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Gamma

Asteroid JHEQX UpdateAsteroid JHEQX. This idea is an update on the JHEQX for any of you that track this market asteroid. The JHEQX is approaching Zero Gamma. At zero gamma the flows are fairly muted. The strike price is ~3795 for zero Gamma. BEAR CASE If the price declines below 3795, dealers will start selling with the market and create more volatility. BULL CASE The same is true for the positive side of 3800. It has been very supportive bottom for SPX. PINNED CASE There is also the case JHEQX at zero gamma acts as a pin until the end of September when the product is reset. Here is the gamma curve (Negative is positive for dealer position) And the delta curve for tomorrow at 2:30pm VIX could go either way. My guess is 3795-85 back up to 4000 for end of OCT. The 0.75 hike is priced in already. If a surprise full point hike then 3200 possible by the end of Sept. See asteroid Trail for times of negative gamma. See Jan13 decline into negative Gamma. See Apr21 decline into negative Gamma. Both times SPX dropped 12-15% in 10 days or less. Both times were after JHEQX expired, not near expiration like we are. Zero Gamma acts as support in a decline from positive gamma near expiration. See Sept 20 Bounce from 2021. Right at same expiry, direction. After reset, when the asteroid no longer has gravity like flows, much less resistance rolling over. I’m not sure how far JHEQX resets go back. But if you look at the trail I created of estimated positioning during roll overs, you can get a good sense of when the market breaks for a leg down.
SP:SPX
by SPYvsGME
4
Revisiting my prior theory on creation of GME FTDs through TTTHello everyone, Chem here.. Earlier this year along with the help of copious amounts of information on Reddit. I discovered that it is super blatant that TTT (ProShares Ultra Pro Short), seemingly spikes strongly into GameStop run ups. Overlaying the charts has allowed me to view and observe perfect symmetry between the two. My theory and ideals on this entire topic stands. If you wish to read my extremely detailed ideas and rant topics then feel free to somewhat educate yourself. Kenny G, ain't no stoppin' me. Cant stop. Wont stop. GameStop. Just sold my car for more shares, I bike to my chemical warehouse job where I work 80 hours a week at. I'Il inhale cancerous products 24/7 just to fuel GME fractional amounts if it means cell one day. You give me power Kenny G. Thanks you Check out my other great topics about this same idea. GME to the moon Not financial advice. Also I'm 100% on my calls so far, in terms of success, if that means anything to you analytical people. Further explanation in comments.
NYSE:GMELong
by Trexarch
9
Revisiting my theory on GME FTDs creation through TTTHello everyone, Chem here.. Earlier this year along with the help of copious amounts of information on Reddit. I discovered that it is super blatant that TTT (ProShares Ultra Pro Short), seemingly spikes strongly into GameStop run ups. Overlaying the charts has allowed me to view and observe perfect symmetry between the two. My theory and ideals on this entire topic stands. If you wish to read my extremely detailed ideas and rant topics then feel free to somewhat educate yourself. Kenny G, ain’t no stoppin’ me. Cant stop. Wont stop. GameStop. Just sold my car for more shares, I bike to my chemical warehouse job where I work 80 hours a week at. I’ll inhale cancerous products 24/7 just to fuel GME fractional amounts if it means cell one day. You give me power Kenny G. Thanks you Check out my other great topics about this same idea. GME to the moon Not financial advice. Also I’m 100% on my calls so far, in terms of success, if that means anything to you analytical people.
AMEX:TTTLong
by Trexarch
Quick Gamma UpdateMost of you by now know I like to follow these big hedges in the market as a gauge for volatility. It's a driving factor behind things like Vix Highs and Lows being pinned at very specific ranges. CPI was really just a catalyst that pushed some larger Marco flows negative like the hedges I track. The closer these funds get to their long put strike, the more selling pressure these dynamic funds will have on the markets. JHQTX, the youngest. Time is also a big factor for these flows. The smaller fund just rolled over in august. You can see by the gamma curve now compared to when the options expires in November, we’re still in positive gamma territory. At ~3700 this fund will add to volatility. JHQDX, the middle child. This fund also went negative the past few days adding to selling pressure. While the fund is still 46 days to roll over. The closer to expiry, the more the negative gamma effects will be (dotted purple line in gamma curve) JHEQX, The Big Tamale Is approaching expiry in 2 weeks. These flows are now approaching the strongest. The gamma curve not only dictates the direction of delta hedges but also the amount. In 11 days the gamma curve will be at its peak potential for daily flows (positive or negative). What I can tell you is the closer to gamma zero, the less supportive flows will be. The more markets drop below 3800 the more chance of a significant drop to ~3600 than to ~3200. The key here is volatility. The selling over the past few weeks has consistently been capped around this 27 mark for weeks. I think there is a good chance the next week there could be some sideways movement until FOMC.
SP:SPX
by SPYvsGME
9
Options Trading / Gaining the Edge & VIX Curve Implications Options Leverage has become increasingly popular over the past decade. In the past 30 months, their popularity has risen significantly relative to the Underlying Instrument. Increasingly so, Options tend to move Prices through the effects of Leverage. This is why we see Stocks Split, it vastly reduces the Price of Entry and increases the Potential for increased participation. As in all Markets, Liquidity plays the most important Function. ________________________________________________________________________________ The Traders Edge is best capitalized through an understanding of the Derivatives/Options Greeks as well as VIX timing (previously discussed and linked below). I will thoroughly explain the relationships and provide direct correlations using Price in each example. Simplicity will become self-evident after All the Variables are explained. Directional Risk Management is the Traders Edge. It provides the Risk/Reward parameters in Options Trading will make you a far better Options Trader. ________________________________________________________________________________ Options are a 1st Tier Derivative, ie. - their value is "derived" from an underlying asset. How this value is derived depends upon a number of factors: 1. The 5 Greeks and their functions - Delta, Gamma, Theta, Vega & Rho. With any Derivative - Dependent and Independent Variables define the Function. Greek Dependent Variable Independent Variable Delta Option price Value of Underlying Asset Gamma Delta Value of Underlying Asset Vega Option Price Volatility Theta Option Price Time to Maturity Rho Option Price Sensitivity to Risk-Free Rates Let's put this into context with simple and concise examples of each. ________________________________________________________________________________ Delta - How much the Options Price will increase or decrease with a $1 move in the Price of the underlying Instrument. By Example: Underlying Price of Instrument = $100 Options Premium = $2 Delta = $0.60 For instance - were the Price to move from $100 to $101 the Price of the Option would increase by 60 Cents to $2.60. Were the Price to decline from $100 to $99 in the underlying instrument, the Price of the Option would decline to $1.40 ($2.00 - $0.60). It is extremely important to understand Implied Delta is to occur at any point in time prior to or upon Expiration. Think of Delta as the Probability of your Options Potential, as well, it is actually the Number of Shares relative to the Options 100 Share implied leverage. An out-of-the-money Call Option with a 0.25 Delta has an estimated 25% probability of being in the money at expiration. A deep-in-the-money call option with a 0.90 Delta has an estimated 90% probability of being in the money at expiration. A Delta of 1 cannot occur as it implies Par with the underlying instrument and provides Zero incentive/profit Potential. This is important as we can observe it would be far more intelligent to purchase the underlying outright. For example, with a Delta of 1, for every $ move higher in the underlying, the option price would rise by $100. As you can see there is no incentive to simply not purchase the underlying instrument, it becomes a zero-sum game. Think of Delta in its simplest form with respect to Leverage. Delta in my example above is $0.60 - you are leveraging 60 Shares as opposed to 100 @ a theoretical Delta of 1. Delta's implied theoretical ranges: Calls - 0 to 1 Puts - 0 to (-1) Actual Range @ the Money 0.50 Delta - therefore a Trader is leveraging 50 shares. Why? Because a Trader does not technically own the shares. Consider it the Options Writers Profit Margin or Vig. The further in the Money on an options chain, the higher the Probability your Option will have less Risk. Of course, there is a premium to Risk/Reward as we move lower and away from the underlying Instrument or Share Price. ________________________________________________________________________________ Gamma - How much Delta change with a $1 move in the underlying Price. Delta and Gamma are both affected by Price movements up or down by $1 increments. Continuing our Example above: Underlying Price of Instrument = $100 Options Premium = $2 Delta = $0.60 Gamma = 0.012 For instance - were the Price to move from $100 to $101 the Price of the Option would increase by 60 Cents to $2.60. The Delta will change as it will include Gamma after the $1 Price increase: Delta 0.60 + 0.012 or - 0.612, the New Delta or $2.612. As the Option price moves towards In the Money, once again - Gamma will increase. It is important to lock down the context, these are Price relationships - Delta and Gamma. ________________________________________________________________________________ Theta - Options Prices decrease as Time passes moving to the Expiration Date aka "Time Decay" There are 2 distinct variables to decay. 1. Intrinsic Value: Simply put a Call option will have Intrinsic Value when the underlying Asset is above the Strike price of the Option. By Example: Underlying Price of Instrument = $100 Option Strike Price = $90 Intrinsic Value of Call Option = $10 ($100 - $90) Intrinsic Values can only range from Zero to a Positive number. For Put Options, the Value is the opposite, or when the underlying Aesst is below the Strike Price of the Option. Underlying Price of Instrument = $100 Option Strike Price = $110 Intrinsic Value of Call Option = $10 ($110 - $100) Intrinsic Value is Directly related to Price and only changes when the underlying Price changes. Time has no impact on an Options Intrinsic Value given there is no change in the price of the Underlying Asset. 2. Extrinsic Value: aka "Time Value" or Options with more time until expiration will have more Extrinsic Value than Options with less time until Expiration for the same underlying Asset for the same Expiration Cycle. ie. OPEX Date. Why? Over time Price ranges have the potential to expand and contract. Expansion leads to Contraction and vice versa. LEAP Options - 365 or more Days to Expiration have immense Extrinsic Value due to the component of time. It is important to note Theta begins its larger declines within 30 to 45 Days of Expiration. Theta goes steeply negative within this timeframe with a very High Probability. "Time" truly is Money - Extrinsically. Less Time, less Extrinsic Value, less Money. Options lose Time Value (Extrinsic) - Theta is expressed as a Negative Number. By Example: Underlying Price of Instrument = $100 Theta = $0.50 Time to Expiration = 10 Days Option Strike Price = $90 ($10 Intrinsic Value) Theta (decay) $0.50 X Time (duration) 10 Days = $5.00 of Extrinsic loss over Time to Expiration (Theta). Projected Theta Burn (decay) implies the Price of the Option will be $95. * This assumes there is No Change in Implied Volatility (More on this later). It is important to note when your Portfolio may show a steady change in Portfolio Theta, this is should not be assumed to be a linear function as Delta or Change is the only Constant. Markets move Higher and Lower with increasing Volatility. Changes can and are significant. ________________________________________________________________________________ Vega - Changes in an Options Value with respect to a 1% Change in Volatility or the Implied Volatility (aka the Widow Maker). Why the Widow Maker? If (IV) Implied Volatility drops significantly while the Underlying Asset's Price remains constant. This is an extreme example, but one that has become increasingly more common since September of 2021. Implied Volatility is the expected change to Price in the Underlying Asset's can change over time. Consider it the Price Range. It is important to remember an Options Price must change for Implied Volatility to change. Simply Put - a change in demand for an Option over time will determine its Implied Volatility. Supply becomes a Factor as Risk (implied volatility changes) - you would not want to assume the Risk of selling Naked Puts in a downtrend. Supply would decrease and Premiums would rise. The overall level of confidence and Fear would dictate demands while Supply would Price Risk. Conversely - and this is the Key, any option with a Higher Extrinsic Value will have higher Implied Volatility. By Example: Underlying Asset 1 Price = $110 Call = $100 IV = .69 Underlying Asset 2 Price = $105 Call = $100 IV = .47 A favorite time for the IV Crush is into Earnings of the Underlying as Volatility drops significantly aka - Buy the Rumor, Sell the News. As well, the timing of VIX Roll to Settle play a very large Role in Vega, as does the term Structure of the VIX Curve. Timing and Positioning in Time are the leys to the proverbial Kingdom in Options Trading. An Options Price changes by its Vega with a corresponding move in the Underlying Price of the Assets, Implied Volatility will rise by 1% By Example: Underlying Price of Instrument = $100 Option Strike Price = $90 Intrinsic Value = $10 Vega = 0.25 Implied Volatility = 60% Option Price $10 + Vega $0.25 = $10.25 Implied Volatily = 60% + 1% = 61% What has the highest exposure to Vega? Options At the Money and those with High Extrinsic Values. Remember, Volatility scales with Time, contraction to expansion. By Example: Implied Volatility is expressed on a 365 Day Basis. $100 Underlying Price Implied Volatility = .25 We can simply calculate the Range for the Underlying Price for the next 30 days: 1 Month Range = $100 x 0.25 x Square Root (30/365) Or $3.45 either side of $100 Or $103.45 to $96.65 or a $6.90 range. Finally - and of extreme importance: The shorter the Duration the more Extremes in Volatility affect Price. A large Decrease or Increase in an Underlying Assets price will have a far more pronounced effect on Options of shorter Duration. Melt ups and Melt Downs can be anticipated for Large moves in Leverage and isn't this what today's Options Trader is seeking.. the answer is yes, absolutely. The Setups require patience and an Edge over the Greeks. ________________________________________________________________________________ Rho - Measures the sensitivity of the option price relative to interest rates. A benchmark Interest Rate increases by 1% - Option Prices will change by Rho's Value as a percentage. Rho is presently within an arrangement unseen in prior Cycles, be it Business or Credit. The Treasury Curve, as well as the Effective Funds Rate, have direct Impacts upon Rho. Underlying's Alpha (Which has lower Volatility and higher Pricing Power) has less sensitivity to Rho - to a point, a point where Rates become too burdensome on the Economy. Underlying Beta (Which has Higher Volatility and Lower Pricing Power) has more sensitivity to Rho as forward Earnings are more steeply discounted to Low Beta or low to high Alpha. Given the tumultuous environment currently, Rho is being turned on its head as this Cycle is quite frankly unlike any in history. it Rhymes, yes, its repeat will be similar to Long Cycle Durations. This primarily due to the expansion of Credit and Default/Liquidity Risks present which are unseen in Human History. In prior expansions, rising yields had a profound effect on Bank's Balance Sheets. That was then, Rho would provide a lift to Delta increasing the Value of an option. The exact opposite is beginning to occur now and will likely stay in trend for some time. The math is exactly the same as above, this is where you, dear trader get to exercise your skills in what you have learned. Reminder: Delta and Gamma are Price Calculated in $1 Increments. Theta, Vega, and Rho are Percentage Calculated in 1% Increments. ________________________________________________________________________________ This week will be particularly challenging given the sheer size of this Expiration @ Quad Witching in Septenber 16th. With CPI due Wednesday and the FOMC the following week. It's going to be Volatile in the extreme. I hope this helped you in gaining an Edge with respect to trading Options. Trade Safely, with the Edge, and Good Luck this Week. - HK Please remember the VIX roll to Settle Strategies I discussed here -
TVC:VIX
by HK_L61
5
How a 17 Billion Fund Hedges DeltaJHEQX - 17 Billion Fund - Delta Hedging Flows Today, I’m breaking down the hedging flows of the JHEQX strategy I have been following. The idea is simple. Large fund means you know the dealers position on the trade. Since they remain delta neutral, one can anticipate if the dealer will be buying or selling delta as the price moves up or down. POSITIVE GAMMA (Supportive) Dealer will Buy SPX / Futures during a decline and Sell SPX / Futures during a Rally. When the trade is Positive Gamma it acts as a supportive force for the markets. As the price of SPX moves down near the put strikes, the strategy delta hedging will flip negative. NEGATIVE GAMMA ( Volatility ) Dealers delta hedging will move in the same direction as the market. Sell lower, Buy higher. When the trade is negative Gamma it increases volatility in the market. DELTA GRAPH The delta graph represents the rate of change and direction this strategies deltas will move. You can see today (Aug 28) the curve is muted and doesn’t change quickly. Inversely, the deltas rate of change accelerates the closer to expiry the options get. How does that help? For one, you know where the strategy moves from a positive to negative gamma (is volatile or supportive). Two, you can anticipate the magnitude of volatility or support.
SP:SPX
by SPYvsGME
2
Hope you enjoyed your gains as notified, prepare for more!I predict the stock. I know the stock. I’m 8-Ball for stock :) I’ve been watching this stock for 17 months. Almost every. Single.. day.. I can say a few things… I confidently understand algos being used. I confidently understand MOASS is tomorrow. I confidently understand apes are unmatched. I confidently understand we can buy more each day and it will still be a good price no matter how many digits.. No cell. No sell. DRS DRS DRS. Follow me for more GME posts, to the moon gentlemen. I’m proud to be sharing knowledge on my favorite stock in existence and I can’t wait til we are all as rich as they are, without cheating. APES FOR THE MOTHERLANDDDDD!!!! DRS DRS DRS Check out all of my other ideas for consistently accurate GME price prediction as well as theories and discussions. LINK TO LAST POST I NAILED 110% | | | \/ \/ \/
NYSE:GMELong
by Trexarch
3
Automatic Gamma Levels Spot alternative on TradingView? Sure!By combining Options expiration data, DarkPool & process it by Machine Learning algorithm, we can get another perspective of market picture. One of the services is already trying to provide this data, however so far it requires manual work in order to apply those levels on the chart. I provide a way for automatic level recognition valid for intraday session, based on data calculated by ML/AI algorithm, exported to Quandl database and imported to TradingView indicator. When you add to that Call & Put Wall levels I publish on website, you will have all information in hand that you can use for intraday trading. I provide current for the moment of writing analysis snapshot of 4 majors with applied Gamma Levels as well as key levels from Options&Darkpool data market. If you want to learn more and start having edge on the market (information is the key!), you will for sure find more details at my profile ;) I wish you all Big Profits on the market!
NYMEX:CL1!
by skyline-trader
2
Oil shift to downtrend? Options and AI whispersWe can observe at the beginning of this week major shift in sentiment of the traders with Oil in their portfolio. As previous week still we saw money put on 130$, this week the last major level as Call Wall is at 100$. I would even include scenario that around that level we can go slightly higher due to Virgin VPOCs at 102 and 104.5 - still though it should be short-term run and only possible if wet closer to 100$ first. So far we can observe downtrend on Oil. If 92.2$ will be broken, downtrend can continue. The next major Options and Darkpool markets Support lays at 80$. Before that there is no other level (so far) that can stop this move.
NYMEX:CL1!
by skyline-trader
Buckle Up ButtercupI have been following GME forever. I have even gone to that little movie that was created to show my dedication. I have GameStop merchandise and clothing. I love this company. Lately things have been feeling different than usual, I still expect time to do its duty, as well as catalysts to potentially increase our duration at these levels as well. Soon however, GME will be more than a stock. Soon I expect large green bars. Soon. Buy. Hold. DRS. Want a choccy milky from the gas station to fill ur tum tum with num nums?! NO!!!! Because save $$ -> BUY -> HOLD -> DRS I LOVE YOU ALL GOODNIGHT (NFA)
NYSE:GMELong
by Trexarch
1
Market Positioning on Q's and SPY$SPY Gamma Environment: Positive (289mn) Key Gamma Levels: 5th 465 - R3 resistance 460 - R2 resistance 458 - R1 resistance 452 - S1 (First Support) 450 - S2 (Second Support) 447 - S3 (Third Support) Views: Vix no longer remains bid maintains a clear path below 18, given the current stats and the 100% spike the past would suggest we don’t see another spike till mid-2023. That being said, the key catalysts for vix that remain include an unexpected fed hike intra meeting. Major escalations from Russia on the Ukraine side. VIX levels based volatility range of +1.2%/-1.2%, Negative gamma environment volatility is likely to continue to be more muted given the VIX’s current levels and as hedges begin to wind down. SPY pushed into negative gamma territory (short term) and long term (now at $-1.4Bn, down from $1.03bn yesterday looking two months forward). We now look ahead with a cautious view on direction as we reach a tilt on direction. There still remains opportunity for bulls to take this up as the negative gamma environment skew provides short term charm flows in favour of bulls should we stagnate. Call volumes -16% and put volumes -2% with puts now up to 2.2x the volume of calls. Following this drawdown there provides room as mentioned above to give a move higher should call buyers begin to step in. Note though that this volume is isolated to SPX and so in this case the underlying seems to have been the main driver in indices action. As a result we place an eye on TSLA/AAPL/MSFT contracts to see if volume continues to push in as there is likely to be some more put unwind in these names. As calls are likely to have unwound for the most part since last week already. 10 Delta Put premiums (465C) vs call IV (at the 10 delta, 445P) across duration remain at 1.1x on an IV basis (at parity), the skew here suggests puts are now much more favourable than before (explaining the increase in negative positioning) vs calls and even more so in the short term, so we expect some resistance going lower than 450 due to negative positioning at 452. -2% on calls -16% on puts OrderFlow For order flow perspective levels please see the levels provided in the chart. See these lines as “barriers” to overcome and if done then price can be “accepted” into areas where previous buyers (Navajo white = up volume) and sellers (purple = down volume) wanted to engage up until points where there are much greater levels of volume. These are areas that you can consider as greater points of resistance. Calls/Puts Volume Bull Scenario Above 4600 (with continuous bid at 4580) ($ES) additional call buying to increase up the chain at further expiries and up the chain would be needed to continue this drive up. Note the skew toward call buying has lightened dramatically but a portion of short date puts are still set to unwind (see screenshot). The majority of flow is likely to be driven by TAAN. (TSLA/AAPL/AMD/NVDA) given they attributed for ~3million contracts. Continuous exhaustion @ 4600 (we are at 4581 as of writing - having found brief support at 4520) in the first 30 mins defines whether there is a clear aggressive direction and a move above could set us up for a hold above 4600 should positioning continue to drive higher. VIX crush below 18 will also help produce the environment we expect. Bear Scenario If we maintain below 4550 in particular we’re interested in further sell off as this level provides a key level down. That being said this will be a difficult area to break. A break below this could generate sell down to 4500 as Vanna flows above drive us lower and with put gamma at 4500 and under increases exponentially. This begins to act as a magnet to price with selling intensifying from above and below. We would need to see call buying decline in AAPL/TSLA as well as semi weakness. VIX climbing over 20 and hold above 22 then signs that VIX is being bid and presence of further downward trend are present are increasingly there. We would also need to see some weakness in big tech particularly and strength in gold miners and other precious metal cos (NEM, GLD,SLV etc) $QQQ Gamma Environment: Positive (-74m) Key Gamma Levels 5th 375 - R3 (NQ -15371.0) 370 - R2 (NQ - 15166.0) 369 - R1 (NQ - 15125.0) 368 - S1 (NQ - 15084.0) 365- S2 (NQ - 14962.0) 360 - S3 (NQ - 14757.0) Views: Q’s positioning moved out of negative territory with AAPL buyback news leading the charge higher the move of which was a result of negative deltas that had to be bought back. Concentration at 375 is an area that could provide more pull higher should we break higher. Put IV to call IV is even (Puts 1.1 vs Calls ) the 10+/10- Delta (379 vs 359). Despite the drawdown puts are reasonably priced vs calls and as a result we may expect more drawdown should puts continue to increase down the chain. We continue to review VIX and look for this to hold above 20 to determine an increase in puts. (Key themes below still stand) A key eye remains on energy names as we look to see for continued flow out of equities, though this doesn’t seem to be the case. This is important for more drawdown, without strength in commodities we are unlikely to see much lower. We also noted weakness in steel, copper etc though a downtrend is yet to be confirmed. (Unchanged) Bonds: HYG to maintain weakness as will help indicate much lower which seems to be the case thus far. Weakness/Strength in Gold & Oil should help with this continued upside. Note that the flow into energy stocks whilst initially seemed to be increasing still seems muted so this hesitance may be off the back of worry heading into the next business cycle where demand destruction is expected. Another indicator being china home growth. FANG (Big Tech) had 124% increase in net positioning $490mn net gamma from $218mn, this positioning is an outlier in comparison to prior levels and is now reaching zones similar to February where we achieved a major rally. With breadth improving too this provides an extra boost and likely move higher to the Qs, though the window remains short for this week. A continuous bid at 370 (15166.0) is key to demonstrate lack of bearish bias and unwind of any put flows bought. Maintain a view of AAPL, TSLA, GLD, NEM, HYG, CRWD, DOCN, PANW, ARK, XOM, XOP, SLV with the commentary above in mind. OrderFlow For order flow perspective levels please see the levels provided in the chart. See these lines as “barriers” to overcome and if done then price can be “accepted” into areas where previous buyers and sellers wanted to engage up until points where there are much greater levels of volume. These are areas that you can consider as greater points of resistance. Bull Scenario If we can hold above 370 (15166.0) with a move higher into (ideally above) 375 (15371.0) into the close, additional gamma levels would need to increase further( particularly at the 370 mark) up the chain and as a result positive deltas would need to bought higher. The negative gamma in short duration below should also continue its last legs and decay with this effect resulting in pops in the final market hours. We would also want to see the VIX continue to drawdown and maintain below 18. Bear Scenario Maintaining below 368 (15084.0) should result in the decline down to 365 (14962.0) and 360 (14757.0) potentially on the cards should VIX remained elevated with a gradual increase. Strength in commodities and weakness in AAPL/TSLA in particular especially at 177.5 will demonstrate a lack of bias to the upside. As mentioned above we would want to see SLV, XAUUSD and CL (Oil) get a bid (noted in call vs put volumes as of late). Any questions, Hit me up on twitter @Vexxly. Appendix: Key Terms: Key Gamma Levels: Areas to identify for key support and resistance i.e. a call wall can act as a resistance zone as call buyers sell as we reach closer to the money and so MMs will re-hedge accordingly Negative Gamma = Increased volatility Why? Because MMs are enhancing volatility and flows are supportive of direction Positive Gamma = Reduced volatility Why? Because MMs are suppressing volatility and flows are against of direction Gamma Environment (Negative/ Positive) Vol Trigger (Where gamma flips through a key negative level and reinforces flow, as MMs re-hedge) R1/R2 resistance - resistance level one etc S1/S2 support - support level one/two etc Note: This information was never intended nor will ever be considered a place to give or receive investment advice. This information was created for the sole purpose for education and fun. Anything said by anyone on this commentary should never be taken as investment advice. Do your own due diligence before making any decisions to invest your money and seek investment advice from a registered advisor should you choose to do so.
Editors' picks
CME_MINI:ES1!Long
by vexxly
13
Fall potential on Gold #options #ai #mlOption data and AI algorithm from analysis data from this market show the possibility of retreat from growth and switch to Bears taking control over. We have a powerful resistance (supply zone) around 2060, and Virgin VPOCs can be found only below the current price level (for a moment of writing analysis). Current option support is 1881 and this is a key level when it comes to potential closure of the downward movement. To Gamma Flip (whose exceeding will increase the volatility on the market) still far (1786), but it is worth observing what will happen on subsequent sessions. Falls will be negated after exceeding 1975. I take into account all Expiration from the gold option, which are then treated by the Machine Learning script. AI in this case shows the main key levels on the market and conclusions from data analysis. They are exported to the Quandl base and then imported to TradingView. Data is also published every day a week, on my website. Remember - knowledge and data are power, in this case, increasing significantly a chance for profitable trading :)
COMEX:GC1!
by skyline-trader
S&P500 idea based on current Options & DarkPool dataShortly and succinctly, but on the subject - how I see it from Swing Trading approach when it comes to option data and S&P 500. After the last OpEx, I expect a temporary advantage of Bulls with a short break around 4500. The move will end in the supply zone 4548-4567, where Virgin VPOC from 10.02 should be retested. Then a few subsequent sessions will bring drop in price, retesting Virgins on 4357 and 4220. Options data is available for free - inquisitive and curious traders I invite you to my profile and via DM. This data will allow you to get a market advantage now, by indicating sentiment and key levels where a billion dollars from Smart Money has been placed - as they use options for hedging their risk.
CME_MINI:ES1!
by skyline-trader
1
This will likely happen in my opinionRead how I feel about this in my other posts. I’d say we’ve got about 1-2 years left of the fight, if not longer. Don’t gamble on weeklies, however I am not saying don’t buy contracts. Huge misconception, calls can gamma ramp, but also drop the stock heavy when they expire worthless. We need another gamma ramp for the next huge moon, that’s my full opinion after everything I know. I seriously don’t think the next “squeeze” will even happen unless we have a gamma ramp. We’ve gotta ramp into the squeeze on this. Everyone keep thinking it’ll come out of no where. No tf it wont? Did the first one ever “come out of no where” no.. no it absolutely did not. Leading up to the first squeeze we were having green weeks for months. Then for DAYSSSS GameStop get getting squeezy in after hours and premarket trading. Again.. this isn’t financial advice for anyone. This is what I’m observing and the decisions I would personally game. CantStop. WontStop. GameStop
NYSE:GMELong
by Trexarch
4
2.2 Billion Reasons to be short this market in march.I'm going to breakdown JPM big 20 billion dollar Put Spread Collar Hedge trade early this quarter. The trade usually gets a lot of attention when they do the roll/reset on the day it expires each quarter. For the uninitiated, this trade occurs every quarter by JPM as a premium neutral hedge (market crash protection) for a 20B fund. Furus try to explain the delta of it on the day of the trade, but that is not where this trade interests me. If you follow Gamma and Vanna Exposure of the options world, you would likely know on any given day if the market is currently positive or negative gamma exposure. You may follow Cem Karsan on twitter like I do and know about Gary and his Bananas or more recently Vanna. This trade is often a focus on Cems threads when it approaches expiry and I think I finally figured out how to measure its effects on the market. Here is a graph of the a 21 day moving average of Gamma Exposure. pretty neat how something as random as the stock market can provide such a recurring pattern. This idea is just a primer for 21DMA GEX, I'll be following it up in the next few weeks with numbers behind it and how I plan to trade this very cyclic pattern. Trade Safe. Not financial Advice, just Mad Magazine Data Science.
SP:SPX
by SPYvsGME
4
180$ for barrel?! What will happen with Oil Price during WarOnly peace will save us - as one proverb says. But is it really the case with the oil price? The war in Ukraine and the turmoil over Russian oil are shaking the markets, so we have to look at the situation from several perspectives. the nearest option resistance is at USD 120 we have a lot of Virgin VPOCs below the current price, which theoretically should act as a ballast inhibiting further increases in the background the risk of the imposition of further sanctions banning the import of Russian oil in individual countries ignorance of OPEC at the last meeting - political and supply turmoil around oil and the session ... lasts a record 13 minutes without mentioning the oil supply limitation by one of the key OPEC producers! The situation becomes even more interesting if we see where the funds are located on the Options from the Expiry Date in mid-April 2022 - the resistance (i.e. investors place money on CALL options) with a record high turnover is ... the level of USD 180 per barrel! At the time of writing the analysis, we have as many as 4241 options there. Even at the next expiration of options in mid-March (little time until Expiry), we can see the capital shifting towards $ 140, where levels of $ 100-110 were staked at the beginning of the war in Ukraine. The options market often brings information well in advance. Get an edge in trading today with access to daily analyzed levels and option data from multiple instruments. The inquisitive will find a link to the page where the results of trading with the use of tools and option data are presented, as well as information about the mechanics of the market available for free. And what are your expectations for the coming weeks ad. oil prices? I'd love to hear from you!
NYMEX:CL1!
by skyline-trader
BTC from Options perspective - current situationI do not intend to predict the future or make the hypothesis "now only to the moon" so let me briefly present the facts based on information obtained from the Machine Learning (AI) algorithm analyzing the options: - we have exceeded the Gamma Flip, which will result in reduced volatility per Bitcoin - the nearest option support is at the level of 40k, while the much more solid capital is located at the level of 35k - the closest resistance is at 50k, but much stronger capital located at 60k - we only have one Virgin VPOC below the current price (around 35k - coincidence?) and a few Virgin VPOCs located every few thousand on average above the current price level I hope the conclusions come by themselves. I update the option data every day and are available for you (insightful and inquisitive ones will surely find it on my profile).
CME:BTC1!
by skyline-trader
Setup for a return to bear countryI have not been able to trade/chart much lately but I wanted to make note of where we closed yesterday vs open today. CPI running hot. almost a perfect setup for a bearish reversal leading into opex next week. SPX just closed above the ZeroG (gamma flip) in relation to Naive Gamma. Means dealers should be selling us lower into next week. Get free Naive Gamma exposure levels (delayed quotes) for SPX at spyvsgme.com I adjusted the algo to notional value of 1% move in SPX. If you have been monitoring gamma levels you could see a shift back into calls over the past week as we approached zeroG. There are only a couple more weeks until JPMs JHEQX quarterly collar. I'm going breakdown the trade a few weeks ahead this time and try to predict if dealers need to sell or buy as the final weeks approach.
CME_MINI:ES1!Short
by SPYvsGME
Where is BTC going?Let's take a look at Bitcoin from a broader perspective. Today we retested the Virgin VPOC from January 5th. The bearish sentiment has been overcome and we have a fully confirmed change to Bullish (green background of the sentiment indicator + blue bars - I explained the indicator in one of the separate entries that I add to Related Ideas). After breaking 46105, we will have an open road to retest the next Virgin VPOC at 48035 on December 31st. Both the psychological barrier and the key level from the perspective of Option Traders is the 50k level (at the time of writing the analysis). This is a strong resistance, and a tough/fierce battle between Bulls and Bears can take place there. In general, BTC presents itself in the long term Bullish from the perspective of Virgin VPOCs which the market will seek to retest. However, two things worry me: 50k level as resistance and psychological barrier two Virgin VPOCs that are located below the current price (at the time of writing the analysis) at 36560 and 36065 - although they are quite "young" Virgin VPOC and it is worth having them at the back of your head, but not necessarily fixing on them It will be useful to use on an ongoing basis when assessing the BTC market with VSA Scanner (described in Related Ideas) which will show where we have the current Demand and Supply in real time on BTC. Analyzes of Intraday BTC and other instruments are also available to those who know where look for them ;) Good luck on the markets - especially in these uncertain times!
CME:BTC1!
by skyline-trader
Bear Flag vs Bull TrapLast 2 weeks have been bearish through APPL and TSLA earnings. Attention now turns to Amazon earnings (feb2) as they teeter on oversold RSI and below 2yr support. Not regaining this support from bad earnings will likely see this S&P bearish flag breakout to the downside. Canadians wielding pitchforks and torches, Russia and nato saber rattling and China facing off with covid olympics, I’m not feeling too bullish this week. There were some positive flows in futures Friday morning that ended with a strong rally to end the week in a better position for a gap up Monday to lower negative gamma range above 4475 and a floor of 4400. Gamma Exposure (GEX) from SPX options tool I created on my website. Head over to www.spyvsgme.com for delayed quotes (15-min delay from CBOE). I’ll be adding more information as I create more options indicators going forward. I’m going to be cautious and enter a short below 4300 on heavy selling, otherwise I think the market waits for AMZN earnings for guidance in the 4475-4400 range. Not a very high likelihood of this bearish flag playing out, but with all the damage done to markets the last 2 weeks I’m staying mostly liquid and riding the waves up and down. >>Not Financial Advice.<< I have never solved the rubik’s cube.
CME_MINI:ES1!Short
by SPYvsGME
3