Alma.Trk
@alma18499
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Mathematician & Physicist | Freelancer option trader & quant No financial advise Check "Highlights"🙂 (you asked for it❤️)
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Joined January 2019
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Pinned Tweet
July, August
First read the quoted post below to understand what causes this multiyear low, well supplied
#volatility
, and $SPX to grind higher. This is some basic dynamics.
$SPX correlation declined by 82.86% in the past month, currently trading at 2.93
While $SPX RV is
GAMMA AND VOLATILITY
OPEX, CORRELATION, RISK
quant brainstorm
The formula of gamma is this:
phi(d1)*(1/(S0*sigma*sqrt(T))) = gamma
where phi is a standard normal distribution function, and d1 is a function of S.
Gamma is a form of normal densitiy function as a derivative of
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JUNE
risk/reward is favoring to the long-side now🟢 $SPX $SPY $ES_F $QQQ $NQ $NQ_F $VIX $VVIX
I coded 5192 as bottom where positive vanna charm will kick in as no volatility got realized. It bottomed at 5191.68 and generated a big gamma squeeze, I described the supportive flows
#intradaytrading
#optionstrading
I coded out the levels for today where I see positive vanna/charm flow kicking in:
$SPX if 5258.69 gets hit then 5250 has pinning effect until gamma starts to decrease. 5201.02 can be a magnet, however hedging flows can kick in at 5212.25; and I
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$SPX $SPY $ES_F $QQQ $NQ $NQ_F 🩸🔴
This bear momentum will last, don't rush to catch it. Wait until it breaks below 5200 even 5168 as I posted around 13th of May.
Still crazy, eh?
I remember, I was called crazy when I longed $NVDA when crowd where bearish on it in February
@Wojtnic
I tell you why, however i don't usually answer questions mocking around like "lol ok" etc. but you follow me for a while...
As I keep writing since I first signaled the blow-off top (happened) and short position building (my net short exposure is literally at the top that was
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DEX, GEX, VEX, IV & MAD
...I'm not often reading soc. media especially not market analysises in order to stay biasless...
but I often see some insufficiencies in fintwit posts even the good ones, I wanna point now out, making them miss important momentums.
DEX
Delta exposure
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Volatility skew
is literally the IV across the OTM, ATM and ITM strikes on a same date.
ATMs have the lowest IV and highest gamma, while OTMs and ITMs have lower gamma and so higher IV.
Implied volatility basically shows us how much the traders are willing to pay for a certain
@alma18499
Hi Alma, I don't understand well how to read and interpreter the "skews".
Idk If you made some post on past regarding ... but when you will have a bit time, Could You help me with some info? Many thanks
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Here is a very important post in reponse to yesterday about dealer flow, and current setup many misses☝️ $SPX $SPY $VIX $QQQ $NQ $ES_F $NQ_F
#volatility
#OptionsTrading
#StockMarket
What most people misses is that...
1) Dealer hedging activity is not that automatic as many
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WHAT'S HAPPENING NOW ON THE MARKET?
Earlier I talked a lot about the dynamics of structural short squeezes and AI hype that have supported this
#market
rally. These, along with the gamma effect and
#volatility
suppression by dealers could create market uptrends, even in the face
THE BIG SHORT-SQUEEZE, BLOW-OFF TOP
The thing that many people miss is that the strongest driver of this current rally is a short-squeeze in structured products (I keep telling it since last spring).
The more traders bet against the
#market
(by short selling or selling calls),
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RECOMMENDATIONS for study, and datas
Many of you asking me what books etc. I recommend to read etc. So here is a list I think the best to learn:
Books:
Natenberg's "Option volatility and pricing" (my fav) - basic for anybody touches options
"How the Economic Machine Works" by
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GAMMA AND VOLATILITY
OPEX, CORRELATION, RISK
quant brainstorm
The formula of gamma is this:
phi(d1)*(1/(S0*sigma*sqrt(T))) = gamma
where phi is a standard normal distribution function, and d1 is a function of S.
Gamma is a form of normal densitiy function as a derivative of
☝️once again about FIXED STRIKE VOL and $VIX
If we are looking at $VIX we'll never get a true insight of
#volatility
expectations.
Why? - Well, the white paper of $VIX says: "The selected options are out-of-the-money SPX calls and out-of-the-money SPX puts centered around an
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So last week I told you, that gamma squeezes coming and shorts gonna bleed. $SPX went up to 5115.
At tuesday I told you it is a beartrap to lure in bears to get squeezed out on
#FOMC
then opposite move. I faded the momentum to show the power of sizing and
#riskmanagement
and won.
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FOR OPEX WEEK
(to be continued)
So
#market
kept climbing upward as put tail positions got unwound and above 5168 (the flagged level since the bottom) fomo driven speculants jumped in to catch the train.
This crowded trade is exactly what causes these chops as 0DTE hedgings are
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RISK, POSITIONING AND STRATEGY FOR THE WEEK $SPX $SPY $ES_F $VIX $VVIX
I spent the whole weekend coding and finetuning new
#volatility
functions and learning about the current researches of vol modelling, forecasting etc. Hop you had a nice weekend too🙂
Let me share some
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What a week... shorted $NVDA at the top, closed $SPX $SPY short from 5325 at the bottom of 5200.
Coded 5192 as the level where vanna/charm will push the market back up. Portfolio is up.
Shared a lot of educational post and finally... 😉finally everything is ready for a substack.
#intradaytrading
#optionstrading
I coded out the levels for today where I see positive vanna/charm flow kicking in:
$SPX if 5258.69 gets hit then 5250 has pinning effect until gamma starts to decrease. 5201.02 can be a magnet, however hedging flows can kick in at 5212.25; and I
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I recalculated the major resistance at 5229.40, and the major support at 5178.76
Listen now carefully☝️ IV/HV shows a slight premium in expectations for future
#volatility
over what has been realized recently. However, the relatively close values indicate that the market is not
I think we will see a minor short squeeze to bleed out short positions, then decaying them before the structural major short squeeze-ish bullish momentum continues.
5227.30 is a major level to break and hold above for that future bull move. 5269.06 is the next realistic top as i
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SUPPORTIVE VANNA/CHARM FLOW
you hear about these flows many times, but as I see, there are some traders who don't really understand how they are work yet they trade with options...
So let me explain these two flows by a simple example.
In the quoted post below I touched the
DEX, GEX, VEX, IV & MAD
...I'm not often reading soc. media especially not market analysises in order to stay biasless...
but I often see some insufficiencies in fintwit posts even the good ones, I wanna point now out, making them miss important momentums.
DEX
Delta exposure
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Listen...
get ready for further gamma squeezes in this vanna driven environment🟢 $SPX $SPY $QQQ $NQ $ES_F
This is very important, bcs as IV slowly decreases and the deltas increase and in this negative gamma environment dealers must buy up shares, bringing further 'demand' into
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The market is mostly fueled by the expectation of rate cuts, soft-landing and healthy economic growth.
$SPX $SPY $ES 🔴
Here is some context:
In my 6th of march post I wrote "It is very important to consider that the
#Fed
#FederalReserve
has opted to prioritize maximizing
Risk reward is on short-side🔴 $SPX $SPY $ES_F $QQQ $NQ_F $VIX $VVIX
#optionstrading
#StockMarket
👇👇
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MARKET STATE $SPX $SPY $VIX $VVIX $QQQ $NQ $ES_F $NQ_F
#StockMarket
#OptionsTrading
2yrs ago I wrote that the desinflation that the the
#Fed
used as an excuse for stimulating the
#market
was a fake one and will lead to a stagflationary environment 👉
Here is a very important post in reponse to yesterday about dealer flow, and current setup many misses☝️ $SPX $SPY $VIX $QQQ $NQ $ES_F $NQ_F
#volatility
#OptionsTrading
#StockMarket
What most people misses is that...
1) Dealer hedging activity is not that automatic as many
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SUMMARY AND STRATEGY
Here is my strategy for the rest of the week:
The main thing to keep in mind is to not being stick to short it, and to not fight the
#Fed
My short position is based on four things:
1) 👉 - the narrative is unstable and obviously
The market is mostly fueled by the expectation of rate cuts, soft-landing and healthy economic growth.
$SPX $SPY $ES 🔴
Here is some context:
In my 6th of march post I wrote "It is very important to consider that the
#Fed
#FederalReserve
has opted to prioritize maximizing
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c'mon baby give it to the mommy, don't be shy lol $SPX $SPY $ES_F 🟢
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🧵FORSEEING TAIL EVENT, MARKET CRASH $SPX $SPY $VIX
#marketcrash
First you need to accept that the markets are influenced by the options market the most.
It became an extra dimension that you need to understand.
Before a tail-event you need to see:
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I see mean reversion in
#volatility
is coming. Especially after today's momentum 🔴
First I don't see $NVDA can be more extended, also $GME.
#WallStreet
used them only to lure-in liquidity to keep the
#market
up and the market still showed weaknesses. Now I see it comes to an
So again: the main reason I'm telling you to be cautious is bcs of the hype around risk-on cross assets. I'm not worried now about the
#Fed
bcs as I told, we can observe the on-going Fed put.
But the pattern I see in some assets like $GME or even $NVDA or $AMD make me not like
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HOW TO MEASSURE FEAR IN THE MARKET? $VIX $VVIX
#volatility
Measuring of
#market
fear should be based on how investors are actually positioning for potential downside, as seen through the demand for options at specific strike lvls. Fixed strike
#volatility
shows this dynamic,
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#intradaytrading
$SPX $SPY
While I'm overall
#bullish
for the month, in a daily time-frame I see some risk here given that the Friday EoD rally was driven by charm and gamma, above 5250 and not bcs of the demand. That was a squeeze☝️
I code 5253.50 as a daily pivotal level.
JUNE
risk/reward is favoring to the long-side now🟢 $SPX $SPY $ES_F $QQQ $NQ $NQ_F $VIX $VVIX
I coded 5192 as bottom where positive vanna charm will kick in as no volatility got realized. It bottomed at 5191.68 and generated a big gamma squeeze, I described the supportive flows
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Vanna flow will be supportive if $SPX moves towards 5025.63☝️ as this move would increase the deltas of options, requiring dealers to hedge by buying the underlying, providing upward support due to the positive vanna exposure. But at least they lure more shorts in to steal🩸...
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Started to scale into longs on $SPX and $SPY at 5211 as posted🟢 using near ATM options. Will use ITMs as well, but the weight of the position will be skewed towards ATMs.
#market
is bottoming. I expect 5193 $SPX 🟢 around that level I will weight it.
Also long $ES_F 🟢 futures
#intradaytrading
#optionstrading
I coded out the levels for today where I see positive vanna/charm flow kicking in:
$SPX if 5258.69 gets hit then 5250 has pinning effect until gamma starts to decrease. 5201.02 can be a magnet, however hedging flows can kick in at 5212.25; and I
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Listen now carefully.
Tomorrow it is $VIX expo.
Based on OI, $VIX is net shorted below 14.5s
Term structure showing suppressed
#volatility
on the short-run, but expected to increase on the long-run.
This can cause a nice dip in August but also a market up vol up squeeze rally
July, August
First read the quoted post below to understand what causes this multiyear low, well supplied
#volatility
, and $SPX to grind higher. This is some basic dynamics.
$SPX correlation declined by 82.86% in the past month, currently trading at 2.93
While $SPX RV is
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90
😉😊 hope you catched the momentum.
for further explainations check "highlights" menu
$SPX $SPY $VIX $ES_F $QQQ $NQ_E
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THE CURRENT STATE $SPX $SPY $VIX $ES_F $ES
If we compare the last weekly short term and longer term momentums in different time frames plus IV/HV we will still see that the alpha slowly shifted to short side and still shifting (as I signaled at 22th of March)🔴
The nearly
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TRADING, MOMENTUMS, PRINCIPLES OF ANALYSIS, STUFFS...
Option's value has two dimension:
the axis of price levels (intristic value) and the axis of time to expo (extristic value).
Contrary to stocks i.e.
Intristic value is the difference between tha strike and current spot
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it's vanna that keeps pushing the price up. I carefully building the short position here, as I see the possibility to reach 5360 as well. My positions are short-term hedged right now (not my style btw).
However I'm red yet🔴
market up, vol up. Blow-off top.
"being too early is
SUPPORTIVE VANNA/CHARM FLOW
you hear about these flows many times, but as I see, there are some traders who don't really understand how they are work yet they trade with options...
So let me explain these two flows by a simple example.
In the quoted post below I touched the
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GEX is shifting. zero gamma is at 5250, will serve as a magnet, and the break below will ignite the 🩸momentum. (this is the lvl where MMs go from net long to net short GEX, and where IV goes up)
#volaility
is slowly coming back to the market with the GEX shifting. check
My concern...
This whole thing with the bots posting
#bullish
motivating tweets all around the fintwit territory + the unhealthy IV + the manipulation with the call walls is just pure manipulation to get an agressive squeeze up and keep plp's eyes off of the
#inflation
risk. Look
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I just got 1,000 followers here🙂
I've never thought I'll ever reach it (especially not in 3 weeks), as my original intention has always been to simply just share my thoughts, argue them and learn from others.
I've never thought it will go so far, and that so many plp will be
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ATM fix strike vol is now prices a 83.02% increase going into
#Opex
then a 30.41% vol crush after. Thats huge. Favoring to premium sellers. Manipulation at its best.
#WallStreet
is out-there for the blood🩸 bu i catched them by short side at the top.
Better stay away from
falling step by step, kinda hedged decay🩸 $SPX $SPY $VIX
get ready for intraday premium collections now
#optionstrading
#riskmanagement
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My concern...
This whole thing with the bots posting
#bullish
motivating tweets all around the fintwit territory + the unhealthy IV + the manipulation with the call walls is just pure manipulation to get an agressive squeeze up and keep plp's eyes off of the
#inflation
risk. Look
Roaring Kitty is posting every 10 minutes now.
And the stock is not doing anything.
Starting to think it’s not Keith behind the X account….
541
105
4K
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#intradaytrading
#optionstrading
I coded out the levels for today where I see positive vanna/charm flow kicking in:
$SPX if 5258.69 gets hit then 5250 has pinning effect until gamma starts to decrease. 5201.02 can be a magnet, however hedging flows can kick in at 5212.25; and I
I would be very careful to go short here☝️
#WallStreet
is out for the blood by constant trapping and
#volatility
crush.
I catched the momentum at the top when puts were heavily underpriced, and closed most of them for now, building hedges and getting ready to switch to long.
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FOR OPEX WEEK
83.76% of the total gamma expiring on Friday is call gamma. ...mostly deep ITM
In the past two sessions the total
#market
net gamma decreased by ~82.54%, and
#market
seems to realizing some
#volatility
now, fix strike straddle is elevated by 10.52% comparing to its
#market
total net gamma decreased by 13.47% since yesterday. Fix strike vol increased by 12.82% still has room to grow in order to mitigate vanna. HV heavily increased.
5500 is the highest wall. As I said yesterday if $SPX cannot go above 5522 these supporting high gammas will
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I have puts on $ES_F since 5269 and $NVDA as well🔴
And I think thats the top of it for now.
My 1st target is around 5237.49, it can reach it in the next few hours. Thats how they make $SPX to gap down at open to not allow traders to catch short side.
The $SPX squeeze at the
The fall from 5224.81 (I flagged 5225) and the oscillation around the flagged 5182.80 level and the pinning around 5130 high OI gamma zone with this shady and fraud upstick into the close suggests further traps.
Listen now☝️
Below 5220 we are in negative gamma. $SPX returns
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Let me share an interesting observation with you:
I usually do not post charts, but .... getting the historical datas for the last 252 trading days for $SPX and $VIX, I made this chart showing the $SPX trend in this period (green), the difference between $VIX projected expected
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I see all your comments and DMs about job offers and joining me somewhere.
I don't have Discord server and not planned. But if you wish I can lauch a substack side for daily levels, descriptions of the market, education stuffs.
Here I post whenever I want. So if I would do that
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Keep your eyes on $SPX 5125. If it holds what I think it will hold, then it will visit 5168 soon. If 5168 can be taken out, it signs that demand side came back to the
#market
and $SPX will go back above 5200. Bcs now it is only a squeeze, but above that level bears will shift.
Here is a very important observation about the supportive flow $SPX
#SPX500
(near term)
Last month when $SPX started to bottom I wrote that I expect rangebounding more likely than breaking above critical levels, and bleeding both bear and bull out🩸 (around 18-20th of april)
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good boy $SPX thats what mommy likes... ~400% profit in one day
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happy weekend for everyone. I'll be off.
#market
still prices 1 rate cut in, yields put pressure on
#nasdaq
and $SPX showed weakness (along with $NVDA) despite the
#bullish
positioning with strong pinning effect and washing the VEX level at 5285 out.
#volatility
got also
The market is mostly fueled by the expectation of rate cuts, soft-landing and healthy economic growth.
$SPX $SPY $ES 🔴
Here is some context:
In my 6th of march post I wrote "It is very important to consider that the
#Fed
#FederalReserve
has opted to prioritize maximizing
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💡Let me explain...
The accumulation of put gamma does not inherently mean the market sentiment is bearish; rather suggest that investors are seeking downside protection in a still-bullish
#market
.
The concentration of put gamma at strikes below the current spot price indicates
Big shift in NetGex 0DTE/1W positioning from last week (chart on the right). A lot of put gamma has been accumulating. Is that put gamma just fuel for late in the day rally, or are we getting more bearish? What do you guys think? $SPX
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🙂 Many of you guys, asked me if I will do substack, or if you can "buy me a coffee" somewhere in return for my daily free posts.
here it is, you can find it in my bio.
I don't promise substack to be honest. But I'm here to help. Glad if i could❤️
$SPX
@alma18499
@alma18499
couldn't dm, but please set this up at the least. let us buy you a coffee :)
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$SPX
#INTRADAY
levels for today:
Demand bands:
5024.51
5059.86 (5060.68)
5095.21
--
Supply bands:
5130.55
5139.22
5165.90
For further context check my posts
#optionstrading
$SPX $SPY $VIX 🟢
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FOR ALL MY FOLLOWERS, AND MY TAKE ON $SPX ONCE AGAIN
I won't post for a while...
...sorry. These last few days were too much for me. I literally got blackmailed, humiliated etc.
I know that such things happen in soc. media, but the truth is that I never wanted to be a fintwitter
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Futures are green $ES_F while oil goes down🟢
I called temporal bottom at Friday with a bear trapish $VIX. Here is what you have to understand:
The thing is that as IV rose during the decline, supportive vanna flow slowly came in. $SPX
The deltas of put options increased, so MMs
As a result of the IV crush I presignaled here (quoted post) calls got cheaper. As $VIX was still relatively elevated at the close tells they wanna lure traders with this Iran thing by their sentiment, many thinks $SPX has more downside.
But it's not true. Bear momentum is done
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$SPX $SPY 🔴
Levels for the decline:
5168 is still a pivotal level.
5139.00 still healthy
But if this level can't hold, it will bottom around 5019.26 and it will presign a strong bull-trend after. (btw i feel like it can have more downside there, but we will see when we are
Risk reward is on short-side🔴 $SPX $SPY $ES_F $QQQ $NQ_F $VIX $VVIX
#optionstrading
#StockMarket
👇👇
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Don't be over-bullish after yesterday squeeze☝️
$ES $ES_F needs to break the 5628.47 lvl to show
#bullish
strenght. Below 5579.65 it is net
#bearish
, right now it is more like neutral.
$SPX net
#market
gamma is increased by 83.16% but it is still negative.
Fix strike
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THE CURRENT STATE Pt. 2
When upside
#volatility
is deemed too cheap, it underestimates the propability of sharp increases in
#market
prices. This mispricing leads to significant market adjustments when the reality diverges from the expectations.
The big structural short squeeze
THE CURRENT STATE $SPX $SPY $VIX $ES_F $ES
If we compare the last weekly short term and longer term momentums in different time frames plus IV/HV we will still see that the alpha slowly shifted to short side and still shifting (as I signaled at 22th of March)🔴
The nearly
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for
#intradaytrading
this day it can show some intraday downward move toward low GEX levels.
coded out
#volatility
based reversion levels for $SPX:
5078 - this can be magnetic🧲 if 5115.23 gets taken out
5090
5102.69
5115.23 - this level is pivotal for the whole week as well.
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Simplified example: lets say I'm a market maker and net short delta, long gamma
#intraday
0DTE on a certain level.
Let's say for the sake of the example that my delta is -52 and my gamma is 2. It means, I have to long 52 shares to remain delta hedged.
If the price falls below
#intradaytrading
note $SPX $SPY
While I see this risk lurking on the market due to the one sided short vol trade and fundamental divergences, also the building up short gamma above the pinning 5300 strike,
the metrics also show that the
#market
is likely to rangebound in the
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IV is increased. The mentioned flows are there. Check my pinned thread☝️ and go for understanding it well
5120 lvl wasn't a coincidense. It has high call gamma, very high, and they lured some shorters here as I warned you last week. Then theta bleed and gamma squeeze.
Check my
A few points here:
1) "
#market
rises, fix strike
#volatility
increases" = as more and more traders get into the squeezes betting on convexity to the upside plus retails are yolo'ing by short dated call buying, it not just provide further leveraged force (through delta) and a lot
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scaled more long into $ES_F from my 5072.75 lvl🟢
They are setting a bear-trap up☝️
...but I see what I see. Don't worry🙂
They just want you to believe earnings matters and
#bearish
and stuff. I wrote earlier that the
#market
is call-heavy. They have to temper it to avoid
Don't worry about today's price action $SPX. It holds my pivotal 5045 lvl.
This is how
#WallStreet
compresses and tempers the momentum to sustain it. The flagged 5104 lvl coming soon and back to positive gamma🟢
Otherwise it would have been a nasty, very volatile and short-lived
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Literally 2 days ago☝️ Welcome back in positive gamma territory🙂🟢
I wanna see momentum stabilizing around 5104.97 $SPX
I didn't joke, no matter how you called me crazy and stuff to go long and call beartrap yesterday. Learn with humility and open-mind😘
#OptionsTrading
$SPX slowly shifts to positive gamma territory🟢, and heavy on calls. Keep an eye on $SPX 5104.97 lvl in the next two sessions. A stable close above it would wash out 'dead-cat-bounce' possibility, and would lead $SPX above 5168 finally.
#intradaytrading
$ES_F 🟢 $VIX 🩸
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Why am I short?
See the quoted post below. Thats what I look for in the next following sessions.
Let me explain my pro and contra reasons to short the
#market
just to be very clear, and after no more post about it.
After I shorted the
#market
last month, I called the bottom at
when high-low spread starts to significantly increase, also the open-close and close-close ranges get more wide with significantly sharper negative returns that makes the
#volatility
going higher while
#market
moves higher while skewing the normal distribution of the returns
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So again: the main reason I'm telling you to be cautious is bcs of the hype around risk-on cross assets. I'm not worried now about the
#Fed
bcs as I told, we can observe the on-going Fed put.
But the pattern I see in some assets like $GME or even $NVDA or $AMD make me not like
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Today's
#intradaytrading
setup and the meaning behind this momentum⚠️
$NDX below 19,521.95 puts
#bearish
pressure on the
#market
, just like $ES $ES_F below 5495.22
$SPX broke the -1.5 sigma of 20 DMA, $ES and $NDX are trading at the -2.5 sigma of the 20DMA.
I code 5396.92 $SPX
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@Wojtnic
I tell you why, however i don't usually answer questions mocking around like "lol ok" etc. but you follow me for a while...
As I keep writing since I first signaled the blow-off top (happened) and short position building (my net short exposure is literally at the top that was
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Don't forget what I've written in this post about fix strike vol
👈👈
If you have an 1 month OTM put with an IV of lets say 35%, and the
#market
drops $VIX goes up and your OTM becomes ATM, typically, as an option moves from being OTM to ATM, especially
While I see
#market
is about to finally bottoming, this is a very tricky environment.
Before the bottom
#WallStreet
wanna bleed both short and long-side out.
$SPX got pinned to around the 5025.63 lvl I flagged intraday, and also the
#bearish
momentum was very lazy despite the
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as I observed and learned from one of my biggest mentor, the
#market
is working very similar to how a political (pseudo-democratic) campaign works.
There is only one goal: to win. Just how Mark Hanna explains in the famous scene.
They meassure the sentiment, adapt to it and
@alma18499
@joeychen11234
@Wojtnic
Hi Alma,
Was just wondering, do you have any discretionary input in your trading or is it 100% based on mathematical observations?
Much appreciated
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#intradaytrading
$SPX $SPY $ES_F
I see more flows pointing down than up today.
5260 can pull the price short term, but breaking 5248.15 $SPX will move down.
Just like as long as $ES_F stays below 5283, the
#bearish
pressure is there.
The last two session just pushed the skews
RISK AND STRATEGY
Let me clarify this and my "June" post how they interfere... (note: when I quote or link a post in a new one, always read those ones too)
So first remember this post:
And then this one:
Never think in extremes,
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I just got home from a nice trip. Hope you are well.
Still seems like the
#market
was far ahead of the economy. It matters because 👉
Fed Funds keeps dropping, and SPY ATM IV are elevated into the next session. $SPX and $QQQ shows weaknesses. Still short
happy weekend for everyone. I'll be off.
#market
still prices 1 rate cut in, yields put pressure on
#nasdaq
and $SPX showed weakness (along with $NVDA) despite the
#bullish
positioning with strong pinning effect and washing the VEX level at 5285 out.
#volatility
got also
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POSITIVE/NEGATIVE VANNA/CHARM ON CROWDED TRADES, AND INCREASED SUPPLY-SIDE
Good question and not trivial. It's all depending on if
#market
realizes
#volatility
or not.
First read it: - then lets further delve into it.
So vanna meassures the slope of the
@alma18499
Alma, thanks for sharing your thoughts process. I have a question. When long vol gets crowded, which means traders bid for puts, it should bid up the IV, how come vix undershoot the market realized IV in this case?
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when $SPX breaks and hold below 5280, thats where the music will start until 5250😉🩸🩸🩸 $SPX $SPY $ES_F
#optionstrading
#stockmarket
The market is mostly fueled by the expectation of rate cuts, soft-landing and healthy economic growth.
$SPX $SPY $ES 🔴
Here is some context:
In my 6th of march post I wrote "It is very important to consider that the
#Fed
#FederalReserve
has opted to prioritize maximizing
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While I see
#market
is about to finally bottoming, this is a very tricky environment.
Before the bottom
#WallStreet
wanna bleed both short and long-side out.
$SPX got pinned to around the 5025.63 lvl I flagged intraday, and also the
#bearish
momentum was very lazy despite the
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☝️once again about FIXED STRIKE VOL and $VIX
If we are looking at $VIX we'll never get a true insight of
#volatility
expectations.
Why? - Well, the white paper of $VIX says: "The selected options are out-of-the-money SPX calls and out-of-the-money SPX puts centered around an
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I would be very careful to go short here☝️
#WallStreet
is out for the blood by constant trapping and
#volatility
crush.
I catched the momentum at the top when puts were heavily underpriced, and closed most of them for now, building hedges and getting ready to switch to long.
Coding out $VIX: 14.46 level is slightly skewed toward $VIX bulls, while below 13.5 further $VIX suppression can occure. As long as $VIX is above 14, it continues to grind up higher
#volatility
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Here is a very important observation about the supportive flow $SPX
#SPX500
(near term)
Last month when $SPX started to bottom I wrote that I expect rangebounding more likely than breaking above critical levels, and bleeding both bear and bull out🩸 (around 18-20th of april)
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🧵1/ Never forget that
#market
momentum, especially upward moves, is not about asset appreciation but mostly about the creation of new money through leverage. This leverage is integral to the financial system, equating money creation with the expansion of credit. $SPX $SPY $VIX
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Don't be over-bearish after the move happened☝️
$ES $ES_F above 5565.43 is strong, it has a heavy resistance at 5590.93; above this lvl it is
#bullish
and
#market
is ready for a rebound.
I code 5537.89 $ES as a lvl making
#bearish
momentum strong again, giving more downside for
July, August
First read the quoted post below to understand what causes this multiyear low, well supplied
#volatility
, and $SPX to grind higher. This is some basic dynamics.
$SPX correlation declined by 82.86% in the past month, currently trading at 2.93
While $SPX RV is
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THE BIG SHORT-SQUEEZE, BLOW-OFF TOP
The thing that many people miss is that the strongest driver of this current rally is a short-squeeze in structured products (I keep telling it since last spring).
The more traders bet against the
#market
(by short selling or selling calls),
☝️ $SPX $ES_F $VIX
The vol. suppression I wrote earlier (check "highlights") seems to be successful.
Decreasing IV for OTM puts both in $SPX & $QQQ, heavy short vol positions, premium selling on both OTM calls and puts tells that traders expect that these options will expire
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overnight trend is
#bulltrap
-ish☝️🩸
#WallStreet
is there for more liquidity donors. Nothing has changed of what I told about the
#market
.
It still wanna go down, but be patient.
#Fed
does not want to cut, they want to hike, but they want to delay it as long as possible, so
when $SPX breaks and hold below 5280, thats where the music will start until 5250😉🩸🩸🩸 $SPX $SPY $ES_F
#optionstrading
#stockmarket
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There is a lot of bearish pressure on $SPX right now basically until 5290 level☝️ fix strike vol increased by 44.08% during the session. The mania is bloody🩸 out-there.
If $SPX can hold the 5253 level, the EoD vanna/charm flow can add some supportive pressure and above 5275 it
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see? it's that simple🙂 I told you that 5100 is magnetic and that it will oscillate, and from 5075 the market will get fuel to climb towards 5100. It happened so. AGAIN☝️ I told you that there is enough supportive flow😉
Hope that after all these calls I made in the past month
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The fall from 5224.81 (I flagged 5225) and the oscillation around the flagged 5182.80 level and the pinning around 5130 high OI gamma zone with this shady and fraud upstick into the close suggests further traps.
Listen now☝️
Below 5220 we are in negative gamma. $SPX returns
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despite all the gamma, delta, and expected vanna the $SPX could not gain strong momentum in the past sessions and keep showing weaknesses. The skewness of the returns is negative,
#volatility
keeps increasing despite the positioning that should have suppress
#volatility
in
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Risk reversal increased by 41.67% in the last week; skew shows very low interest in hedging, flattens more on the left side. Overhedged state is increasing, while
#volatility
also increased despite the momentum compression and high gamma in the last two sessions. Blow-off top is
RISK AND STRATEGY FOR THE FOLLOWING DAYS
despite the the yesterday's oscillation at the the 5350 $SPX high gamma level, the realized
#volatility
decreased only -0.03%, and the left-tail getting elevated in the intraday returns.
Nothing extraordinary special about it right now. I
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#intradaytrading
levels ofr today $SPX $SPY $VIX
expecting further premium decay with dampened momentums.
#0DTE
trading is a suicide now.
Here are the coded levels to watch (back to the previous model, but fine tuned):
exp daily move: 32.03 pts
$SPX
#volatility
based reversion
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for
#intradaytrading
$SPX $SPY
this is a manipulated market now.
#wallstreet
kills the
#volatility
.
IV is below the HV, and everything points towards intraday stabilization below the gamma wall, pinning the price into
#opex
now. Risk is high, market is getting to be underhedged +
My concern...
This whole thing with the bots posting
#bullish
motivating tweets all around the fintwit territory + the unhealthy IV + the manipulation with the call walls is just pure manipulation to get an agressive squeeze up and keep plp's eyes off of the
#inflation
risk. Look
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night-time part II. $SPX $SPY $VIX
learning. I'm off for the week. The position is working.
Cheers❤️
#optionstrading
#financialmath
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Don't believe an analysis but understand the analysis ☝️ big difference here.
Congrat to everyone who got me and got alpha this week as well. 🟢😘 $SPX $SPY $VIX $ES_F $NQ $NQ_F $QQQ
#OptionsTrading
#StockMarket
Literally 2 days ago☝️ Welcome back in positive gamma territory🙂🟢
I wanna see momentum stabilizing around 5104.97 $SPX
I didn't joke, no matter how you called me crazy and stuff to go long and call beartrap yesterday. Learn with humility and open-mind😘
#OptionsTrading
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well, okay🙂 Listen carefully☝️
$NVDA is beartrapish🟢 so is $SPX $SPY
The downward-pointing
#volatility
skews in both $ES and $QQQ tell me that dealers are about to suppress
#volatility
☝️
This is the environment/sentiment they wanted to create for these days to suck in more
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Let me tell you something before we look at the
#market
$SPX It will be educative, promis😉
My yesterday post wasn't an intraday call. It's a dynamics we need to closely monitor till Wednesday.
Was I right? Well, yes, but it didn't executed as many here expected who took my
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fix strike straddle shows 54.21% increase for today, and expect a minor
#volatility
crush for wednesday, and a bigger one for the next week. It is likely bcs they want to sell tomorrow's Powell as something important... unfair-bet.
Total net gamma is elevated by 11.32% having a
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RISK AND STRATEGY
Let me clarify this and my "June" post how they interfere... (note: when I quote or link a post in a new one, always read those ones too)
So first remember this post:
And then this one:
Never think in extremes,
I see mean reversion in
#volatility
is coming. Especially after today's momentum 🔴
First I don't see $NVDA can be more extended, also $GME.
#WallStreet
used them only to lure-in liquidity to keep the
#market
up and the market still showed weaknesses. Now I see it comes to an
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FOR THE OPEX WEEK (MAY 13-17)
Explaination
tl;dr: from the mentioned scenario I see that the most possible outcome is a vol up market up kind of blow of top, then mean reversion, then back up after the week.
Here I explain you in details, why:
As I pointed out here earlier
FOR OPEX WEEK
(to be continued)
So
#market
kept climbing upward as put tail positions got unwound and above 5168 (the flagged level since the bottom) fomo driven speculants jumped in to catch the train.
This crowded trade is exactly what causes these chops as 0DTE hedgings are
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be careful out-there with both calls and puts today.
#wallstreet
set an intraday range between the two main level 5280 and 5250 $SPX again to suppress
#volatility
as the JOLT came bad. another beautiful example of manipulation i keep writing.
#optionstrading
See? It's pinning
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Do you remember what did I write here:
and here:
The key point is that if the weaknesses we saw in the past few months don't trigger monetary support, the trend of the
#market
$SPX will slow down.
Thats what we see now as the
Setup still seems like a coming bulltrap and $SPX still has downside. I got my long position but I'm ready for fast downturn. Dealers are about to bleed both side out.
#volatility
is crushed as expected. Setup signals local bottom.
$SPX $SPY $QQQ $NQ $VIX $VVIX
#OptionsTrading
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Love is not an emotion. Love is a decision. Love is the expression of the unity of being. Love is God himself – as the Apostle said.
Feelings, moods, and thoughts come and go. They rise and fall like birds in the sky. But the will, the decision… it hovers above them like the
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$SPX will potentially gap down at open. Will catch that with 2DTE calls.
5104.97, and 5045.24 are still the levels🟢
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VIXperation day
All the gammas rolling upward. Call gammas are distributed at 5700 and 5800 $SPX.
5650 got the highest gamma OI, creating a sticky lvl and a very liquid range between 5650 - 5700 $SPX. If
#market
stabilizes in this range the
#opex
can vanna/charm the $SPX above
Listen now carefully.
Tomorrow it is $VIX expo.
Based on OI, $VIX is net shorted below 14.5s
Term structure showing suppressed
#volatility
on the short-run, but expected to increase on the long-run.
This can cause a nice dip in August but also a market up vol up squeeze rally
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☝️👩🦰
I told you about the bulltrap and the sharp shift at Monday and the 5229.84 $SPX lvl also telling it's time to short the
#market
.
Now I'm telling you, that 5216.58 is a significant resistance. I have reasons to say it won't hold and $SPX will go to 5193 that is a good exit
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$SPX gamma is at the highest level YTD. It increased by 84.73% since last Friday. Fix strike straddles shows another decrease by ~14%.
$SPX 5500 is a huge gamma strike that can burn more
#volatility
activating more supportive flows (written below) and trapping the momentum into
In the below quoted post I talked about the
#volatility
crush going into this June
#opex
.
Also i keep saying besides the risk-warning that the
#market
is full of delta of the deep ITM calls and full of put decay pushing the price further up🟢
Today I was off-desk, but I observed
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let's post some charts again... $NVDA $SPX $SPY
#stockmarket
🔴
I coded out correlation between $NVDA and $SPX in different timeframes.
On the first chart you can see the 7 days 'trailing' beta of NVDA/SPX since january, and on the second chart you can see a comparsion of
RISK, POSITIONING AND STRATEGY FOR THE WEEK $SPX $SPY $ES_F $VIX $VVIX
I spent the whole weekend coding and finetuning new
#volatility
functions and learning about the current researches of vol modelling, forecasting etc. Hop you had a nice weekend too🙂
Let me share some
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