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GEX

[GEX] 12/16 Weekly SPX AnalysisNow, let’s take a look at the expected SPX trading range for the week based on the auto GEX levels for TradingView: It’s clear that we’re currently in positive gamma territory , primarily due to the December 20 expiration. However, the mid-week expirations leading up to that date remain in negative gamma territory, a direct result of last week’s bearish moves—though this can change within a single day. Looking ahead to Friday, we expect a range-bound, more predictable trading environment, likely holding above 6045 and below 6100 based on current levels. IVR and IVx remain low, and we don’t anticipate any increase before Christmas unless the market reaches the “total deny zone” between 6025 and 6040. The greatest IV backwardation is present between December 20 and December 23, as average IV ticked up slightly following last week’s bearish action. This makes that particular expiration combination potentially appealing for time spread strategies. Stay alert! The deny zone is near, and a quick move through the HVL could suddenly disrupt what currently appears to be a relatively predictable trading range. Conversely, a breakout above 6100 could spark a permabull end-of-year rally to the upside.
SPREADEX:SPX
by TanukiTrade
[GEX] levels for QQQFirst, let’s examine what we see on our chart using options indicators: Summarizing the GEX levels through December 26, we have a strong call wall at around 540. If price can break above and hold that level, it could easily pave the way toward 550. However, if we’re expecting a Christmas selloff after Friday’s close, this bearish assumption might prove worthwhile. This brings up a point that often comes up: “How do I interpret whether the optoins indicator is bullish or bearish?” There’s no such definitive signal! The levels and options metrics show certain conditions, but no one can tell you exactly what will happen next. This is where you need to have a directional hypothesis. Once you have it, the indicators can help you fine-tune your positioning, identify realistic targets, and select viable legs—but they won’t decide your directional stance for you. For example, while everything may look bullish, let’s say you have a contrarian bearish view. Then you can see where it makes sense to position yourself. Test Case Chosen: 8x QQQ Dec 24th – Dec 26th 525 Calendar Put Spread Max Loss: $216 Max Profit: $1,685 PoP: 45% Why not?
NASDAQ:QQQ
by TanukiTrade
12/09 Weekly SPX InsightsLast week’s assessment aligned well with the anticipated positive SPX range. The index moved sharply up toward the 6100 area, yet as Friday’s session progressed, the call resistance around 6100 capped further upward momentum. Looking ahead, I have doubts that the previously unbridled optimism will persist. Currently, we find ourselves in a “chop zone,” suggesting that the short-term direction is less clear. In aggregating GEX (Gamma Exposure) levels and examining the landscape a week out, it appears that 6100 remains a strong call resistance level. Meanwhile, the HVL (High Volatility Level) has crept closer to around 6080, placing the market uncomfortably close to a higher-volatility environment. Below 6080, the market may experience increased turbulence, potentially retesting 6035 and then 6000. On the other hand, if the index can break and hold above 6100, an upward gamma squeeze could emerge, pushing prices even higher. Currently, overall GEX sentiment is negative, but the approach toward the HVL zone suggests caution. From these conditions, I’m not expecting a strong, sustained rally in the immediate term. In terms of intraday and short-term dynamics, 0DTE (same-day expiry) sessions and Fridays continue to hold relatively higher positive gamma exposure compared to other days. Volatility indicators: VIX: remains low IVR (Implied Volatility Rank): also low Put Pricing Skew: currently low, although it has begun to show a very slight uptick Key Levels for This Week (for educational reference): Above 6100: Omni-bullish environment Between 6100–6065: Chop zone (directionally uncertain; not ideal for unhedged directional trades) Below 6080: Bearish tilt, with targets around T1: 6035 and T2: 6000 (near the 16-delta OTM put level) On Wednesday, inflation data is scheduled for release. Anticipation alone may drive volatility, so it’s something to keep on the radar for educational scenario planning.
SPREADEX:SPX
by TanukiTrade
11/18 Volatility Zones: Gamma Squeeze, Chop, and Support LevelsWeekly GEX Levels for SPX: The SPX analysis from last week’s free newsletter seems to have played out well. If you recall, based on the weekly GEX levels, there were no significant gamma levels below 5950. As soon as the price dropped below that, we saw the anticipated red gap-down to 5850 by Friday. With Friday's move, SPX shifted from a positive NETGEX range to a negative one: Let’s not forget: a negative gamma range means that market makers move in the same direction as retail traders, increasing the likelihood of stronger price movements, regardless of the market’s direction. Until the 5900 HVL level is reclaimed, I don’t expect this to change. As we saw today, there was a nice bounce off this level with a rejection, making it a tough resistance to break. If it does manage to break through, there’s currently a call gamma wall at 5925. Clearing this level could open the door to higher ranges again. While the week is still long, if the market fails to regain stability by Friday, breaking below the major 5850 PUT gamma wall could lead to another rapid move down, similar to last Friday, targeting the 5810–5800 range. Gamma Squeeze Zones for SP:SPX & AMEX:SPY this week: Above 5925: Gamma squeeze zone, where upward momentum can accelerate. Chop Zone: Between 5900 and 5930: Sideways movement expected, with the market consolidating in this range. High Volatility Zone: Below 5900: High volatility zone, indicating increased intensity in market movements. Market Makers Hedging Behavior Shift Zone: Around 5900: A critical zone where market makers may adjust their hedging strategies. Call Resistance: Below 5940: Reduced volatility expected as call resistance limits upward movement. Put Support Levels: Around 5850: Highest negative NETGEX/PUT support level. Between 5810 and 5800: Additional put support levels acting as key supports; if 5850 broken, turbulence is expected. IV and Skew Data: IVR: 16.9 increasing IV Average: 14.9 increasing PUT pricing skew: 31.5%
SP:SPX
by TanukiTrade
2
GEX levels of SPX for Weekly Option TradersAlthough the SPX is currently trading within a relatively neutral positive gamma range, it’s worth taking a closer look at what the week might hold. This week, SPX is moving between critical resistance and support levels, which are showing significant options activity. The 5900 level is the key CALL resistance, acting as the gamma wall for the next 7 days (7DTE) . This suggests that as long as the price remains below this level, it will face strong resistance in moving higher. If the market breaks through this level, it could signal a bullish breakout, leading to increased turbulence. 🟨 DETAILED VIEW: In case of a breakout, keep an eye on the second weaker CALL wall at 5925 and the third weaker CALL wall at 5940, which are the next potential resistance levels once the market moves past the 5900 gamma wall. These levels could play a pivotal role in the price’s upward movement and indicate further buying pressure. 🔶 HVL Level and Gamma Environment: 5830 The 5830 level represents the High Volatility Level (HVL), which determines whether we are in a positive or negative gamma environment. If SPX closes below this level, we enter the negative gamma zone, which could lead to increased market volatility. This could result in sharper price movements during the week if this level does not hold. In that case, the PUT supports come into focus. The 5750 level marks the strongest PUT support, providing substantial downward support for the market. However, before reaching this level, it’s important to consider the emerging PUT wall at 5765, which may stop the price from falling lower. This could act as an intermediate support, slowing or even halting a decline before the 5750 level comes into play. 🔶 Implied Volatility and Time-Based Strategic Opportunities NOW The decrease in implied volatility, as shown by the IV and IVx indicators, signals a calmer market environment. Based on IV rank and average IV levels, volatility is running lower, which presents good opportunities for various spread strategies, especially time spreads that can be optimized between the 11/01 and 11/04 time frame. Key levels above could fuel further market movement throughout the week if a breakout occurs. CALL/PUT gamma levels on the options chain strongly outline the potential resistance and support levels, but these levels can change dynamically, especially if SPX breaks through the 5900 level. 🔶 SPX Key Levels This Week: 5900 CALL resistance – Main gamma wall, strong resistance. 5925 and 5940 – Second and third weaker CALL walls, offering additional resistance if broken. 5830 HVL – Key level determining the gamma environment. 5765 PUT wall – Emerging intermediate PUT support, which could slow a decline. 5750 PUT support – Strongest PUT gamma wall and support. Keep these levels in mind throughout the week, as they will likely influence market movements and the volatility environment. By applying the right options strategies, this information can help you structure profitable positions.
SP:SPX
by TanukiTrade
7
10/28 GEX of SPX for this weekThis week is especially exciting because, on Thursday, we’ll be releasing our automatic GEX level indicator! (Halloween night, yes, very spooky...) Here's a little preview of what’s coming—just a few more days to go, and we can hardly wait! Based on the key aggregated GEX levels valid as of today's market open, we can see that SPX started the week in a positive territory following last week's minor correction. Currently, the gamma profile suggests positive outlooks through Friday as the market opened above the HVL level, which is now at 5820. The primary levels to watch are: Call Wall (5900): This level, with the highest positive Net GEX value, may serve as a strong resistance point this week. As the price approaches this level, upward momentum may slow as market liquidity tends to stabilize movements here. Put Support (5800): This is the key support level where negative gamma presence helps cushion price declines. Should the price dip below this level, moves might accelerate, so it’s worth monitoring movements around 5800. With the gamma profile above the current HVL level (5820), GEX is positive , which can help stabilize the market and support further gains. Observing options market dynamics, this level suggests the direction of momentum, where market participants may anticipate further upside. As we saw last week, this level could mark a point of heightened volatility for SPX! Additional important levels, like the 2nd Call Wall and 2nd Put Wall, can also be seen on the chart, providing potential barriers and support points for price movements throughout the week. Gamma levels are updated multiple times daily and may shift with market moves.
SP:SPX
by TanukiTrade
11/04 Weekly SPX Market Analysis with seamless GEX levelsThe U.S. presidential election is on November 5, and this week we can expect increased volatility due to the uncertainty. For options traders, one thing is certain: volatility will likely rise leading up to the election, peak around the results, and then gradually subside as the “fireworks” end. It’s essential to consider this in every trading decision. While the current Implied Volatility (IVx) isn’t extremely high, the IV Rank (IVR) is quite strong at 41, and this is likely to remain due to the increasing uncertainty. Based on the blue OTM (Out of The Money) delta curves, the market is currently pricing in a strong downward movement for the week, aligning with the negative gamma zone and negative gamma profile. For a bullish shift, we would need a strong push above 5845 to enter positive gamma territory (HVL level is the battleneck). ⏩ The 5700 level is a key PUT support across multiple timeframes. If this level breaks, turbulence is expected, with increased downward movement likely to follow, first to 5650 and potentially down to 5600, where larger PUT gamma walls are located. ⏩ According to the 16-delta OTM curve, a close above the previous all-time high is less likely. If there’s a strong breakout to the upside, the positive gamma threshold stands at 5850, and above this, buyer pressure could extend up to 5925. ⏩ I consider the 5700-5845 range as a “chop zone,” where high volatility is expected this week. In this zone, bears and bulls will be in constant battle, and I do not expect a clear trend. I focused on Friday’s expiration in this analysis, as market outlooks remain highly uncertain ahead of the election. The strong PUT pricing skew is a natural phenomenon and is expected to increase, especially since we are in a negative gamma zone. For December expirations, PUT options cost nearly twice as much as CALL options, as shown by our oscillator for 12/20 expiry. There’s already ~6% IV backwardation between the 11/08 and 11/11 expirations, making this ideal for time spreads. However, caution is warranted—front-month PUT calendar and diagonal spreads can easily turn negative if front IV rises more than back IV. Remember! It’s not mandatory to trade during highly uncertain periods! Staying out of the market is also a position, and sitting in cash is actually the safest choice, especially in a volatile week like this. ⏩ You can check my previous week's analysis, every one was accurate, I hope this one will useful too. 10/28 SPX 10/21 SPX 10/14 SPX 10/28 QQQ 10/14 QQQ
SP:SPX
by TanukiTrade
2
Weekly GEX levels of QQQNASDAQ:QQQ began the week in positive territory at Monday’s open, with the current gamma profile projecting positive momentum through Friday as the price is positioned above the HVL level (496). Notably, below this HVL level is a substantial "vacuum" area, so if the High Volatility Level (496) fails to hold, we could quickly see a drop to 485, where Gamma Walls provide PUT resistance at 485, 482.5, and 480. Key levels to note are: Highest Call Wall / Call Resistance (500): This level, with the highest positive Net GEX value, may act as a significant resistance. Price momentum may slow upon reaching this level, as positive gamma stabilizes the movement. However, if it breaks through, 505 and then 510 could come into play. 2nd Highest Call Wall (510) and 3rd Highest Call Wall (505): These additional resistance levels could present further obstacles as QQQ’s price moves up, both showing high positive gamma activity that may limit upward momentum. PUT Gamma Wall / Put Support (480): This is the most important support level, where negative gamma presence may buffer price drops. However, if this level is breached downward, declines could accelerate. 2nd Put Wall (485) and 3rd Put Wall (482) : These levels may serve as additional support points, providing buffers in case of further price declines.
NASDAQ:QQQ
by TanukiTrade
Weekly GEX of QQQ | Option Chain AnalysisI’d like to share my thoughts below after analyzing the QQQ option chain. In this analysis, I focus exclusively on the weekly time range, examining the QQQ option chain and the changes in top-tier options metrics. 🟨 Decline in Put Pricing Skew and Increase in IVx The decline in put pricing skew on Options Oscillator suggests that put options are becoming relatively cheaper , signaling a shift in market participants' expectations. This indicates increased call buying and put writing activity in the options chain . Along with the decrease in implied volatility (IV), this often points to a lower demand for downside protection strategies, which could be interpreted as a bullish sentiment. Currently, the QQQ’s IVRank stands at 31.5, reflecting a moderate volatility environment. However, with an average IVx of 19.2, trading volumes could increase, and interest in volatility-based strategies may rise further. 🔶 Backwardation in 4-7 DTE and Time Spreads Backwardation in the 4-7 DTE (days to expiration) period can be ideal for time spread (calendar, diagonal) option traders , as near-term options show higher volatility than longer-term ones. This creates a favorable environment for time spread strategies, especially if this backwardation persists. 🟨 Gamma Levels and Open Interest-Based Levels Call high OI gamma walls (or call resistance levels) typically act as resistance points. However, once these levels are broken, the bullish movement can accelerate due to positive gamma exposure. Put gamma walls (or put support levels), on the other hand, act as support. If broken, downward moves can intensify due to the high negative gamma exposure. While the current largest gamma wall was for today at 495, the upcoming expiration on 10/14 could shift this level to 500, where the greatest gamma exposure will likely be after the Monday expiration (due to the large amount of open interest expiring at 495). If the price breaks above this level, it could further bolster bullish prospects to 505 (last ATH). Additionally, the 500 strike plays a critical role as a major level in the Options Grid System, representing the 8/8 level. 🟨 OTM 16 delta probability cloud in Options Overlay The blue Delta Curves on the Options Overlay show the 16-delta levels, helping traders identify potential price ranges. According to current data, on the call side, the 505 strike is still within the 16-delta range, reinforcing its bullish potential. This represents the 68% probability range defined by OTM 16 delta PUTs and OTM 16 delta CALLs, showing a clear directional expected move value. It provides an insightful view of the expected price movement’s directional range, often used by delta-neutral strangle traders like those at TastyTrade. 🟨 Time Spread Strategies The aforementioned backwardation and gamma wall situation may present an advantage for time spread traders. Backwardation between 4-7 DTE provides an optimal window for those favoring time spreads, as the higher short-term volatility offers better premiums. 🟨 TanukiTrade Options Oscillator values The TanukiTrade Options Oscillator indicates that the combination of declining put skew and decreasing IV suggests potential volatility growth on the bullish side of the market. This could be a valuable signal for both long and time spread strategies. ⅀ QQQ Summary The decline in put skew and increase in IVx imply that market participants are anticipating an increase in bullish volatility. Backwardation between 4-7DTE supports time spread strategies, while the call gamma wall at 500—and soon 505—is likely to serve as significant resistance/target. (NOTE: GEX levels is not part of the TanukiTrade Options Overlay indicator yet. The automatic GEX levels will be available soon, by the end of October!)
NASDAQ:QQQLong
by TanukiTrade
4
Weekly GEX of SPX | Option Chain Analysis for Option TradersI’d like to share my thoughts below after analyzing the SPX option chain. In this analysis, I focus exclusively on the weekly time range, examining the SPX option chain and the changes in top-tier options metrics. 🔶 Breakout and Bullish Outlook Last Friday's price action saw the SPX break through the 5800 call gamma wall, generating strong bullish momentum . This breakout opens the door for further upward movement throughout the week, especially if buying pressure persists. Breaking through a call gamma wall often leads to a rapid price increase, as these levels act as resistance, but once broken, they support further upward moves. However, caution is advised, as additional call gamma levels (around 5850 and 5875) could act as resistance, where the price may stall. These levels can reverse roles and, if the price falters, could act as significant resistance, potentially leading to a pullback toward the 5800 level. 🔴 Put Skew and IVx Changes The put pricing skew on the Options Oscillator shows a declining trend, meaning that while put options are still more expensive than calls at equivalent strikes, this trend is softening when looking at the November expiration. This indicates a weakening of put options relative to calls, which could be another bullish signal as demand for puts may be declining. The five-day IVx average declining , indicating a decrease in market volatility = VIX is melting down. 🟨 Backwardation and Diagonal/Calendar Strategy Opportunities It's also worth noting the 10.5% backwardation based on the IV skew for the expirations between 10/18 and 10/21 (4/7DTE). This backwardation (downward sloping volatility curve) could benefit calendar and diagonal spread strategies, as options with different expirations have varying volatility conditions. 🔶 GEX Wall Levels: Where Is Support and Resistance? 🔹Gamma Exposure (GEX) levels continue to play a crucial role in the market’s movements: 🔹On the upside, the largest call gamma wall for the next 7 days is at 5850, while the 5875 level may also act as significant resistance. The 5875 is a more likely a realistic bullish target, supported by the Options Overlay’s blue OTM delta 16 probability curve. 🔹On the downside, the 5750 put support level currently offers strong support, with sellers forming a barrier here. The 5800 level is also interesting because it was the largest call gamma level last week, meaning there could be significant volatility as bulls and bears battle around this point. (NOTE: GEX levels is not part of the TanukiTrade Options Overlay indicator yet. The automatic GEX levels will be available by the end of October.) 🟨 How Delta 16 Curves Define My Rational Price Range in Options Trading The blue OTM Delta 16 curves from the Options Overlay define the rational probability range for me based on a lognormal distribution. This is important because there’s a 68% chance the price will stay within this range by expiration. These values are also visible in the Overlay Expiry table. This represents the 68% probability range defined by OTM 16 delta PUTs and OTM 16 delta CALLs, showing a clear directional expected move value. It provides an insightful view of the expected price movement’s directional range, often used by delta-neutral strangle traders like those at TastyTrade. ⅀ SPX Summary The SPX options chain is showing a bullish direction with the breakout above 5800, but it will be key to watch the gamma levels where the market might stall this week. The rising IV and declining put skew trend could provide further signals that the bull market might continue, but the possibility of resistance or a pullback remains. For those considering diagonal strategies, the backwardation may offer interesting opportunities to capitalize on. (NOTE: GEX levels is not part of the TanukiTrade Options Overlay indicator yet. The automatic GEX levels will be available soon, by the end of October!)
SP:SPXLong
by TanukiTrade
SPX 30min Chart with GEX Levels & Major Piviot pointsAnalyzing the major pivots in a top-down approach in the context of trading volatility, and aligning them with TradingVolatility's calculated cumulative gamma levels, particularly focusing on the highest three expiration strikes, offers valuable insights into market dynamics and risk management. 1.Top-Down Approach: The top-down approach involves starting with a broad view of the market and then drilling down into specific details. In the context of trading, this might mean beginning with a macroeconomic analysis, industry analysis, or a broad market overview before delving into individual securities or specific trading strategies. This approach helps traders gain a comprehensive understanding of the overall market conditions. 2. Major Pivots: Major pivots refer to critical points or levels in the market that often act as turning points for price action. These could include support and resistance levels, trendlines, or significant historical price points. Traders use these pivots to make decisions regarding entry and exit points in their trading strategies. 3. TradingVolatility's Calculated Cumulative Gamma Levels: TradingVolatility appears to be a tool or platform that provides data and insights related to options trading, including the calculation of cumulative gamma levels. Gamma represents the rate of change in an option's delta concerning a change in the underlying asset's price. Cumulative gamma levels can indicate the overall sensitivity of a portfolio to changes in the underlying asset's price. Traders use this data to assess risk exposure and to make informed decisions. 4. Highest Three Expiration Strikes: Options have various expiration dates and strike prices. The highest three expiration strikes refer to the options contracts with the most significant open interest or trading activity. These are often the ones that have the most influence on market dynamics and can be crucial in managing options portfolios. Now, let's put these elements together: By employing a top-down approach, traders start with a macro-level analysis of the market. They then identify major pivots, which could be key support and resistance levels, trendlines, or important historical price levels. This step helps traders establish the broader context for their trading decisions. Next, traders use TradingVolatility's calculated cumulative gamma levels. These levels offer insights into the sensitivity of their options portfolios to changes in the underlying asset's price. By aligning these gamma levels with the highest three expiration strikes, traders can gain a clearer picture of their risk exposure and the potential impact of major market movements on their portfolios. For instance, if the cumulative gamma levels are high near these critical pivots, it suggests that options traders have substantial exposure to potential price swings in the underlying asset. This information can guide traders in making decisions about risk management, such as adjusting their positions, implementing hedges, or selecting strategies that align with their risk tolerance. In summary, a top-down approach, combined with a focus on major pivots and cumulative gamma levels of the highest three expiration strikes, provides traders with a well-rounded perspective on market conditions and risk exposure, helping them make more informed trading decisions and manage their portfolios effectively.
AMEX:SPY
by thebearfib
2
What is GEX?Gex is short for Gamma Exposure. I started tracking gamma exposure over a year ago. In fact I posted an idea with a really good explanation idea of gamma exposure but the idea was banned and I never got around to reposting. So many private messages asking me to explain GEX, I decided to repost the banned post without the restricted content in it. If you want the restricted content, send me a message and I will send you the link ==== Original Idea posted March 6th 2022 ======== I finished updating the simple GEX tool. This tool is for educational purposes only and gives a very basic/naive overview of gamma exposure for any Ticker. So What is GEX? GEX stands for Gamma EXposure. Options are derivatives of financial assets that give investors more.. options. Gamma is the rate of change in an options delta per 1-point move in the underlying asset's price. When someone buys an option, there is typically a market maker (dealer) that needs to sell that option to you. Because the dealer does not want to take directional risk on the other side of the option, they hedge the option by buying or selling the underlying asset. As the price changes, the dealer must continuously make changes to that hedge to remain delta neutral. Gamma Exposure, in this tool's case, Naive Gamma Exposure is an estimated measurement of gamma exposure that a dealer has taken on based on the full options chain's open interest. It is an estimate because nobody really knows if an option's open interest was bought or sold to a dealer. Negative\Positive Gamma is hedged differently by dealers. If a dealer is positive gamma they will sell the rally (price up) and buy the dips (price down). Positive gamma creates a supportive and less volatile, more liquid market. If a dealer is negative gamma they will buy the rally and sell the dips. Negative gamma creates more selling pressure and more volatility, an illiquid market. Zero Gamma or Gamma Flip is the assumed point at which dealers would flip from negative gamma exposure to positive. When the dealer is positive gamma, the Zero Gamma strike will usually act as support. When the dealer is negative gamma, the Zero Gamma strike acts as resistance. GEX can measure individual asset gamma exposure but is more effective at measuring overall market indexes such as SPX and NDX. GEX shouldn’t be used as a directional measurement, but more of a volatility indicator. Notional GEX is the dealers notional (total dollars) exposure in 1% move in the underlying assets price. If SPX is -20B for example, dealers will have to buy 20 billion in underlying shares for every 1% move up, or sell 20 billion for every 1% move down. Option Quotes are delayed by 15 minutes from the open and close of the Regular Trading Hours. Disclaimer: The GEX tool is meant to be used for educational purposes only. It is NOT meant to be used for/as financial advice. Use at your own risk. The reason I included the JHEQX HEF Pin is because of how the different expirations effect the markets at different times. The general idea I like to emphasize in my naive understanding of these market mechanics is TIME. Notice in the following ideas from the past 3 months all have the 4165 HEF Pin in the forecast. This is only possible by calculating the Gamma Exposure of the options sold to JPM and making some assumptions (next time).
SP:SPX
by SPYvsGME
51
A Put Spread Collars Gamma IndicatorWhat is a Put Spread Collar? A put spread collar is an options strategy used to insure underlying assets from downside while limiting upside. Why would someone use a Put Spread Collar? What is unique about this strategy is the premium is paid for by selling an 5-6% OTM call and selling at 20% OTM put. Selling those 2 options pays for the long put premium. Why do I care about these Put Spread Collars? These strategies are insurance for over 30 billion dollars of assets. A market maker selling this option strategy will not take that risk so they need to constantly dynamically hedge the risk. Dynamically hedging billions of dollars worth of options will cause considerable flows positive and negative in the market. What do you mean 'Flows'? It's not really a flow but you need to understand how a market maker dynamically hedges to get a better picture. For the scope of this indicator I will only use "flows" to describe dealers buying and selling. I'm currently working on an indicator to track dealer flows. est. 2-4 more weeks. When are flows the strongest? Typically flows will be the strongest in the last 3 weeks prior to expiry. Flows will increase and decrease from Implied Volatility depending on gamma direction being positive or negative. Increased gamma is indicated by larger sized bubbles. What is GEX? GEX is short for Gamma Exposure. When a market maker sells an option they are at a direction risk if the underlying price goes up or down. To remain risk free, market makers will buy or sell the underlying the amount of delta of an options contract. Gamma is the delta Change in from the underlying price moving up or down. What is Positive and Negative Gamma? Each bar on the indicator will calculate the Gamma of the total option strategy. This is the amount of delta a dealer will need to hedge per 1 point move in underlying. If the overall gamma is positive, the dealer flows are supportive (i.e. Sells highs, Buys lows). if the overall gamma is negative, the dealer flows add to volatility (i.e. Buys Highs, Sells Lows) Script will be published next week. I still have some issues with fix with implied volatility.
SP:SPX
by SPYvsGME
12
1 and a 2 and a 3...1.. double bounces on Ichimoku Cloud. 2.. Weekly Tenkan-Sen crossing over Kijun-Sen. and a 3... Chikou Span crossing over prior price confirming trend. 21D moving average on GEX flatlining Wheat prices, hope you don't like bread. Oil prices, hope you like being stuck at home. Nat Gas, hope you have a wood stove next winter. Vodka losing their damn minds. This month choices of FUD include: Nuclear Meltdowns MAD - Mutual Assured Destruction Futures Roll CPI data FOMC rate hike Quad Witching and last but not least Negative Gamma Exposure for everyone!!!
AMEX:SPYShort
by SPYvsGME
1
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
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
Storm Over?I updated the GEX indicator this morning to include puts & calls so you can visualize the changes in gamma exposure. If you want to see other tickers, head on over to www.spyvsgme.com . Once I’m happy with the indicator I will publish the source code. What I keep seeing is the puts building up lower (80 strike) bringing down the gamma zero strike which is now dropped to 100. With prices creeping up back over 100 yesterday, it could mean less volatile price movement as positive gamma exposure is typically less volatile. Keep in mind, the overall SPX & NDX are still in very negative gamma so it's likely there will be more choppy waters ahead. This leads to great opportunities for traders with their head & shoulders upside down. Yesterday the intraday on SPY presented an inverse head and shoulders that paid out exactly to the 161.8% fib extension. Futures are all over the place this morning. GME seems to be weathering the storm. It's kind of poetic, that nearly 1yr ago, I was mocked for telling everyone on WSB that I thought the fair value for GME was $100 given everything that happened. One interesting development I noticed yesterday was CHWY was positive and ran 13.7%. Curious what the sentiment shift is in relation to GME anniversary. Is it possible shorts were covering to balance losses in other tech like NFLX and AMZN? It is an interesting correlation to say the least. Not financial Advice.
NYSE:GMELong
by SPYvsGME
2
Da Bears Head & ShouldersA bearish week is an understatement for how much and how quickly the markets turned and broke the bottom of a 2 yr bull trendline. If you read my bear review for Jan, I identified how important this last OPEX cycle was going to be. What I discovered last week was that the indexes crashed through a significant gamma zero line when FOMC (JAN5) indicated more rate hikes this year. You can find these key gamma levels using a GEX tool I created at www.spyvsgme.com GEX can be calculated using the options chain. In this case, SPX options are used to hedge dealers exposure to the trades they sell. A significant pattern I missed last week was this H&S pattern with a retest of the neck line and a bounce and rejection of the 161.8% fib. Overnight Bitcoin followed suit and tested its H&S 161.8% target. Doesn’t matter if you are a bull or a bear, be careful out there. BULL CASE If you’re a bull, you’re looking for a strong reversal here at the 200% and a retest of the 161.8% at 4435. Win that and we could see a V-shaped recovery and regain positive gamma on the SPX ~4595. BEAR CASE The indexes are extremely oversold now so even a bear would expect a period of distribution before another move lower. If you look back in March of 2020 you will see after the first week of the correction there were several quick moves up before continuing down. The 4350 strike on SPX seems to have the lowest Call exposure and is likely where pinning of the indexes will be through this next FOMC in a few days. Basing here for 2 days before a break lower is the most likely scenario. Either case is very difficult to predict as unexpected events now would be a cause for a market crash. Not financial advice. I’m a meat popsicle.
CME_MINI:ES1!
by SPYvsGME
GAMMA GAMMA GAMMA GAMMELEONBoy George this week has been nuts. I haven't had as much time to work on the GEX tool as I had hoped but I did get some work done on testing it. Check it out at www.spyvsgme.com A lot of gamma exposure rolled off this week and brought the gamma zero strike from 140 down to 125 and a 2.3M GEX. Price target of 125 this week seems reasonable as total GEX has rolled positive. Could see some relief rallies next week in the indexes as a metric ton of negative gamma exposure rolled off indexes and big names like Tesla. Gamma Zero targets for next week look this GME 104 -> 125 TSLA 936 -> 1045 AAPL 161 -> 165 SPY 437 -> 465 FOMC next week, if JPow remains hawkish we could see even deeper sell offs on indexes. In that case I would be looking for lower targets. SPX still has nearly -1B GEX GME 104 -> 100 TSLA 936 -> 900 AAPL 161 -> 160 SPY 437 -> 425 Not financial Advice. Just GEX
NYSE:GMELong
by SPYvsGME
1
GME vs GEXYou may have heard about this greek called Gamma. If you haven’t, I’m not going to talk about it much except to tell you that it's important. I told you I would do something special for my 1yr GME anniversary, so I took to coding up a Gamma exposure tool (GEX) that I will be giving out for free once I get it tested next week. The tool is simple enough but will provide GME traders with some important levels. The levels are based on Gamma exposure from options and identifying where gamma flips from negative to positive. It's nothing new, but access to an entire Options Chain and being able to calculate the gamma exposure is something most alpha providers hide behind a paywall as some secret sauce to get you to pay for a subscription. That's not me. I think all information regarding a stock should be accessible to everyone, particularly the less wealthy traders like us gamers. Why is GEX important? Gamma exposure is important because it acts as a driving force for underlying assets. That is to say, when a market maker's exposure to an asset is overly positive, the dealers will sell into a rally and buy into dips, inversely, when the mm is negative gamma, they will buy into a rally and sell into a dip. It’s safe to assume once the mm exposure to that asset is negative like it is with GME below 140 gamma flip, you’re likely to get more volatility. Usually this gamma zero acts as a type of support for an asset, but if you have been living under a rock, you may not have heard the shifting sentiment in the marketplace moving to a more risk-off appetite. It's why you see shares of VIAC rising and our beloved GME breaking the gamma zero support and turning much more negative. The bad news is, there is a rather large negative exposure to GME at 100, something to the tune of -1.6million that seems to be the likely drawdown. I still need to verify my gamma exposure numbers and make sure I’m not missing anything. Something tells me the ETFs that include GME may offer some more gamma exposure I’m not seeing. Either way, next week I will open-source the code and publish the tool/data to be verified. I will then attempt to make sense out of ETFs affecting this recent drawdown. As always, not financial advice. I’m a meat popsicle and…
NYSE:GMELong
by SPYvsGME
7
Ready for a Big Correction? US30 - SPX500 - NDX 15/4/2021We've been seeing a huge rise in the Dow Jones, now it needs a breather so I'm trying to enter a short after a possible stop hunt to the upside, right around 34k. The market is driving through a bunch of potholes with fears of QE ending. Powell mentioned the FED will taper QE before they hike rates, hedge funds with exposure to quadrillions in the derivatives bubble, system risk at an all-time high. GEX at an all-time high too, dark pools getting in on the Short of the Century? What do you think? Will it go parabolic instead?
OANDA:US30USDShort
by PrecisionCharts