After a sell off in futures overnight we are back down to 3680 range on ES.
That is 100 points from the JHEQX 3580 Long Put which deltas are displayed at the bottom.
Yesterday we saw dealers buying up their short deltas.
But there is 2 trading days before reset, will dealers not have to short deltas as price drops again?
No. As time passes and price stays out of the money (> 3850) the Fixed Strike Implied Volatility will have less impact on the puts deltas.
Should we drop another 50 points over RTH we could see the dealers selling deltas short again which would lead to the second 50 point drop coming much sooner.
For those who I sent this script to, please remember the IV used to calculate the deltas for this put are not correct yet.
So even if you see the deltas go up, check your broker app or an options calculate that can calculate the proper implied volatility.
Market makers and options calculator seem to use different variations of Black-Scholes and how they calculate IV.
I'll continue to update this idea and track the reset deltas the day of Sep 30.
Bottom Line. I don't expect much change in deltas the next 2 days.
Previous day -1B GEX territory that implies larger than average move today +/- 1-2% or more
Expect volatility. Sideways Chop or even a rally if DXY continues a trend lower into Friday.
That is 100 points from the JHEQX 3580 Long Put which deltas are displayed at the bottom.
Yesterday we saw dealers buying up their short deltas.
But there is 2 trading days before reset, will dealers not have to short deltas as price drops again?
No. As time passes and price stays out of the money (> 3850) the Fixed Strike Implied Volatility will have less impact on the puts deltas.
Should we drop another 50 points over RTH we could see the dealers selling deltas short again which would lead to the second 50 point drop coming much sooner.
For those who I sent this script to, please remember the IV used to calculate the deltas for this put are not correct yet.
So even if you see the deltas go up, check your broker app or an options calculate that can calculate the proper implied volatility.
Market makers and options calculator seem to use different variations of Black-Scholes and how they calculate IV.
I'll continue to update this idea and track the reset deltas the day of Sep 30.
Bottom Line. I don't expect much change in deltas the next 2 days.
Previous day -1B GEX territory that implies larger than average move today +/- 1-2% or more
Expect volatility. Sideways Chop or even a rally if DXY continues a trend lower into Friday.
