Kevin Fatkin Profile picture
Mar 1, 2023 11 tweets 8 min read Read on X
Here is my evening rundown of $SPX and $SPY Dealer and Dark Pool data to prepare us for #optionstrading & #futurestrading tomorrow using data from @WizOfOps Vol.land and @Tradytics. 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 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.
Largest #Gamma levels on $SPX to put on your charts.

+GEX Levels (dealers resist moves into it):
3925, 4065, 4100

-GEX Levels (dealers assist moves into it):
3825, 3900, 4000, 4150, 4175

Very light supportive positive GEX in the 3910 - 3950 region. Charts shared at the end.
Largest #Gamma levels on $SPY to put on your charts.

+GEX Levels (dealers resist moves into it):
386-387

-GEX Levels (dealers assist moves through it):
388, 390-399, 401-405

Large negative range for dealer assisted moves. Will share charts at the end.
The @Tradytics $SPY 3-day dealer delta/price correlations show a 14% total chance of moving up to 0.9% higher and a 68% total chance of moving down as much as -3.7% over the next 3 days. Dealers are still long. Expected volatility still high.
@Tradytics $SPY Dark Pools data shows various levels of support/resistance (see screen shots). Block trade sentiment is very bullish. Dark pool density map showed bullish prints popping up as price dropped. Today, we clearly saw DP levels playing a big role in price movements.
We have a Fed speaker at 9AM pre market and macro numbers hitting at 9:45am and 10am. Be careful holding open positions during these number releases and during Fed speeches if trading futures pre market. Worth noting - China had good PMI numbers causing a rally in Asia session.
The dealer data across the market is still bearish. $SPX shifted more bearish from positive charm & with 3950 +GEX slipping away. $SPY lost some +GEX below as well. The one caveat is the DP block trade sentiment is bullish. Keep these levels in mind (chart link below).
Here is a link to a Tradingview chart that includes $VIX, $SPX w/ Gamma levels, $SPY with DP and Gamma levels & $DXY.

Red means negative GEX, green means positive GEX, white are dark pool levels. Thicker lines mean heavier dollar amount.

tradingview.com/chart/rjKQu0nV/
The dealer data in this post is from vol.land and DP/Delta correlations from @Tradytics. Code FattyTrades will get you 10% off Vol.land. This link will do the same for @Tradytics:

tradytics.com/?ref_link=fatt…

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More from @Fatty_Trades

Feb 28, 2023
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.
Read 13 tweets
Feb 27, 2023
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. Image
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. ImageImage
Read 8 tweets
Feb 27, 2023
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. Image
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. ImageImageImage
Read 8 tweets
Feb 27, 2023
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. ImageImage
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. ImageImage
Read 8 tweets
Jan 18, 2023
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).
Read 7 tweets
Jan 18, 2023
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.
Read 7 tweets

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