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Jheqx

JHEQX Quarterly UpdateJHEQX 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 all for your interest and support. At the start of March I outlined 2 possible directions JHEQX would flow and after a brief fake out lower in early march, turned around and ran up to the Call strike for expiry. This completed leg 2 of a 6 month prediction I outlined a month earlier. Sentiment has changed in the past few weeks to a more Bullish as "this isn't QE" liquidity entered the system after SVB and provided very positive overall Gamma for end of March into early April. The S&P has now completed the shoulder and retesting the neckline for a much broader 200D move higher to the JHQDX strike at 4290 for the end of April.
SP:SPX
by SPYvsGME
4
Hedged Equity Forcast for JHEQX in MarchWe 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 gamma range if flows from OPEX don’t pick back up. I updated the indicator idea for anyone that uses it. Send me a DM if you want to use this and I will send you a private link. All I ask is for your feedback and any suggestions or critique. I don't mind if you object to my ideas or thoughts / experiments on here or twitter, just don't be like some twitter quants that don't even stick around long enough to retort.
SP:SPX
by SPYvsGME
12
S&P 500 200-DayAt 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 on Mar14/15. - VANNA/CHARM flows to pick back up - Target is ~405 JHEQX Call Pin Bears - Bears have not had a lot of help from any negative gamma - A turn below 200D would give the acceleration lower needed to go negative - Target is JHEQX Put at ~363
AMEX:SPY
by SPYvsGME
6
Not going according to planI 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 expecting a drop with such confidence the last few weeks. Then I noticed DIX. DIX is another great measure created by squeezemetrics (implied order book) to monitor short sales on stocks. If you don't know DIX, I'll create another idea in the future or we can chat about it in the comments below. The simple of DIX is that when it prints 50% and higher, there is a likely drop coming in. In this chart I outlined a few points where DIX signalled a sell coming. If you go to squeeze metrics site, you will find that DIX has been signalling a drop for nearly 2 weeks now. I think that is where many Furu accounts signalled their patrons to buy puts. But as I posted in many other ideas over the past several months the market is more stable now because most hedged equity funds are positive gamma. I started drinking the cool-aid and started dooms-day charting. I'm starting to believe the market is to well hedged short term to provide any meaningful sell off. We'll see. Flows are still weak into March then we start analysis of were JHEQX is going to expire that will give a foot hold into summer distributions.
SP:SPX
by SPYvsGME
6
JHEQX Quarterly Expiry Expected DistributionsThe 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 Karsan’s March 2020 prediction repeat of Negative Vanna Exposure (40-80 VIX) during JHEQX window of weakness (more on this in future ideas). This 1 year regression trend with 2 standard deviation upper and lower gives you a better idea of just how evenly this bear market has been distributed. Here are some key patterns I look out for in a quarter. Gamma Squeeze : Is when nearing expiry of JHEQX during very bearish sentiment. I have outlined this occurrence in detail in the past. Window of Weakness : Is the point when OPEX and VOLEX has been unpinned but the JHEQX expiry is nearing expiration and most effected by VANNA and GAMMA exposure. This could be a sell the rip OR buy the dip occurrence as we saw back in Vanna Trap : is something I have been working on. It occurs very frequently now because of 0DTE and the front running of the big option expiry pin. I broke this down live during the last week or so of the expiry. Volatility Trends are tightly correlated with JHEQX. Vol Comp / Vanna Rally Short Squeezes : has been demonstrated throughout several of my ideas in the past. This is when you get the slow grind higher courtesy of well supplied volatility. Cem Karsan refers to it as the Summer of George. Banana/Gorilla. Take notice of the trend pattern for the quarterly expirations for 2022 and you will see the trend after expiration is the trend to follow. Right now the trend is positive (over the yellow line). Should the dealers start moving into negative deltas (selling short) this week, JHEQX flows become muted. The move up in the strikes zero gamma pivot is up over 6% since last quarter. This would mean the keep calm 4k on trend will have another chance at breaking that upper 2 deviation trend line (200 day moving average). Any questions, feel free to DM or leave a comment.
SP:SPX
by SPYvsGME
6
Idea History of the JHEQX Hedged Equity FundIf 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 use the white paper “Implied Order Book” as my basis for Dealer Flow My Charting on the funds started in 2021 when I was trying to understand the role of volatility and the expiry of these funds before and after Opec/VolEx. I got my first prediction completely wrong. Then I began to map the history of the expirations My interest in the funds led me to 2 other similar funds running the same strategy. I started breaking down the delta and gamma of the hedges The math is fairly straight forward. So I started a pine script to track the collar The script involves plotting the delta/gamma/vanna for a put spread collar I had transformed into “The Hedge Whisperer” Pointing to my price targets like Smalls on the Sand Lot. But I realized I was getting lucky, and started to look for the distribution probabilities of the hedge The popularity of 0DTE continues to grow and the understanding of these dealer flows became an event of their own. In the coming weeks: Regular updates on hedged equity flows and levels. How I think JHEQX will be the straw that breaks the camels back. Trade ideas for upcoming expirations. And How to hedge assets using the same strategy Thanks to all who have commented and kept my interest in writing and researching. I hope you find these topics helpful.
SP:SPX
by SPYvsGME
2
Hedged Equity UpdateI 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 squeezed by other large market funds / orders. Most notable was strength from this positioning shortly after SLR restrictions were loosened for the pandemic. March - June 2020 Expect Shiny and Don to be supportive flows. Buying dips and selling tops. While Tiny provides fuel for short squeezes. Range for expiry is 4300 high and 3838 low. Likely pin into OpEX this month is 4069 and if TSLA gets itself together 420 on spy by the end of the month. As for the smaller hedged equity fund positions. Tiny just reset at the end of Nov. Short 4320 Call Long 3855 Put Short 3250 Put Shiny is chilling at delta accumulation in positive (supportive) gamma.
SP:SPXLong
by SPYvsGME
12
Postive Gamma for Everyone!!!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 pattern tracked the entire previous quarter. As a result of JHEQX being supportive, the vix recedes back to mean reverting. Another vol compressing pattern formed. A Mirror to the previous one except without as much volume compression. VIX still has room lower as fears of BTC contagion subside. All hedged equity funds are now positive gamma. JHQDX JHQTX
SP:SPX
by SPYvsGME
8
Bear Rally has ArrivedI 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 range. It almost seemed unnatural the past few trading days. JHEQX shows us after reset there is support there is typically a break at reset or rally. Last 2 resets Same structure repeating. Looking back at the crash of 2020, it occurred during JHQTX window of weakness and flipped the big hedge JHEQX into negative gamma and right through JHEQX WOW into OPEX Quad Witching. JHQDX Playbook This is about the time JHQDX and its 14k contracts make a run out of the money. Since this a long put position, dealers are short futures. This plays right into October 31 Corp. Buyback blackout periods are reducing. If earnings aren’t to bad this week. We could see a run up to 3900 by Oct 31. Update on Indicator. I’m currently working on solving the issues with implied volatility. It’s a complicated problem without having options quote and historical prices for options. In the mean time I will keep publishing updates on the equity hedges. Not Financial Advice As always, these hedging theories are just that, theories. They usually take weeks to confirm and play out so keep that in mind. China is holding back GDP numbers and there could be land mines all throughout earnings. If you use any of my publications for trading. Have stops. Don't trade 0DTE unless you are gambling. There are plenty of tail risks and markets will continue to move 1 step forward and 2 steps back until some sense of normality in bonds and commodities is achieved.
SP:SPXLong
by SPYvsGME
16
You ever dance with the devil in the pale moonlight?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 volatility to a range of 3% or more. I predicted CPI will be lower because commodities reached a low by the end of Sept. After a lower CPI I expect a rally to close the range on JHQDX long put as a target close for end of October.
CME_MINI:ES1!
by SPYvsGME
11
A Macro Nerd, Technical Analyst, and a Quant walk into a Bar.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 bit of technical analysis Just look at the history of the FED in 2020. Then again in Fall 2018 And again in 2016 Total Gamma Exposure for the market has been stuck to zero gamma the past 2 days consolidating / distributing. That means distribution for the days overall move will be smaller < 1. The 2 smaller Equity Funds (EF) are negative gamma and the big EF is positive gamma. The exact same scenario occurred in June when JHEQX flipped positive gamma on the 2 smaller EFs. Volatility Compression with Short Squeeze Potential between now and CPI on the 13th. With Elons financing pulling out of the Twitter deal, I assume Musk is selling TSLA each day again. After AM/EU selloff, small short squeezes up or slightly down to end the day. When he is done, I expect we’ll get a brief pop up to and maybe over the 20 Day moving average which was not tested yet. This kind of price action is described well with Diamond Pattern. Really hard to call this CPI, but I'm going to lean towards the FED CALL/SECOND LEG DOWN trend line down to hold for now until Jerome Powell Pivots on future rate hikes.
SP:SPX
by SPYvsGME
3
Delta and Gamma IndicatorPutting 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 calculated. The purpose is to see a visual representation of hedged equity funds put spread collar history. Hedged Equity Fund Reset: EOM Dec, Mar, Jun, Sept Mutual Fund: JHEQX Assets: 15 Billion Contracts: 44.5k Here is the main equity fund collar strategies history. This fund was established in DEC 2013 and grown into one of the largest managed equity funds. I talk a lot about how this fund creates a pinning effect to the market around quarterly expiry. With the history now in full view, you can clearly see a recurring pattern as the largest index in the world follows a put collar through zones of support and volatility. Hedged Equity 2 Fund Reset: EOM Jan, Apr, Jul, Oct Mutal Fund: JHQDX Assets: 5.7 Billion Contracts: 14k This funds reset frequently finds nearly the exact same close from the previous quarter. Hedged Equity 3 Fund Reset: EOM Feb, May, Aug, Nov Mutal Fund: JHQTX Assets: 2.5 Billion Contracts: 7k Not as many contracts but still provide short term support and resistance.
SP:SPX
by SPYvsGME
1
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
The last 100 meter dash to the finishAfter 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 out of the money (> 3850) the Fixed Strike Implied Volatility will have less impact on the puts deltas. Should we drop another 50 points over RTH we could see the dealers selling deltas short again which would lead to the second 50 point drop coming much sooner. For those who I sent this script to, please remember the IV used to calculate the deltas for this put are not correct yet. So even if you see the deltas go up, check your broker app or an options calculate that can calculate the proper implied volatility. Market makers and options calculator seem to use different variations of Black-Scholes and how they calculate IV. I'll continue to update this idea and track the reset deltas the day of Sep 30. Bottom Line. I don't expect much change in deltas the next 2 days. Previous day -1B GEX territory that implies larger than average move today +/- 1-2% or more Expect volatility. Sideways Chop or even a rally if DXY continues a trend lower into Friday.
CME_MINI:ES1!
by SPYvsGME
4
Script to track put collar spreadsFor 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 buying while positive gamma I have Black Scholes and implied volatility working close to my reflect my brokers. I will publish the completed script when I get iv working properly. There needs to be some public light shed on these strategies. Why? These strategies will continue to drain all liquidity from the markets until there is a liquidity crisis. You're Crazy. No Really, Why? Let me break it down... This strategy is 1 of 3 by a single prime broker. My guess is there are a lot of other big hedge funds doing a very similar strategy. Every 3 months, the strategy is reset. Every 3 months, a big liquidity withdrawal is being made without anyone even noticing. Market liquidity pays for the premium of this strategy. O'Rly? This strategy is insurance for 20 billion in assets. The premium for the long put contracts on 20% downside for 20 billion is ~550 million dollars. The problem. ~550 million in credit sold by market makers (dealers) with no intent of taking on the risk. Market above the short call, it's absorbing QE. Market below long put, 10-20% draw down in S&P 500 To see the results of this, compare what happens when the strategy resets during QE and QT. Imagine for a moment the trillions in margin and equities being used to draw income, yield and premiums from markets. IMHO, this strategy is the Credit Default Swap of 2020s The fed has no choice now except to continue raising rates with relentless QT to reduce its balance sheet. This bubble may be so big, your children's kids will be paying for it. I need to call my mom.
SP:SPX
by SPYvsGME
17
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
What happens when an unstoppable force meets an immovable objectStock 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 cars, buying a home, eating out you are long the markets. It’s why stonks go up. But they do occasionally need to be corrected. Sometimes more than others. So some wicked smhart (read in a Boston accent) people came up with the idea for insurance on equities. Derivatives were born and have continued to grow now to the point where Derivatives of equities are the market, not the other way around. Otherwise known as Options, these insurance contracts are often bought to protect underlying assets to lower risk and guarantee a steady return on investment. The same thing that made Bernie Madoff a prisoner To do these, hedge funds need to buy the insurance product from a Market Maker (or Dealer). In 2008, that was companies like AIG who the government bailed out in a 15 years of monetary policy. The point is, the dealers who sell these insurance contracts need to be insulated from the risk of selling these products or end up like AIG. So the dealers hedge. As to not fall behind the curve on a downturn or rally, the dealer hedging is dynamically done. Dealers dynamically hedge their positions by buying and selling the underlying equities in the S&P 500 like APPL and TSLA. It’s why you see such violent buying and selling after news is released. These dealers need to constantly hedge. But what about regularly during normal trading hours and no news. To answer that, you need to understand there is more than price to the stock markets. With derivatives as the main driving factor in markets today, Time and Volatility play a major role in what the markets should be priced at any given time. There are affectionately coined VANNA and CHARM. VANNA is the change in delta of options in relation to Volatility. CHARM is the change in delta of options in relation to Time. In Summary As Volatility goes up/down Vanna Flows become stronger/weaker. As Time passes, CHARM flows get stronger until expiry. Flows meaning the buying and selling of delta (underlying S&P 500 equities) done by Dealers. Remember, dealers are always dynamically hedging deltas to remain risk neutral (or end up like AIG) Does that mean I can dodge bullets? No, What I’m saying is, when the time comes, you won’t have to. ——— Back to this idea. I mapped out the past 3 quarters of JHEQX and when it goes positive or negative gamma. You can clearly see a trend forming. I noticed it when VIX would not exceed 27.50 over the past few weeks (yellow triangles) Now I have a good looking trend of where the 2 forces will meet again and possible be “the crash” everyone is expecting. The FEDs policy stance has indicated increasing tougher times ahead. More hikes for longer until inflation is under control. This means VIX will continue to go up. It will also help us determine where JHEQX will roll over. The tricky part of the rollover will be that the gamma position is reset. That’s why you see the fund rarely flip except during its weakest flows after a reset. The rest puts positive and negative gamma smack dab in the middle of the price were the hedge is priced in that day. To see this, check this idea out and take note of where the product rolls over and where the yellow line that separates negative and positive gamma are. Now you see, it’s not so easy to flip this force negative or positive. Because it’s currently positive gamma, it provides the supportive flows like you have been seeing in markets the past few week. I suspect it will continue to provide support until 1 of 2 things happens: 1. Selling pressure is to much and drops the markets down to 3700. The CHARM effects are going to be the strongest in 9 days. 2. Rollover occurs at the end of the month and the markets drop. But what about the amount of gamma that rolled off on Fridays quad witching? A lot of gamma rolled off the markets on Friday leaving supportive flows like JHEQX to carry the markets through the next rate hike later this week and to the end of the month when the product resets. Please heed my warning. These flows are not a guarantee. In either direction. If an event happens, i.e. Russia backing out of the war, or China starting their own over Taiwan there is a catalyst for a large move event up or down. I don’t recommend trading off any of my views. Eventually the house always wins. Trade safe. Trade wicked Smhart.
TVC:VIX
by SPYvsGME
4
What is really moving markets this summer?Want to know what I think caused this latest bear rally? This chart of SPX is broken into quarters that represent when the very large JHEQX hedge that rolls over the funds put credit spread. The funds put options netted most of the funds profit in q2 fuelled by sell offs in technology. In Q1 I thought a market wide sell off would net the fund 2B but Vanna Flows pulled the market out of a steep dive for a march rally. But high volatility in MAR from news and inflation fears forced short vol liquidations. google “When did VXX stop issuing”… march 15. I was not charting much in Q2 and didn’t do the PNL for the funds hedge but if I had to guess the put options profit was est of ~1.5B Seeing that VOL was not as high during Q2 compared to Q1, one would assume less VOL selling. This allowed markets to decline with out strong reflexive support from VOL selling (everyone buying VOL). Now that VOL is compressing and SPX has its bucket of shares volatility should return. My novice understanding of these mechanics are limited here, but my conjecture is that the price will be drawn to between 4005 - 3580. For reference, the Contract Values and costs on June 30th Sell 46,000 contracts for 3020P at -28.25 on June 30th +1.3M Buy 46,000 contracts for 3580P at +119.80 on June 30th -5.5M Sell 46,000 contracts for 4005C at -93.41 on June 30th +4.3M This is just one fund. JPM has 2 other similar funds (not as big) that roll over each quarter spaced apart by month. OI contract sizes are not as large in the other funds (10k-15k) for sequential months, but their effects on liquidity play a role at the end. Don't take this as investment advice. Do some research and draw your own conclusion.
Editors' picks
SP:SPXShort
by SPYvsGME
17
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
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
JHEQX: ITM vs OTMTrading would be completely boring if there wasn’t a fintwit argument over market effects. Leading up to this week it was all about the santa rally which was muted the past week by a pinning effect of significant gamma in SPX expiring around the 4800 mark. The only topic of interest seems to be around the JPM quarterly collar trade. I recently pointed out a video suggesting that futures would need to be bought today as a result of this trade. It would seem that is not case according to the last croissant crumbs. The JPM collar outlined here is the point of interest. While some are suggesting that a significant amount of delta will need to be bought today to the tune of 8 billion worth of spx/futures. What our volatility master suggests is that this is a delta neutral trade and the effects of the trades delta on the day of the expiry have already been priced in the market. The effect was bananas for Gary and the result was compression of volatility if the trade is closer to in the money (ITM). I mapped the trading day in this chart and you can see the moves on the day which is fairly muted and consistent except in September when the trade was Out of the Money (OTM). You can also see below the trend in vol compression 21d before the trade date is consistent except when the collar is OTM vs ITM.
SP:SPX
by SPYvsGME