Knowledge Win
So, the market didn't bleed out, it did the exact opposite of it. To be fair I woke up this morning to a potential 45-day ceasefire between Iran and the US. Source: Ceasefire
It sent the value of my put to the lowest pits of hell, but I am not mad at it, not entirely. I used this as data collection for my own understanding. At the same time though, I'm not gonna lie, I do feel like there is insider trading taking place with the news dropping at random hours and very unpredictable as well. Nevertheless, let's jump in today's Citigroup performance and VIX as well.
On the left hand chart, we have Citigroup's performance against DJI, where it is evident that C outperformed DJI today. At the same time, DJI in general was ~0.35-.36%% up today.
On the right chart, we have today's VIX, and as shown, we saw an a decline today between high 25.30 and 23.17 as the lowest, but the closing VIX being 24.17
Now, I've been performing a spread analysis between closing prices for Citigroup and DJI, with an additional Moving Average Spread. Let's take a look:
| Date | C Return | DJI Return | Spread | Spread_MA | VIX | RS_Ratio |
|---|---|---|---|---|---|---|
| 2026-03-24 | 1.88% | -0.18% | 2.06% | nan% | 26.95 | 0.00247 |
| 2026-03-25 | 0.65% | 0.66% | -0.01% | nan% | 25.33 | 0.00247 |
| 2026-03-26 | -1.81% | -1.01% | -0.80% | 0.42% | 27.44 | 0.00245 |
| 2026-03-27 | -4.47% | -1.73% | -2.75% | -1.19% | 31.05 | 0.00238 |
| 2026-03-30 | -0.10% | 0.11% | -0.21% | -1.25% | 30.61 | 0.00237 |
| 2026-03-31 | 5.72% | 2.49% | 3.24% | 0.09% | 25.25 | 0.00245 |
| 2026-04-01 | 1.67% | 0.48% | 1.18% | 1.40% | 24.54 | 0.00248 |
| 2026-04-02 | -0.04% | -0.13% | 0.09% | 1.50% | 23.87 | 0.00248 |
| 2026-04-06 | 1.83% | 0.36% | 1.48% | 0.92% | 24.18 | 0.00251 |
In the above, we can see the spread increasing, which can indicate that the C is going to continue to move up. However, when we look at our Spread Moving Average of the last 10 days, we are looking at an actual decrease, we see this from 1.50% on Thursday to 0.92% today. This tells me that there is a tug-of-war between sellers and buyers. At the same time, we see that the VIX is in that 23-25 limbo, which can become frustrating, but also explains why C has remained strong despite the news.
As a data person, I decided to also include the probability for my expiration contract on April 10, and arrived at the conclusion that:
The market expects Citi to stay between $114.37 and $120.35
Status: My $110 Put is an 'OUTLIER' trade (Needs a 2-Standard Deviation event).
If the above from the analysis proves to be true, then it may explain why the Spread MA is decreasing. The drop in price may take place, but perhaps not a drastic drop. While Citigroup is $1.23 down in after-hours, it is not solid. We've seen this in the past, and I'm not trusting it if it's below $5 during after hours.
I'm implementing a different angle here, I hadn't been looking at the spread, I've adopted this spread analysis to filter out the noise of the ever-changing news cycle.
Today wasn't about the P&L; it was about the Spread. While the headlines shouted 'Ceasefire,' the 3-day Moving Average of Citi's relative strength told a different story, one of decaying momentum. I'm holding my position not out of hope, but out of a desire to see if my quantitative analysis can outlast the strategic noise of the headlines.
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