Here is my morning run down of the current market outlook using Dark Pools, Dealer Positioning and market wide Options Flow to inform our #optionstrading and #futurestrading today. Data can change but it will help formulate a plan.
Lets start with $SPX Gamma and Vanna courtesy of @WizOfOpsVol.land. The $SPX Vanna picture has changed dramatically with only having repellents at the extremes! Same with Gamma, we have areas of positive gamma above & below that can be S/R but it's minimal!
Now let's do the same for $SPY but add in some additional data points from @Tradytics data driven insights. Vanna impact similar to $SPX. Gamma shows support @ $384/$388 & resistance @ $393/$396, with accelerants in between. The 5-day delta correlations favor the bears!
$SPY Dark Pools help paint the the picture further. Sig prints at $399.5 are very bearish (potential magnet first). However, we have lots of DP resistance above and block trade sentiment remains bearish.
Now, take a look at 5-day market net flow and delta positioning across the market. 5-day flow shows calls accumulating overall, however market wide deltas went extremely bearish. Lets not forget the negative deltas on DMD de-hedging today! See my post yesterday about it.
Lastly, we need to make sure we keep all the upcoming macro number releases in mind as they are the big fundamental drivers of the market. We have PMI at 9:45 (I'll be flat 1m before just in case) as well as major OPEX today!
Overall, based on the DP data, historical correlations and overall market structure, I do favor the bears into next week. However, this also allows for extreme volatility so there is money to be made on both sides, which I fully intend to do. Today I have no true bias!
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Lets start with #Vanna on $SPX & $SPY. $SPX cumulative Vanna picture still neutral in this range with positive vanna favoring downside and negative vanna hurting moves higher. $SPY is similar but with more positive vanna favoring downside should $VIX/IV continue to rise.
Aggregate #Charm up next on $SPX & $SPY. $SPX is now much more inline with $SPY with positive charm exceeding negative charm. This means dealer selling will take place as time passes on these contracts.
Another condensed post tonight combining what I believe to be the most useful market data to help prepare for tomorrow. Show thread to see it all! 🧵👇
Lets start with #Vanna on $SPX & $SPY. $SPX cumulative Vanna picture still neutral in this range with positive vanna favoring downside and negative vanna hindering moves higher. $SPY is similar but with more positive vanna favoring downside should $VIX/IV rise.
Aggregate #Charm up next on $SPX & $SPY. $SPX charm is neutral as well, but slightly more negative which is slightly bullish. However, $SPY is still positive which favors downside. Combining the two has dealers doing slightly more selling as time decays.
Someone asked on YouTube if I could review $TSLA data going into the week, so here it goes. Hope others who trade it regularly find it helpful.
$TSLA #Vanna data shows cumulative Vanna positive until 185, at which point it goes negative and would repel moves lower as IV rises with price dropping (within the vanna curve). Positive Vanna around price and above will increase volatility until that point.
Looking at $TSLA Gamma we see dealers assisting moves through 195 and 197.50 due to negative gamma with 200 being a positive gamma which will act as resistance (support if broken). #Charm is slightly more negative which is slightly more bullish.
Here is my evening rundown of $SPY & the overall market using data driven insights by @Tradytics. The data provided will help us formulate a plan for tomorrow to inform our #optionstrading and #futurestrading. Show thread to see it all! 👇
We see Algoflow divergences below. These are assets where net flow is diverging from price. Finance sector and related names stand out as bearish. The bullish names like $U, $GE, $NFLX, $BA & $ENPH warrant a closer look for details.
The $SPY 3-day delta/price correlations show a 30% total chance of moving up to 2.7% higher and a 50% total chance of moving down as much as -3.7% over the next 3 days. Dealers are still long. Expected volatility has dropped slightly.
Here is my evening summary of dealer positioning $SPX, $SPY & $QQQ. The data is provided by Vol.land, created by @WizOfOps, and will help us identify key areas tomorrow to inform our #optionstrading and #futurestrading. Show thread to see it all! 🧵👇
Lets start with #Vanna on $SPX & $SPY. $SPX cumulative Vanna picture is neutral in this range with positive vanna favoring downside and negative vanna hurting moves higher. $SPY is similar but with much more positive vanna favoring downside should $VIX/IV continue to rise.
Aggregate #Charm up next on $SPX & $SPY. $SPX charm is pretty neutral as well, but slightly more negative which is slightly bullish. However, $SPY is very positive which favors downside.
Here is my morning summary of $SPY using data driven insights @Tradytics. The data provided will help us formulate a plan for the day to inform our #optionstrading and #futurestrading. Show thread to see it all! 👇
The $SPY #Gamma based @Tradytics ghost zones are shown in the screen shot below. They range from 397 - 400 currently.
The $SPY 3-day and 5-day delta correlations all favor the upside based on historical correlations between delta structure & price. However, take note of the lower volatility (no ideal for intraday traders).
Dealer delta momentum still more negative (-0.183).