Hau Volatility

@HauVolatility

Undergraduate Student. Filed in FinTwit/VolTwit/GammaTwit

Vrijeme pridruživanja: studeni 2019.

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  1. prije 12 sati

    *3325-3350. 3300’s net gamma was reduced dramatically today as we indeed pulled away, with trades rolling upward and outward. Although the 3325 is still significant (where we closed), the big call wall is 3350. NET GEX stronger positive.

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  2. 5. velj

    In other words, expect large "gravity" around 3300 for the remainder of this week. If we get some sort of run, it's easy moving until 3250-3350, to which you'll notice the same gravity effect. Applies until reconsideration on Friday.

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  3. 5. velj

    Whew, and we are back to net positive! Large + OI at 3300, 3325, and 3350 (the usual suspects). Need to head back down to 3250 for a flip back to the negative luxury we enjoyed for the past couple of days.

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  4. 4. velj

    Everyone's favorite 3300 appears to be back as the highest net + gamma strike. Of course, you also have the opposite at 3250, with the highest net - gamma strike, aka, vol trigger. NET GEX still negative, Feb VIX still > March VIX

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  5. 3. velj

    Currently reading a negative GEX, but small enough to be within most margins of error. All in all, safe to say we are around 0 (SPX GEX), and that historically, things will get movin' this week. Plan accordingly.

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  6. proslijedio/la je Tweet
    2. velj
    Odgovor korisniku/ci

    Sure looks familiar!

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  7. proslijedio/la je Tweet
    2. velj
    Odgovor korisniku/ci

    I think of it more like: Very high GEX is a stable system. Very low GEX is a stable system. Zero GEX is where volatility of volatility is highest, and is hence very unstable.

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  8. 31. sij

    We passed the flip point earlier this afternoon, and have been spending part of this session in negative land. Close will confirm, but it seemed to be slightly below 3250.

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  9. 31. sij

    And hence the lack of Tweets during the week. This seemed to hold true throughout, no clear way to trade GEX like we normally do, with market indeed fluctuating around the margins. Today has large put OI at 3275, with notable calls up at the 3300 and negative gamma below 3250.

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  10. proslijedio/la je Tweet
    31. sij
    Odgovor korisniku/ci

    quite possible 3300 grabs control....have to see where market opens i think.

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  11. 27. sij

    all else equal, about $94M total net gamma expiring this week (insignificant). Notably, about 13K OI in Friday's 3300 calls AND 3250... The picture we are looking at Monday (tomorrow) will probably be similar to Friday. The market will do what the market wants in between.

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  12. 27. sij

    Aka, things can pretty much go any which way

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  13. 27. sij

    + GEX View. Note that 3325 alone had over $200M of OI GEX heading in to last week, which is equal to our top 4 highest strikes put together this week. Net SPX GEX <$1B.

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  14. 24. sij
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  15. 24. sij

    & for scale perspective, the release of the 3325 pin certainly makes things more interesting, especially heading into expiration day tomorrow. Red bar = highest single strike gamma at 3350 (> +$200M GEX)

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  16. 24. sij

    For this short week, we saw major gravity at 3325, a pin level with the highest single strike gamma. However, with today's close, we only are measuring 50% of the $200M we saw all week.... the 3325 has much less gravitational pull, and 3350 now reigns supreme.

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  17. proslijedio/la je Tweet
    23. sij

    "Skew adjusted GEX" (SAG) adjusts GEX for option skew and open interest composition. A call skew tends to flip a stock's SAG from positive to negative, or negative to positive.

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  18. 21. sij

    Throw in an impeachment trial while you're at it, same applies

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  19. 21. sij

    SARS-CoV Scare < North of 1B dollars of dealer hedging $$$

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  20. 21. sij

    Was able to get a couple sells in this morning when the puts were indeed bid up. $$$ flowed in and we are moving back up to where we started. Short puts premium already down nearly 20% from open this morning.

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