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Vanna

If we crash it will look like this.JHQTX and OPEX Window of Weakness 1. Vanna and Charm Flows gain strength 2. VIX Print for the month 3. Window of Weakness Options and Vol are entering in a very fragile time when flows can be at their technical weakest. When social media start speaking about goldilocks (economy goes not to hot, not to cold). That could be this months OPEX (Options Expiry). A slow grind higher into CPI is likely due to well supplied vol leading up to the event. But CPI is likely to be a catalyst into VIX and OPEX prints. My outlook is that anything above the 20D is a buyable dip right now. If dealers Gamma Exposure suddenly moves negative before CPI and Vix Expiry I will be the first to clang the cow bell. There are 3 big hedged equity funds I monitor from JPM and JHQTX is the smallest of the three, which means technical flows from this fund are the weakest of the monthly rolls. Flows from JHEQX (largest fund) and JHQDX (middle fund) are stronger 20 days before expiration as Gamma becomes a bigger factor and IV that spikes from a weak VIX print into OPEX bleeds off into end of month expiry options like our HEFS. Months that JHEQX and JHQDX pin the market to a certain expiry with supportive flows, JHQTX tends to be the runt of the litter because it always ends up coming in short. The weakest point in markets will be Feb 15th - 28th. The next weak spot would be May 17 - 19
SP:SPX
by SPYvsGME
10
3835 Vanna TrapHere is a cheatsheet for the upcoming expiration of JHEQX Collar. It's the reason why anything is sold over 3835. and why we get so many V shaped days under 3835. IV decays fast because of the holidays. Unless there is an event that triggers a spike in IV. Otherwise at some point while the call is OTM the the IV will decay on the call causing a Vanna rally. This expiration is interesting because I've seen much larger interest in the expiry pin. My assumption is that retail is selling the 3835C anytime we go over.
SP:SPX
by SPYvsGME
19
Luke, Use The FlowDo you hear nothing that I say. But moving a single stock around is one thing, moving the entire market is totally different. No, No Different, Only in your mind. You Must Un-Learn what you have learned. Alright, I'll give it a try No, Try Not. Do, Or Do Not. There is no Try I Can't. The Market is too Big. Size Matters Not. Judge me by my size do you, hrm? Where you should not. For My Ally is the Flow, and a powerful Ally it is. QE makes it grow. Its Liquidity Surrounds Us. It Binds Us. You Must Feel The Flow Around You. Here between You and the Qs, The Dow and the Rusty. You want the Impossible. Following up from my previous chart. I wanted to illustrate the VANNA and CHARM flows and how BOTS and EU traders front run the strong VANNA and CHARM flows. VOL UP, Selling Futures Overnight. VOL DOWN, Buying Futures Overnight. JULY 13AM is Vixperation that opens a Window of Weakness. This type of front running let to the 19th DIP from last year if some of you remember my By The Dip Trend Ideas
CME_MINI:ES1!
by SPYvsGME
15 Minute Technical TodayBig fan of FinTwit and 15 minute VIX. Falling Wedge Reversal Pattern StrizziJ Calls out the top this morning on Tue 15min. Cem Karsan (Jam Croissant) explains in a tweet in January that these are Vanna Flows. Vol down every day means buying indices overnight. Vol up means selling overnight. Vanna/Charm flows are hedged by banks & naive primary dealers on the open of US trading & into close. He further points out that Algos & European traders front run these flows starting around 1am CST to sell on US Open. Cem believe the excess risk adjusted returns are 100% a result of captive Vanna/Charm flows… Cem also posted in a tweet on Monday about an upcoming window of weakness in Vanna/Charm flows. Direction after July 13AM? Likely a lot of CPI pain to come. Oil is a big issue at G7. Burry is calling for a Bear rally before the big siesta. Bears gotta eat before hibernation.
AMEX:SPY
by SPYvsGME
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
ES/SPX Weekly Plan | 12/5 - 12/10It's going to be an extremely tough week to trade ES. There is no clear directional sentiment. I'll point out arguments for each side: Bullish sentiment: - We saw some VERY aggressive buying (and selling of SPX puts) on Friday near lows. in a normal market, the sheer volume and intensity of these trades would have been enough to call a bottom. - VIX is at absurdly high levels and statistically is bound to revert to its mean - The 5 day MA of the dark index/GEX ratio is extremely bullish - Seasonality is bullish this time of year Bearish sentiment: - Crypto sold off heavily this weekend, pointing to investors going risk-off mode - TLT is soaring, indicating investors are fleeing to safe haven bonds - We are of course still in negative gamma territory as well, which will force dealers to add fuel to the fire, especially under the absolute gamma level (4500) There are many bull and bear target areas on this week's plan because it is an absolute toss up in terms of which way things will go. My pivot for tomorrow is 4560 - depending on where it opens during regular trading hours will dictate possible trades. My pivot for the week is 4615. I think we need to hold this level for more upside. Volatility should also subside a bit since we'll be over the volatility trigger at that point (4595).
CME_MINI:ES1!
by Zeal_Trading
ES/SPX Weekly Plan | 11/28 - 12/3Last week was super interesting on multiple fronts (Powell sticking around, new Covid variant, etc.). Despite seeing a big risk-off movement due to Omicron strain on Friday, we are long-biased going into this week. Here is why: 1. There was **heavy** dark pool activity in SPY 2. The sell off on Friday pushed dealers into a huge negative gamma position (appx. -$1.4 Billion). When we see high dark pool prints AND low gamma prints, this very often leads to a reversal 3. VIX was sent into orbit on Friday, closing just under 29 (plenty of room for a VIX crush rally). Additionally, there was large amount of dark pool activity in SVXY on Friday (which is short VIX). Since we're long-biased, our ES plan is pretty simple: 1. Would love the opportunity to get long in BTD 1 area. I will look to get 4600 calls for end of December or January 2. I want to see a close above Bull Target 1 area for more upside. If we fail to close above early this week, we likely will need to change our bias 3. If we do close above Bull Target 1, retracements back into Bull Target areas can be used as long entries. Note: this is purely based on technical analysis. Any news around Omicron being vaccine-resistant (for example) will likely have a huge effect on the market and will take precedent over this analysis.
CME_MINI:ES1!Long
by Zeal_Trading
2
Looks like we've got another mystery on our hands.Hey, you guys, look, I know I'm just the dude that carries the bags. If you want to know what happened with GME in January watch this . Most interest to me is the selling of puts It's good to get a basic understanding of Gamma and Vanna exposures for market makers. The important takeaway is "market makers who are long puts, or long gamma, By knowing how market makers will be forced to delta hedge according to changes in price, one can implicitly know where market makers will need to place buy and sell orders" In the video at 4:14 in the video explains why GME has been following the patterns I followed in this chart At this point, I'm fairly certain GME will remain around 180 until Nov15-19 and possible through to the end of the 1yr is when the market makers pnl profile will change to meet the end of 1yr options contracts. so much for free market price discovery. Just wait until you see what I have in store for my next mystery.
NYSE:GMELong
by SPYvsGME