Weekly Signal Playbook · Apr 30 — Sell Duration, Lock Vol
Crude paid. Vol is next.
This week: trim. Lock direction. Sit on our hands. We're not betting on whether the music keeps playing. Crude duration trade got trimmed on 4/29. Next-phase themes are clear (Compute, China, hedge for the knock-on). The timing isn't. We don't know yet whether the music already cut out these last few days or runs another stretch.
Three things this week: ① Keep trimming duration. ② Build the Long Vol tail (25% of planned size) now. It covers gap events (airstrike, credit, liquidity) that the slow triggers can't catch in time. ③ Write out the trigger plan for the main 75% (currently zero).
Strategy count is a cost. This week we subtract.
I. Where We Are | Coordinates
II. Phase | From “Deploy” to “Prepare”
Current phase: long commodities is the core. Light net short on equity. China Compute sits as conditional risk-on. The biggest unhedged risk is a gap event from military escalation. That’s exactly what the new 25% Long Vol tail covers. Once the Long Vol main triggers, the book pivots to defense by itself.
Last phase (4/16–4/29): main trade was long crude duration. It paid. Brent $90 → $126. Trimmed on 4/29. Curve steepener under review. This phase (from 4/30): trim. Lock direction. Sit on our hands. Next-phase themes (Compute, China, hedge for the knock-on) are directionally clear. Timing isn’t. This week we build the Long Vol tail (25%) for gap events. Main 75% stays at 0. Wait for triggers. Switch signals (any two triggers → start Long Vol main 75% build + reassess Compute Stack): ① VVIX over 95 for 3 days running (vol of vol loosens first). ② SPX skew (SDEX / 25-delta put) steepens hard (long-dated protection bid up). ③ HY-IG dispersion widens (credit loosens inside first). ④ NDX/RSP rolls over from highs (breadth weakens first). ⑤ Compute dispersion spikes.
Our read: we don’t know yet if the music’s still playing. We watch. One side: CTAs still bid, first earnings wave strong (GOOGL, AMZN), Fed sitting through June. Risk assets can extend. Other side: Fed 8:4 hawk-locked, 10Y 4.41%, Brent $126. Margin compression is already biting. Both paths are real. Don’t over-allocate to either. Wait for triggers. Mid-May to early June is structurally fragile (CPI knock-on + FOMC). We don’t assume that has to be the inflection.
My lean (not a base case): music probably runs another 2–4 weeks before the real damage hits. This is a lean for what to watch. Not what to size. Not when to time.
III. NEW DEVELOPMENTS | Probability Shifts This Week
Below are the probability shifts from this week’s news that reposition the framework.
