Big Bearish Option Flow Meets Big Bearish Yield Curve Steepener
From Macro-To-Micro Options Power Hour recorded on Aug 27, 2025
In this short clip from Macro-To-Micro Options Power Hour, recorded on Aug 27, 2025, Samantha LaDuc and Hans Albrecht discuss a large September-to-December options roll (~250k contracts) that is likely tied to an MSCI rebalance and created bearish dealer flows, raising the risk of sharper selloffs if volatility picks up.
They highlight how a lower aggregate “vanna” could remove support for the current grind higher, flagging key levels like SPX ~6505/6441 and Nvidia ~$172 as tripwires.
The duo also unpacks the accelerating 2s/10s yield-curve steepener—bearish for bonds, supportive near-term for banks, but ultimately a headwind for equities as long-end rates rise.
Near-term catalysts include the Sept. 5 non-farm payrolls, FOMC dynamics, and U.S.–China headlines, any of which could shift the market from a melt-up to an air pocket.
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