Updated Delta/Gamma Indicator to include the strikes for the current strategy. You will be able to leave it blank to generate the strikes.
You can use the Indicator on ES Futures as it sources SPX and VIX directly.
I wanted to show you all the delta accumulation of JHEQX around the first 20 Days (and 20D moving average) The accumulation of delta in the first 20 days is a fairly good leading indicator for where the rest of the quarter is going to go.
The reset of the hedge also predicts many tops and bottoms throughout the recent years.
Late 2018 & Early 2019 Negative accumulation to expiry, flipped positive, reset and accumulated just over 20D
Cause If you zoom out and see look at the volume during the 3 weeks prior to end of quarter (quad witching) .
Effect A lot of deltas and gamma roll off after a quad witching. This frees up the indexes just as JHEQX gains strength 3 weeks prior to its end of month expiry.
Tiny Update (JHQTX) The smallest and current just rejected the ITM Put. Short Squeezes if 3800 breaks.
Mamma Update (JHQDX) Mamma is deep ITM put territory and reaching strongest effects the final 3 weeks prior to expiry.
Under 3600 gamma will flip positive (supportive).
At 14k contracts, Mamma can not bounce the titanic, but in the past quarters it finds a way to stay out of the money.
Expect Momma to try and run up to 3900 in the last 3 weeks of October.
This fits in with my idea that the next CPI will print lower and provide a short term bottom for indexes.
@arturplewniak, not yet. option prices are not available in trading view so the delta, gamma and IV are based on a crude VIX formula with black scholes. while not accurate gives a relatively close approximation of the correct values.
normantrades908
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thank you for your research/time..great explanation ! My brain makes a feeble attempt to try to conceptualize this to no avail. At what point to you think JHQDX can no longer support the SPX? If CPI surprises to the upside? meeting consensus will be good enough to support your theory of the late Oct rally?
SPYvsGME
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@normantrades908, Thanks. Yes, my thinking is CPI will come in lower and will change short term bullish into November FOMC. At 3585 is when JHEQX turns negative. If CPI pushes below that is when the rug would likely get pulled.
Kobe824
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Now we’re talking! Amazing work!
DualityTA07
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Nice! Haven't answered my previous question. then how to access this indicator? Btw, your name has GME but no GME update. even though has been very similar to SPY recently
@DualityTA07, there are a few issues I'm still working on before it can be considered ready to publish. Fixed strike implied volatility is difficult to calculate in trading view because I don't have access to the options price. In order to find the IV of an option without a price requires many calculations per bar. The indicator uses VIX spot but not as accurate as finding the IV of the strike.
SPYvsGME
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@DualityTA07, As for GME. I dug so deep in that rabbit hole I grew ears and a tail. Maybe one of these days I will publish what I uncovered but unfortunately I have very few ways to prove any of it and any time I write about it gets passed off as conspiracy. Nobody talks about Bill Hwangs involvement in GME the years before the squeeze. Nobody talks about the AI generated meme storm that preceded the squeeze or the youtube doxxing of roaring kitty the day after the squeeze. Rarely hear a word spoken about the hedge fund war that was declared when Archegos blew up. Don't get me started about the coverups over robinhood acquiring quantopian months prior to the squeeze. I'm just getting started learning about HFT. In short (haha pun intended), I'm just consuming until people are ready to hear the real truth. I believe the company is in good hands now.