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Message
The good news
Posted on 9/13/22 at 8:44 am
Posted on 9/13/22 at 8:44 am
Is max pain for quadruple witching this Friday is around 405 on the SPY so I don’t see them tanking it too hard until next week
1
Posted on 9/13/22 at 1:59 pm to DTRooster
Don’t think witching is gonna stop it. No QE to throw out the net, buckle up boys and girls
Posted on 9/13/22 at 2:09 pm to DTRooster
quote:
No QE to throw out the net, buckle up boys and girls
Yep, not only No QE, we got QT and I believe it’s suppose to increase on Thursday. This market is on its own. Buyers need to show up tomorrow and defend the 3900 area or we might see those June lows again or lower.
Posted on 9/13/22 at 2:30 pm to DTRooster
quote:
No QE to throw out the net,
Which is why we're at this point. For over a decade, this was pretty much the Fed with QE.
Posted on 9/13/22 at 2:38 pm to CajunTiger92
It’s gonna get that test bright and early tomorrow or even before the close looks like.
Posted on 9/15/22 at 11:52 am to DTRooster
Too much cash on the line with the massive amount of options expiring tomorrow to let this thing move to far either way. Monday may be interesting tho
Posted on 9/15/22 at 12:51 pm to DTRooster
The majority of the gamma is from a JPM SPX collar at 4005. That is what buoyed mkts thus far. You also have VIX OPEX and roll (VX futures) next week. Any suppression of volatility will likely ignite vanna/charm flows, which will push mkts higher. Additionally, what has not happened is very important VX futures have been unable to push higher (VXU22 - $27.22ish) and VVIX (VOL of VOL) has continued to base along with TDEX (measures tail risk).
My point is, that the hedge has already worked. Most CTAs have already repositioned. While Monday may or may not be interesting, the majority of gamma expiries in the AM (SPX)... SPY is (PM - MOC). I would not discount volatility tomorrow (Friday).
P.S. the amount of gamma expiring tomorrow is not large from a historical perspective.
My point is, that the hedge has already worked. Most CTAs have already repositioned. While Monday may or may not be interesting, the majority of gamma expiries in the AM (SPX)... SPY is (PM - MOC). I would not discount volatility tomorrow (Friday).
P.S. the amount of gamma expiring tomorrow is not large from a historical perspective.
Posted on 9/16/22 at 11:49 am to Trader82
Please post more!
What a breath of fresh air on here.
What a breath of fresh air on here.
Posted on 9/16/22 at 1:12 pm to Hussss
Sure. Most of my focus is on indices and commodities -I am a position and swing trader focusing on orderflow. I will have limited engagement with stocks.
As for indices today: a lot of the put gamma will run off. This will cause additional selling. A move lower is very likely today (looking primarily at MoC orders with SPY OPEX). IMO... a 3800 print is likely today by close.
As noted above, Monday will be real fun. This adds credence that large participants have continued to sell the mkt while it rallied in early AUG and SEP. If you go and look at the COT for ES you will note the selling by commercial traders. While they continue to buy VX futures. I have deviated from options - appoligies, if you want to look at CoT data, barchart(.)com has it available for free.
The underlining assumption is when retail or other participants are long puts or calls, dealers have taken the other side (thus are short puts or calls). Them being short has likely kept mkts up (as they're having to buy futures or a basket of high beta stocks as to delta hedge their book).
I suspect that most of this buying has been retail and short covering. Trader at large banks has had a lot to sell over the past couple of weeks. Talked to one buddy who committed he had just over $3B to sell on just his desk.
If you're able to, watch the tape on VX (vix futures), once you see large orders on either side that will give you a clue on the direction. Remember, VX/VIX is -1 correlation to indices.
You guys may find this interesting:
LINK
As for indices today: a lot of the put gamma will run off. This will cause additional selling. A move lower is very likely today (looking primarily at MoC orders with SPY OPEX). IMO... a 3800 print is likely today by close.
As noted above, Monday will be real fun. This adds credence that large participants have continued to sell the mkt while it rallied in early AUG and SEP. If you go and look at the COT for ES you will note the selling by commercial traders. While they continue to buy VX futures. I have deviated from options - appoligies, if you want to look at CoT data, barchart(.)com has it available for free.
The underlining assumption is when retail or other participants are long puts or calls, dealers have taken the other side (thus are short puts or calls). Them being short has likely kept mkts up (as they're having to buy futures or a basket of high beta stocks as to delta hedge their book).
I suspect that most of this buying has been retail and short covering. Trader at large banks has had a lot to sell over the past couple of weeks. Talked to one buddy who committed he had just over $3B to sell on just his desk.
If you're able to, watch the tape on VX (vix futures), once you see large orders on either side that will give you a clue on the direction. Remember, VX/VIX is -1 correlation to indices.
You guys may find this interesting:
LINK
Posted on 9/16/22 at 1:31 pm to Trader82
I will add one additional note, put wall is 3900 and call wall moved down to 3950. This is usually a bearish sign. But today is OPEX -- and OPEX day is like Christmas morning as a kid, anything is possible. If they're able to suppress VX, that will push mkts higher. If we fill the gap in SPX, I could see a revisit of 4k. If not, us hitting circuit breakers on Monday isn't out of the question. I am already well positioned for this outcome.
Sorry, hope I'm not scaring the hell out of everyone!
Sorry, hope I'm not scaring the hell out of everyone!
Posted on 9/16/22 at 1:41 pm to Trader82
quote:
If not, us hitting circuit breakers on Monday isn't out of the question.
Come again?
Posted on 9/16/22 at 1:59 pm to slackster
To keep mkts from moving too far in either direction in a single day, they use price limits (A.K.A. Circuit Breakers or limit up/down). We very rarely hit these limits. ES (SPX futures) the last one was hit MAR 2020 (twice, if memory serves me correctly).
LINK
LINK
Posted on 9/16/22 at 2:51 pm to Trader82
No, I know what they are, sorry I didn’t make that clear. 
Wanted you to clarify why you thought down 7% was plausible Monday.
Wanted you to clarify why you thought down 7% was plausible Monday.
Posted on 9/16/22 at 3:18 pm to slackster
quote:
you thought down 7% was plausible Monday.
Lack of liquidity.
Full stop.
Posted on 9/16/22 at 3:24 pm to slackster
ahh... got it. I didn't understand. But I'm sure others had questions about circuit breaker. So, hopefully, the post wasn't for naught.
Yields, another pending FED rate hike (.75 likely), liquidity being pulled (not just by FED, but other participants as well), and other deteriorating macro conditions. I will say, mkts may be too short right now and need a gyration higher before pushing lower. I may be a bit off on my timing. Will need to see where the options data settles tonight. I will update the thread with more analysis over the weekend. If others are intrested.
Yields, another pending FED rate hike (.75 likely), liquidity being pulled (not just by FED, but other participants as well), and other deteriorating macro conditions. I will say, mkts may be too short right now and need a gyration higher before pushing lower. I may be a bit off on my timing. Will need to see where the options data settles tonight. I will update the thread with more analysis over the weekend. If others are intrested.
Posted on 9/16/22 at 3:25 pm to Trader82
Thanks for this
Posted on 9/16/22 at 3:28 pm to Trader82
quote:
If we fill the gap in SPX, I could see a revisit of 4k. If not, us hitting circuit breakers on Monday isn't out of the question.
You seem to be a technical trader, but this is quite extreme. Wow.
There's no way SPX is circuit breaking on Monday, less any catastrophic news.
It's more likely to rally a bit before FOMC next week.
Posted on 9/16/22 at 3:34 pm to Hussss
quote:
Please post more!
What a breath of fresh air on here.
I’m pleased that we agree on this. He really is.
Knowledgeable, informed posts (and posters) like his are what initially attracted me to this forum.
Posted on 9/16/22 at 3:54 pm to JimMorrison
If I'm wrong, then I'm okay with it. A rally would be welcome as I would be happy to add to my position.
I have been doing this long enough to know: Being wrong in the short-term is of little consequence, as I will likely be right in the long term.
The end of day orderflow did show a lot of buying/short-covering. So, a rally is possible. 4k remains a very psychological level. Will be of interest what amount of gamma will be there on Monday and where the call/put walls will be.
I have been doing this long enough to know: Being wrong in the short-term is of little consequence, as I will likely be right in the long term.
The end of day orderflow did show a lot of buying/short-covering. So, a rally is possible. 4k remains a very psychological level. Will be of interest what amount of gamma will be there on Monday and where the call/put walls will be.
Posted on 9/16/22 at 4:09 pm to JimMorrison
quote:
I could see a revisit of 4k. If not, us hitting circuit breakers on Monday isn't out of the question.
Sounds like the weatherman but I’m ok with a 7-13% drop.
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