Asteroid JHEQX Update
Updated
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 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.
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.
Note
House always WinsNote
JHEQX ends the day right at zero gamma.Note
With the move lower overnight and this morning, JHEQX moved negative gamma.The deltas required to sell or buy are at the top of the delta curve, means the impact of volatility is muted or flat.
However if there is news or selling pressure that sends us lower faster than selling deltas will start to impact daily returns.
My bias is still leaning higher above 3750. Probability of Friday's close according to the options strategy is 3836.
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