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.
Combining all dealer hedging requirements with IV as-is on $TSLA shows dealers becoming meaningfully short starting around $191 (very neutral at current price of $196.40). Moves higher make very little difference.
@Tradytics net flow shows both call premiums and put premiums dropping (selling to open or buying to close). The 2-day delta/price correlations show a better chance to the upside with high volatility (large swings up and down). DP data seems to be pretty neutral.
$TSLA is always such an odd name to review data for. It's always a mixed bag. Dealers are still short, which traditionally means upside, however $200 shows dealers resisting moves higher. It's tough to gain a clear edge from the data when it's conflicting...
Historical $TSLA delta correlations would tell us upside is favored but gamma/vanna/charm combined show dealer selling with the "$VIX-like" calculation at 71. It does indicate that this asset is very volatile and means big swings both up and down.
In this case, if i were to focus on trading $TSLA, I would be relying heavily on price action concepts and watching how we react at $200 and $195 in particular. Probably not very helpful, but $TSLA is a very unique asset.
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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.
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).
Here is my morning summary of dealer positioning for both $SPX and $SPY. The data is provided by Vol.land and will help us formulate a plan for the day to inform our #optionstrading and #futurestrading. Show thread to see it all! 👇
Lets start with $SPX Vanna since it's a major driver. The Vanna repellent @ 4000 is present but light. Will become light accelerant if we get far enough above it. We still have a large magnet @ 4100 with repellents above that.
$SPX #Gamma is showing slight positive gamma support @ 3975 with gamma accelerant @ 4000 that will assist a move through it. Large resistance @ 4100 inline with the Vanna magnet.