Tip toe around a Christmas Rally this year

S&P 500SP

Description

⋅ Nov 28, 2022 2:24 PM

So here we are not to many deviations away from the last post on Hedged Equity funds being firmly in positive gamma territory.

Overall gamma for the S&P 500 options chain has been positive 15 straight trading days.

This indicates a 0.20% daily distribution along with a VIX that continues to compress into 2023.

However, there are indicators suggesting VIX is now oversold and may test higher ranges over the next month.

This would reflect a rug pull in December for JHEQX reset at the end of Dec.

There is only 1 man capable of such a rug pull.

Here are some economic event dates to prepare for.

Nov 30th Jerome Powell speech at 2pm
Dec 9th is PPI (before CPI may hint to next headline CPI)
Dec 13th is CPI
Dec 13/14 FOMC

Comment

⋅ Dec 13, 2022 2:11 PM

Comments

wolffarchitecture

⋅ Nov 30, 2022 4:51 AM

thank you,
In summary; sounds like your thesis is a bit more up then a deeper pull back before years end.

SPYvsGME

⋅ Nov 30, 2022 1:27 PM

@wolffarchitecture, Not confident at all. Same as last year. Cautiously Optimistic. Jerome Powell speech today is the wildcard.

SPYvsGME

⋅ Nov 30, 2022 1:36 PM

@wolffarchitecture, I outlined this channel in past ideas.

If Jerome Powell is not hawkish and CPI comes in lower again we could see the VIX as low as 16 in dec.
When a pivot event approaches you see S&P and VIX move towards their 20D as event vol grows.

wolffarchitecture

⋅ Dec 1, 2022 1:47 AM

@SPYvsGME, understood went long just before speech so did ok, still carried up a couple small short positions but not worried

SPYvsGME

⋅ Dec 1, 2022 2:47 AM

@wolffarchitecture, great stuff. I strangle the 20D on SPX options. Got out of the puts after the sell off in AM and road the calls into silly convexity.