VIDEO: The GYP Black Swan Hedge Series - The Foundation — Why Hedge
Three-month put-to-call skew on the S&P 500 has fallen 75% since March.
Dear GYP Members:
There’s a number that should have made every premium-seller’s head turn this week — and almost nobody noticed it.
The three-month put-to-call skew on the S&P 500 has fallen 75% since March. Investor demand for downside protection is plummeting. At roughly 0.04, this is the fourth-lowest reading in the last twenty years. Lower than the 2021 meme-stock frenzy. Lower than the post-COVID recovery euphoria. Lower than almost any “calm” moment we’ve seen since 2005.
Translation: nobody is paying for crash insurance right now. The market doesn’t want it. The premium for it is on sale.
That’s exactly the moment Mark Spitznagel’s Universa built itself around. That’s exactly the moment our 3-part Black Swan Hedge series was designed for. And Friday night, we kicked the series off with a 90-minute live session breaking down exactly what to do.
If you missed Session 1, this is what was covered.
The Setup
Tony B opened the session with a stat most traders missed: the average three-month put-to-call skew on the S&P 500 has dropped from 1.30 (during the April pullback) to 0.80 today. That’s a complete crash in demand for downside protection. The market is positioned so heavily long, and so unworried about a drawdown, that the OPTIONS market is no longer pricing in any meaningful risk of one.
Which means two things:
If you sell premium for a living, the math just got more dangerous. Premium selling works because implied vol consistently exceeds realized vol — that’s the structural edge. But when implied vol is COMPRESSED to historic lows, the cushion for unexpected moves is thinner. Tony R’s exact words: “In order for premium selling to work, there has to be some tail risk that can really bite your ass.”
If you want to hedge, this is the cheapest window of the last two decades. Insurance is cheap when nobody wants it. Tony R: “Yeah, it’s the time to think about it when nobody’s thinking about it.”
That’s why Session 1 spent the entire hour walking through hedge structures from the most plain-vanilla to the most surgically-applied — so you can choose the right tool for YOUR portfolio while the windows still open.
What’s Inside Session 1
We covered four hedge structures in detail, walked through live option chains on SPY, NVDA, and AAPL, debated trade-offs in real time, and addressed several subscriber questions. Here’s what was on the menu:
