Sharing the unique DD from u/pennyether from yesterday on $TMC:
TMC – Excessive Gamma, Excessive Quick Curiosity, however excessive IV (from 9-13-21)
As famous in my earlier put up, I have been holding monitor of some deSPACs.
Observe: I’ll rush typing this, as TMC appears to be going by a squeeze at this time so I wish to get this out as rapidly as doable. Apologies for the shittiness of it. I began this final night time after returning from trip however have had different issues to care for. (Edit whereas proofreading: FUCK it retains going up!)
My final put up was largely about VIH, and I included a shitty spreadsheet that I have been half-heartedly holding updated. I used to be unaware that the SOAC -> TMC redemption had occurred and the redemption quantity was fairly massive: 91%.
I nonetheless suppose VIH is an honest guess on a future deSPAC hype/squeeze/squeeze try, however till that redemption happens (which I don’t know when that may be), I do not count on a lot to occur. I’ve a small place in October ATM calls ($10, $11, $12.50) as these might see some IV enhance.
Set-up of TMC (previously SOAC)
As famous above, the redemption befell Thursday.
It appears like TMC has a fairly nice set-up, with one catch: The IV is already by the roof.
This is a abstract:
Redemption was 92%, leaving 2.7m shares floated. Towards the present OI and SI, that is slightly small.
DeltaFlux desk is extremely bullish, I might count on it to a minimum of hit the gamma peak of ~$10.75 someday quickly (edit: already occurred).
It is like IRNT was, besides has a very important quantity of shares shorted (relative to drift).
I believe draw back is ~$10.00 (possibly $9.00), whereas $15 or $20 is obtainable. I like these odds.
IV is already jacked, so I am entering into with shares. You may strive your luck at OTMs in case you have the balls for it.
This is a abstract:
1.00% float per 1.00% value motion may be very sizeable — TMC is at ~3.50%. Observe that that is utilizing a excessive IV to calculate gamma, MMs are probably utilizing a bit decrease, so I imagine precise gamma is a bit increased. In fact that is all an approximation anyway — excessive gamma is excessive gamma.
Web delta is >100% float. That is fairly superior.
For comparability, see the put up on IRNT earlier than it blew up. Gamma was at 2.50%, and shares deltahedged was at 91.00%.
TMC — $11.00 (+$1.59 [+16.90%]) — DeltaFlux Tables Defined
OI as of: Mon Sep 13 (at open) – Date used for DTE: Mon Sep 13, 2021 12:16 ESTWeighted Avg IV: 235.33%, Shares: 30,000,000, Float: 2,700,000, Avg Vol (10d): 2,309,000
Delta Flux desk:
Max Ache for Expiration: Fri Sep 17, 2021 16:00 EST
The final worth I obtained from Ortex for SOAC, the ticker earlier than redemption, was ~1.8m (9-14 EOD replace is ~1.2m). In comparison with a 2.7m float, the place a shit ton of that’s tied up in deltahedging choices, that is a really excessive proportion.
Additionally, given IRNT and the psuedo-retail-squeeze-season we’re in, the state of affairs for shorts is very risky they usually is likely to be simply squeezed.
I can see a squeeze taking place right here fairly simply. Particularly if it will get began earlier than Sep 16/17, when MMs would possibly dehedge a bit. If the squeeze pushes costs up above, say, $12.00, we’ll have constructive attraction which means MMs may not dehedge very onerous in any respect.
This is the Ortex screenshot for SOAC (from 9-13-21).
Ortex information for TMC. They do not have estimated SI, because the ticker is new I suppose. Undecided why they cannot simply carry it over from the previous ticker.
I am unsure what to make of the TMC “at this time’s modifications”. For one, I do not understand how correct it’s given the ticker change. Nevertheless it could possibly be that shorts are overlaying right here.
A phrase on IV, and Choices vs Shares
MMs have already caught on to the deSPAC craze, so if you wish to purchase choices, you may need to pay for them. And by pay for them, I imply the truth that the float may be very low and MMs have a tough time hedging is already priced in. So should you imagine the low float is the catalyst for this factor to fly, then shopping for calls is basically eradicating your alpha. If something, you are betting in opposition to your personal thesis.
That is the important thing distinction with all of those deSPAC performs post-IRNT: MMs are conscious that the float is low and so the choice premiums have shot up. You may nonetheless make an honest buck with choices if the underlying shoots up 10.00%+ or no matter… however the days of 10-baggers are over. Insteady, take into account a bigger guess on shares. It is not possible it goes to 0, however doable to see double digit proportion beneficial properties.
In different phrases: I might slightly achieve 30% on a bigger guess (and danger dropping, say, 20% of it), than achieve 100% on a smaller guess, however danger dropping all of it.
Social state of affairs
I might desire to get this out rapidly slightly than write my commentary on the social state of affairs. So I will not embrace full numbers of stocktwits, twitter mentions, and so forth.
This is my transient take:
Sentiment is rising on this one. It is one of many deSPACs that is truly transferring
Practically the identical set-up as IRNT, however with the twist of excessive brief curiosity… which you recognize will get retail foaming on the mouth
I do not see this getting onto WSB anytime quickly, nevertheless the deSPAC craze has drawn lots of eyes to different subreddits. So this might achieve some traction
Eyes are on IRNT (lately hit WSB), and ATER (I don’t know what this one is), and different deSPACs
I believe at this time’s value motion will draw extra eyes to TMC.
I do not know what’s behind at this time’s value motion:
It could possibly be a pump from social/different sub-reddits. In that case, that shakes my confidence a bit.
It could possibly be from shorts overlaying. I believe that is considerably probably however cannot actually inform.
It could possibly be from MMs delta-hedging — given the excessive IV, I do not suppose that is very probably, however there’s a important quantity of OI on $10 calls.
I’m bullish given how rapidly the worth on this factor can transfer with comparatively low quantity, so I am assured a brief squeeze or gamma squeeze will transfer this factor rather a lot.
Once more, I do not advocate choices at this value.
My positions (from 9-13-21)