JHEQX Update On March 31 at ~3pm the contracts were rolled to contracts: ~40,000 roll price: 4089.21 short call 4320 long put 3885 short put 3280 For any of you that have not checked out the indicator on their own chart yet, I published the script privately last month and received overwhelming positive feedback. Get a copy of the script here: Thank you...
We made it through the weakest of the window periods during JHQTX without a break so things are looking better. I updated the bearish forecast to now to fit the recent roll of JHQTX. JHQTX rolled yesterday in what was a very similar occurrence in Aug expiry last year. There is still an argument to be made here that we could tip down towards JHEQX negative...
At a critical juncture while hanging on a pivot for both 200D and zero gamma. The 200D regression trend turned up positive as the tail is now at the peak of aug bull rally. Total S&P 500 gamma is neutral around zero gamma / 4k. No vol events and no flows from options means lower daily distributions. Bulls - Slow grind up here into CPI. - Low CPI/PPI Only...
I apologize for not posting much lately. Work is getting busy and I'm busy most nights creating The Grid. I'm going to make my indictors available as soon as I figure out how to only make them available for Grid members. In the meantime, I wanted to bring up something that caught my eye last week. I couldn't understand why many furu were buying puts and...
The most likely outcome for JHEQX this quarter is outlined in A|B|C outcomes below. A) 4065 - The market has been bearish for an entire year, this trend would break the 200MA / 1yr 2 dev trend line. B) 3630 - Sideways and Down would need to move JHEQX below the roll strike early. After this months OPEX and before JHQDX expires in Jan31 C) 3060 - Cem...
If you’re new to my TV feed, I have been following 3 JPM hedged equity funds put spread collars (seagull) for 2 years now. Some points to be aware of before using any of this info: Theories are highly speculative dealer flows. All the information is public. Hedges are SPX quarterly expiry options. Core concepts originate from Cem Karsan on fin twit. ...
I wrote this script to track 3 hedged equity funds. I've been following these funds for nearly 2 years now. This is the first time in 2022 that I have seen the funds positions line up in positive gamma. All of 2022 the hedged equity funds were aligned in negative gamma and sold off into expiration. Except when dealer Gamma exposures is positive or short...
This weeks update on hedged equity funds sees all the funds flip positive gamma. Forecast for following week is: Lower volatility = Smaller Distribution. Positive Gamma Exposure across broader market = Smaller Distribution. Slow melt up. Approx ~0.4% a day if GEX stays positive in the following week. JHEQX At the top of the call range. Nearly identical...
I know everyone has been waiting on a bear rally and I'm seeing a bunch of signals pointing to this being the breakout for one. Both bulls and bears got shaken one way then the next last week. This weeks update on the market index hedges is forecasting a rally into the end of October. JHEQX Playbook. After reset JHEQX provided firm support at its zero gamma...
Last night futures bounced off JHEQX Zero Gamma support. Significance of this level can not be understated. Losing 3585 may find support below from JHQDX long put flipping positive gamma. With VIX at 32 you should be expecting a 2% move a day. I have an alert at 34 VIX as the point where we could see a pop higher. GEX on SPX is -2.5B which implies more...
And all you get is this chart and no punchline. Not any ordinary chart because this chart has everything you will ever need to actively manage investments in any liquidity environment. 1. You need a 20D moving average with 2 Std Deviation Bollinger Bands. 2. Add 3 of my new Delta/Gamma Indicators locking in on 3 of the markets biggest index hedges. 3. Add a tad...
Putting the finishing touches on a delta / gamma indicator. Only outstanding issues is to complete is fixed strike implied volatility. Check FAQ I created here if you have questions about it. The indicator can be configured to reset on the 1st, 2nd or 3rd last business day of the month. The first new day after the reset the new strikes will be...
What 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. ...
Tomorrow is the big day Deltas conveniently sold back to 0 today when IV pushed the put above 15 delta mark. Here is what the delta curve looks like tomorrow at 9am. Not much upside possibility overnight. Downside still has significant risk of the long put strike being in the money. Should futures sell off overnight, I'm assuming any dips below 3580 will...
After a sell off in futures overnight we are back down to 3680 range on ES. That is 100 points from the JHEQX 3580 Long Put which deltas are displayed at the bottom. Yesterday we saw dealers buying up their short deltas. But there is 2 trading days before reset, will dealers not have to short deltas as price drops again? No. As time passes and price stays...
For all you weekend script warriors out there. I'm working on a new script to track the greeks for put spread collars like JHEQX My thought is to publish a script that can automate tracking of these massive collars and generate greeks, strikes and future volatility predictions. I want to create trading strategies based on selling while negative gamma and...
Asteroid 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...
Stock Markets get wrecked… In this analogy, JHEQX is the unstoppable force and Vix is the immovable object. This idea is in response to a question a reader asked me, what exactly are JHEQX Flows. Where do they come from? What do they Mean? I will describe it as one of my mentors does, Cem Karsan. Everyone is long the stock market. If you enjoy life, driving...