Volatility Contraction Pattern Trade Closed
I closed my Volatility Contraction Pattern trade yesterday before closing. 1 reason was that bitcoin started selling off at 12pm, and I’ll get to the reason later.
SANTA RALLY
Dec27 to Jan 3rd
The Santa rally that started early (DEC20), continued into the overnight as the 3 am Buy the Dip crew continued raising the all time high bar that may continue as high as 4825 - 4865
Gamma
Spotgamma is a great source for +/- gamma information.
According to spotgammas latest tweet, all the indexes have shifted to positive gamma flows bringing even more contraction of volatility.
Note that a lot of gamma expires in SPX and other indexes DEC31 and may trigger an early end to the santa rally.
Bitcoin Correlation
I added the bitcoin difference script to this market profile chart and started adding a dot plot on the monthly low of bitcoin. You will notice bitcoin bottom shares S&P bottom for the month within 12 hours DEC3-4
Compare days like DEC 13-15 and you can see the similarities.
With that in mind, bitcoin broke trend with SPX at 12pm yesterday and began a 6.6% selloff.
Market Profile Dot Plot
I added a new dot plot to bottom of my market profile chart. The time dot plot shows the outcome of overnight 3am Buy the Dip and regular trading hours.
The 2nd line is bitcoin.
I will be adding some more dots for indicators like volatility, greed, skewness, put/call ratios, yield curve, distribution ranges and more.
The general idea will be to create a total market profile that is easy to read and provides insight for the trading days ahead.
My plan is to create a script that will automate the plots in realtime.
Disclaimer
Posts are my ideas and observations and do not constitute financial advice.
I closed my Volatility Contraction Pattern trade yesterday before closing. 1 reason was that bitcoin started selling off at 12pm, and I’ll get to the reason later.
SANTA RALLY
Dec27 to Jan 3rd
The Santa rally that started early (DEC20), continued into the overnight as the 3 am Buy the Dip crew continued raising the all time high bar that may continue as high as 4825 - 4865
Gamma
Spotgamma is a great source for +/- gamma information.
According to spotgammas latest tweet, all the indexes have shifted to positive gamma flows bringing even more contraction of volatility.
Note that a lot of gamma expires in SPX and other indexes DEC31 and may trigger an early end to the santa rally.
Bitcoin Correlation
I added the bitcoin difference script to this market profile chart and started adding a dot plot on the monthly low of bitcoin. You will notice bitcoin bottom shares S&P bottom for the month within 12 hours DEC3-4
Compare days like DEC 13-15 and you can see the similarities.
With that in mind, bitcoin broke trend with SPX at 12pm yesterday and began a 6.6% selloff.
Market Profile Dot Plot
I added a new dot plot to bottom of my market profile chart. The time dot plot shows the outcome of overnight 3am Buy the Dip and regular trading hours.
The 2nd line is bitcoin.
I will be adding some more dots for indicators like volatility, greed, skewness, put/call ratios, yield curve, distribution ranges and more.
The general idea will be to create a total market profile that is easy to read and provides insight for the trading days ahead.
My plan is to create a script that will automate the plots in realtime.
Disclaimer
Posts are my ideas and observations and do not constitute financial advice.
more weakness may prevail in a thin value area high for the month.
a retest of 4725 (breakout from VPC trade) may be in play as a window of weakness prior to dec31 4800 gamma comes down.
I rolled some 460 puts into January as we tapped what may be the high of day (HOD)