Notes and papers
Written from the desk on the mechanics of the options tape: how prints are classified, how orders are reconstructed, and what the aggregate record shows once they are.
Notes are short and specific. Papers go deeper into method, with the reasoning laid out so it can be argued with. Neither is investment advice, and neither is a position we are asking you to take.
- 2026-08-25 Order flow: tagged and reconstructed A single print, or a wall of prints, is treated as an order, a side, a structure. It isn’t, unless you say how you know. Paper
- 2026-08-25 Positioning is not a hedge map Most days the book is being flattened as it is taken. Positioning is a tail object. Open/close is a calm-market tape, and a chart that is right for the wrong reason will keep its believers. Paper
- 2026-08-20 The VIX call book grew for a third session Daily
- 2026-08-19 The book opened 15.16M against 14.26M ADV Daily
- 2026-08-18 SPY puts built for a third session Daily
- 2026-08-17 The VIX call book grew for a third session Daily
- 2026-08-14 The book bought tail protection and gold calls while three desks called for higher SPY confirmed 1,066,518 put opens against 165,407 call opens on the settled book, a put share of 0.68 on 983,531 confirmed opens in the SPX family. Nomura, JP Morgan and Bank of America each published bullish SPX views into a week where the index options complex built downside and gold added 566,922 call opens. Weekly
Nothing in this view yet.