Algo-based SPY & VIX Quant

We are entering a window of structural weakness as dealer flows shift against the market. ​As the summer volatility premium rolls off and implied volatility compresses, the underlying hedging dynamics change. Funds have been heavy sellers of calls for yield, leaving market makers with long call inventory. While volatility was dropping, positive vanna forced dealers to buy the underlying asset to remain delta neutral, providing a structural bid that kept the market elevated. ​Now, as those short call positions begin to unwind, dealers are shedding their long call inventory. The market loses that persistent vanna support, removing the floor and leaving us vulnerable to downside flows