son. He likes pino. I like pino. My wife hates it. So, she's like, "Open me something." He opens up a flyer that she didn't like. It's a little light on the Cabernet side. So, then what about this one? We look it up. Hobble. I'm like, "This one looks pretty big." eggs. Well, let's open up. Well, wait. Can't we finish the last one first? Of course not. I got to open three. Oh, wow. So, you got two leftovers today. Got two leftovers. And the pino is going to be on another show. The pino is my favorite of them all. That was the best. So, I can't wait. I mean, you know, I love my penino. I prefer my French pinos, but uh you know, they make some acceptable stuff in California. I know. I agree. I agree. All right. Um we should probably go. Uh good good seeing you as always. Good chat. Um, for the folks watching, you know, this is our new show. It's called the market windown. Um, you know, Mark and I are going to be talking about market stuff and things that pop up during the week. Some, you know, general market things, some specific things. We're always going to talk about wine and lifestyle and some of the things we're doing to have fun because in the trading world where we come from, you work hard, you stress a lot, you make, you win, you lose. And you know what you need? You need to blow off a little steam. and we both somehow stumbled into the wine part of the world to blow off some steam. So, we're going to make it kind of fun that way. Anything else from you, Mark? No. Drink something great this weekend. I agree. I agree. And always have always happy trading, right? Trade smarter, not harder. All that kind of good stuff. And don't forget to follow Mark on uh at Harvested Financial and the till, his great newsletter. All fun stuff. And we'll see you next time on the Windown. You know how the financial world goes. Here comes the buzzkill. Please make sure to take some time to read this boring disclaimer. We will owe you one.