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SPYvsGME
Dec 28, 2022 4:35 PM

3835 Vanna Trap 

SP:SPX15
S&P 500SP

Description

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Here is a cheatsheet for the upcoming expiration of JHEQX Collar.

It's the reason why anything is sold over 3835.

and why we get so many V shaped days under 3835.

IV decays fast because of the holidays.

Unless there is an event that triggers a spike in IV.

Otherwise at some point while the call is OTM the the IV will decay on the call causing a Vanna rally.

This expiration is interesting because I've seen much larger interest in the expiry pin.

My assumption is that retail is selling the 3835C anytime we go over.



Comment

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Comment

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IV continues to decline. 3835 is target.
IV pivots here, could see another sell into close.

Comment

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Some levels for today. Could end up right back into supply should we squeeze back to 3835 on SPX (~382 SPY / 3850 ES).

Comment

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3835 Calls all charged up as sellers are forced to buy back delta.


JHEQX Strong Like Bull.

Comment

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Short squeeze at this level could get interesting as Put to call ratio has been heavily leaning put side.

I think 3835C was sold and sellers are being forced to close.

Is a Gamma Squeeze > Vanna Trap.

Comment

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Quick Last Minute Update. Here is Septembers Expiration.


If you pull a maverick and invert it. It's basically the same scenario as this expiration.

Have a look at 2:30 on the day of the last roll. A 1% drop in S&P as JPM bought the new strategy.

It's important to note that when they buy the new collar, the old one is still being hedged and the new options deltas are immediately hedged.

I'll be keeping a close eye on flows into close and report my findings tomorrow when I know the new strikes.

Comment

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I saw the flow for the new collar come in at 1:45

Buy 3600P
Sell 3040P

I don't see the call option in the flow yet, but I suspect it is the ~4005C

Comment

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Pretty Snarly end to the new year.



Same thing happened with the Put last expiry. Bullish in the AM and Flipped Bearish until the closing on the puts strike.

This expiry, the same effect but inverse.
Trend AnalysisBeyond Technical AnalysisvannacheatsheetContains image
Comments
wolffarchitecture
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Appreciate your charts so much, and good explanation for the post expiry spike, but still don't know your humble opinion on market direction, but I'll keep trying
SPYvsGME
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@wolffarchitecture, My short term outlook is a test of the 20D in the next week.
SPYvsGME
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@wolffarchitecture,
SPYvsGME
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@SPYvsGME, You can even see in this chart. anytime a significant drop away from the 20D is usually met with consolidation (did that all last week) and a retest
wolffarchitecture
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@SPYvsGME, agree
SPYvsGME
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@wolffarchitecture, High Five.
codename_trading
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What do you use to look for that flow?
SPYvsGME
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@codename_trading, I use optionstrat but they get the direction wrong on some of the options.
xdomingu
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Dude, the way you explain the JPM so simply using visuals is perfect. You and a handful of individuals I trade with are the only ones who actually understand and can articulate what is actually happening as price, IV, and time change. Amazing Work!
SPYvsGME
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@xdomingu, Thanks. I have a lot more ideas. I'm working on a few different indicators I hope to get out to you all soon. Delta, Gamma, Vanna.

Not sure what is in store tomorrow for the roll. usually not very eventful and GEX flipped positive today for the S&P.
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