04/07 GEX + Historic VIX Highs: Extreme Volatility with OptionsWow, where to begin? We’ve just come through a week that even the most thorough analysts found surprising.
Last Friday’s brutal sell-off triggered such a massive margin call rally that even the hedge funds were forced to exit gold—which is usually considered a safe haven—on Friday.
The VIX is at a historic high — no joke. We last saw levels like this during the 2008 crisis and the COVID panic in 2020.
📌 High IV = High Theta
When implied volatility (IV) is high, theta (the time decay of options) is also high. This means that maintaining long put protection becomes extremely expensive. From a broker’s hedging perspective, if they are short expensive put options, they can gradually buy back their futures positions over time (all else being equal). As IV rises, this buyback becomes increasingly attractive for them.
Let’s look at our weekly SPY analysis using GEX Profile (Gamma Exposure) indicator first:
It’s definitely not a cheerful chart!
* Below 520: We have strikes dominated by puts. The largest negative GEX “profit-taking zone” sits at 490. If price reaches that level and the support fails (the previous major bottom from April 2024), we could move even further down into a very wide negative squeeze zone, possibly as far as 445.
* HVL zone: 520–546: A choppy area around the gamma flip.
* Above 546: This would signal a +10-15% rally, putting us in a positive gamma zone. However, such a scenario currently seems unlikely—at least based on the gamma levels we see right now.
I won’t sugarcoat it: we’re at levels now where the market could easily move 10% in either direction. So, in my view, forget about conservative option strategies with flat delta exposure.
🤔 What Can We Do?
Important: This analysis reflects my personal opinion only. It’s primarily for those looking to speculate in this highly uncertain environment. If you’re holding put options strictly as a hedge, then this may not be directly relevant to you. In these conditions, the number one rule is to survive—hedges are meant to protect assets or guard against margin calls, not to make profit.
Currently, IV (implied volatility) and VIX are at historic highs. For them to stay this elevated, we’d need new negative headlines and further major market drops. While that could certainly happen, statistically it becomes less and less likely as time goes on.
Buying Put Options …. no way?
First off, there are plenty of challenges if you plan to buy put options right now—most of all their cost. Put options are nearly twice as expensive as calls in many cases.
Does this mean I recommend selling puts or put spreads? I’m not saying you shouldn’t, but be aware: this isn’t for the faint-hearted or for beginners (the risk is high!). It might be worth exploring butterfly or vertical debit spread strategies, as our goal remains the same as always: to maximize the risk–reward ratio.
🐂 If You’re Bullish
This might sound like a ninja move, but one possibility is to buy call butterfly spreads. Yes, the market could still drop—that’s absolutely possible. But statistically, it’s becoming less likely that we’ll see another huge leg down without some form of rebound.
- Slight Move Up: In the event of a mild rise, call spreads and call butterfly strategies can significantly outperform a simple long call. The short legs in a spread/fly offset high theta costs and mitigate the negative effects of falling IV.
- Even with a +10% Move: A long call is often still not the best choice in this environment—even if the option goes deep in the money.
Where Call Spread/Butterfly Can Fail
If stocks rally 15–20% or more and IV also increases (which would be unprecedented in just a few days).
If the market crashes and VIX spikes above 100 (IV would skyrocket, raising the cost of all options further).
Cheap Bullish Calendar Spread
In a situation like this, even a cheap calendar spread can be a good play — the risk is relatively low, especially if managed well and the breakeven range is wide. Of course, if implied volatility drops, the spread could narrow, but that would likely come with a market rally, which theta can help capitalize on.
🐻 If You’re Bearish
I strongly advise against buying single-leg puts, even on a 0DTE (zero-days-to-expiration) basis. If you’re convinced the market will keep dropping, I’d only consider debit spreads, aiming for a solid risk–reward ratio (in my case, I look for at least 1:2 risk-to-reward).
⚖️ If You Want to Stay Neutral / Omni bullish
If you prefer not to pick a direction, you could try to capitalize on historically high IV with a May-expiration Iron Condor. This is the classic TastyTrade approach, with the caveat that you must monitor GEX levels and IV daily and adjust the far side as needed.
Risk Management: If the spot price threatens one of your short strikes, you probably shouldn’t wait around in this volatile environment. It’s usually better to close the position and take a small loss than to hope for a reversal—hoping can become very expensive!
Conclusion
The market is extremely volatile, and expensive options mean traditional strategies may not work as well as they usually do. Stay cautious, manage risk meticulously, and don’t be afraid to close out losing trades quickly. As always, surviving to trade another day is the most important rule.
Spotgamma
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
Where is BTC going?Let's take a look at Bitcoin from a broader perspective. Today we retested the Virgin VPOC from January 5th. The bearish sentiment has been overcome and we have a fully confirmed change to Bullish (green background of the sentiment indicator + blue bars - I explained the indicator in one of the separate entries that I add to Related Ideas). After breaking 46105, we will have an open road to retest the next Virgin VPOC at 48035 on December 31st. Both the psychological barrier and the key level from the perspective of Option Traders is the 50k level (at the time of writing the analysis). This is a strong resistance, and a tough/fierce battle between Bulls and Bears can take place there.
In general, BTC presents itself in the long term Bullish from the perspective of Virgin VPOCs which the market will seek to retest. However, two things worry me:
50k level as resistance and psychological barrier
two Virgin VPOCs that are located below the current price (at the time of writing the analysis) at 36560 and 36065 - although they are quite "young" Virgin VPOC and it is worth having them at the back of your head, but not necessarily fixing on them
It will be useful to use on an ongoing basis when assessing the BTC market with VSA Scanner (described in Related Ideas) which will show where we have the current Demand and Supply in real time on BTC. Analyzes of Intraday BTC and other instruments are also available to those who know where look for them ;) Good luck on the markets - especially in these uncertain times!