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@GammaEdges
Mar 29 • 4 tweets • 3 min read Twitter logo Read on Twitter
@dampedspring It may be a bit more than $3B Andy.

We're showing the following structure into the end-of week:

charts.gammaedge.us/charm_oi_3d_SP…

What we think matters on Friday is that ITM call component, as it will continue to push flows upward.
@dampedspring ... but into Friday, there is a significant net positive flow that could capture more ITM puts, forcing them to OTM and positive flow, as well as capturing more ITM calls.

charts.gammaedge.us/net_charm_oi_3…
@dampedspring What is most striking to us is the simple collapse of charm AFTER Friday.

The landscape for April is flat, relative to the charm surface of this week.

The contrast is quite evident.

✍️
@dampedspring Those views isolate the #spx PM-settled complex from the total AM+PM complex; we believe that there is value in performing that isolation.

For those of you who are pondering: the total complex:

charts.gammaedge.us/charm_oi_3d_SP…

Monthly ripples are present, but the EOQ expiry dominates.

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More from @GammaEdges

GammaEdge Profile picture
Mar 19
18/ The "if-then" for COTMP is along the lines of:

✍️IF we push below $30.65 in $XLF, we'll watch for a potential upside reversal where we could enter long.

Here are the "if-thens" summarized to make sure you're tracking:
19/

✍️ IF GEXRatio moves up, we'll look at upside opportunities.
✍️ IF we see OTM call delta-OI begin to appear, this may be a change in sentiment to the upside.
✍️ IF we see price push above $32, it may continue as traders lock in ITM put gains.
✍️IF we break above $32, ...
20/ ...we could enter long with a price target of $34 and stop loss (SL) just below $32.

✍️IF we push below $30.65 in $XLF, we'll watch for a potential upside reversal where we could enter long.

You now see how you can "stitch" together different observations about a trade.
Read 6 tweets
GammaEdge Profile picture
Mar 2
We expect a character shift in the $SPX after this week.

Option charm, which gives us sensitivities of the option complex to change in option delta due to time, can be a useful tool to visualize the potential of these changes, or lack thereof.

A 🧵 :
1/ We wrote about option charm here:

2/ Reminder: charm is a 2nd-order effect on the delta of an option and can be completely overwhelmed by opening/closing of contracts.

That stated, we this this is interesting (interactive link provided):

charts.gammaedge.us/charm_oi_3d_SP…
Read 12 tweets
GammaEdge Profile picture
Feb 26
The power of option charm can be significant in developing your weekly strategy.

Curious about how to use it to benefit your trading?

Here's how you can in 30 minutes or less:
1/ Charm is one of the options "greeks" and there tends to be an aura of mystery on what it is and how to apply it to trading.

There is nothing mysterious about it, and if you embrace charm, it may better prepare you for possible changes in markets.
2/ By the end of this 🧵 you will have mastered the following:

✅a review of option charm,
✅the impact of charm on option delta,
✅the role of charm, open interest, and dealer risk, and
✅ Apply charm to planning your trading week.

Let’s get to work! 🔨
Read 30 tweets
GammaEdge Profile picture
Feb 17
1/ While there is a lot of speculation about "what happened" as we moved into the late afternoon session, we think it's pretty clear.

There was a tremendous amount of ITM call delta in the #SPX that was vaporizing, either through monetization or through the expiry...
2/ Here is the #SPX delta structure at 2:20 pm ET, with a link for you to interact with:

charts.gammaedge.us/delta_oi_3d_SP…
3/ There is a significant amount of ITM call delta that is on the edge of that surface -- that's today's expiry.

Note the imbalance - little exists over on the put side of the graphic.

As many of you know, as we march through time, the ITM components grow...
Read 9 tweets
GammaEdge Profile picture
Feb 13
Interested in actionable levels to help improve your trading?

Our members have command-line charting access to key options levels every day.

In this 🧵, we discuss key charting levels, how they are created, and what their shifting can imply.

Let's start at the beginning...
1. Many of our charts use the following key labels:

· COI: Call Open Interest (OI)
· POI: Put OI
· +GEX: Call-Dominated Gamma Exposure (GEX)
· -GEX: Put-Dominated GEX
· ZeroGEX: Zero GEX

What do they mean?

What does their movement imply?

Read on...
2. COI: Call Open Interest

This is the strike price with the largest call open interest in the option complex.

This has nothing to do with option greeks (delta, gamma, others), but it's helpful to know as it represents where traders are stacked in the context of speculation.
Read 23 tweets
GammaEdge Profile picture
Jan 22
Interested in learning about a new BACKTESTED metric with an edge?

We've produced one at GammaEdge (GE) we know you'll like.

Our traders think it's one of the most powerful & actionable metrics we provide.

Ready to learn how it can make you money?

Let's get to work🧵👇
1/ Before we get going, here is what you'll be able to answer by the end:

· What is Gamma?
· What is Gamma Exposure (GEX)?
· What is the GammaEdge GEX Ratio (GR)?
· How is the GR different from Put-Call Ratio (PCR)?
· How to make the GR actionable?

Sound good? 👇
2/ A common gauge of fear in the market is the Put-Call Ratio (PCR).

However, this gauge is flawed.

Why?

Because it does not have a time component.
Read 36 tweets

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