JHEQX Reset Tomorrow

S&P 500SP

Description

⋅ Sep 29, 2022 8:40 PM

Tomorrow is the big day

Deltas conveniently sold back to 0 today when IV pushed the put above 15 delta mark.

Here is what the delta curve looks like tomorrow at 9am.

Not much upside possibility overnight.

Downside still has significant risk of the long put strike being in the money.

Should futures sell off overnight, I'm assuming any dips below 3580 will be bought tomorrow.

Comments

MurphE

⋅ Oct 2, 2022 2:38 PM

Hello, I’m looking for an option to view Market Wide Gamma squeezes, or more specific if its a must. I have TV Pro. Is this an option? Thanks.

McG16

⋅ Sep 30, 2022 2:14 PM

Fascinating to watch. Thanks for your contribution. Looking forward to the rebalance update.

SPYvsGME

⋅ Sep 30, 2022 6:51 PM

@McG16, they just did the trade a few min ago.

SPYvsGME

⋅ Sep 30, 2022 6:52 PM

@SPYvsGME, a note for next time. I looked back, the last 2 times the trade was put on all at once. Both times the markets dumped 30-40 points before rebounding. lots of volatility the remainder of the day.

SPYvsGME

⋅ Sep 30, 2022 7:14 PM

@SPYvsGME, looks like the strikes direction on those are incorrect. Should be Sell 2890P, Sell 3870P, Buy 3425 Put

nicholaskangg

⋅ Oct 2, 2022 7:47 AM

@SPYvsGME, shouldn't it be Sell 3870C rather than 3870P?

SPYvsGME

⋅ Oct 2, 2022 1:05 PM

@nicholaskangg, yes. The new indicator I'm writing now does an approximation of the strikes that will be used and will track history on the gamma, delta and vanna effects.

nicholaskangg

⋅ Oct 2, 2022 1:28 PM

@SPYvsGME, I love your stuff

SPYvsGME

⋅ Oct 2, 2022 2:26 PM

@nicholaskangg, Thank you for the kind words.

Shiloh777

⋅ Sep 29, 2022 8:46 PM

Thanks much.