Long VIX Oct 19 16C 6.20 debit
Testing falling wedge breakout:
And we know a VIX compression cycle is near its end:
Testing falling wedge breakout:
And we know a VIX compression cycle is near its end:
Trade active:
Doubled position:
Long VIX Oct 19 16C 7.30 debit
Long VIX Oct 19 16C 7.30 debit
Trade active:
Next pop overnight or Sept 1:
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Aug 31 small initial pop, but more to come:
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According to Squeezemetrics, we are close to some of the most consistently bearish and volatile behavior in the S&P 500. The current combination of weak put flows and large customer vanna exposure are fragile.
As VGR approaches zero, SPX option customers are very exposed to changes in volatility—and as a result, it becomes more likely for sudden increases in volatility to occur. Right now, VGR is around -3.00. That's a lot of vanna.
We also need to know if folks are currently hedging against vol. I.e., are people buying puts right now or not? And that's a question for Net Put Delta (NPD).
NPD appears to be around -5, and approaching 0 will likely create a self-fulfilling prophecy of a volatility event.
- Source: Squeezemetrics
Is it really going to be that simple? Sell before OpEx then buy at 50 DMA?
I noticed that on Feb 24, 2020, VIX flipped into backwardation when SPX 50 DMA support broke, and that was the ideal entry for UVXY if you wanted to be sure. This time won't be different:
It will most likely be an overnight gap down through 50 DMA that seals the deal like last time and VIX backwardation. It was (after) OpEx as well. Until then, you can be bold and position in advance, but save firepower for that event. There's a window this month, but it also may not be so.
As VGR approaches zero, SPX option customers are very exposed to changes in volatility—and as a result, it becomes more likely for sudden increases in volatility to occur. Right now, VGR is around -3.00. That's a lot of vanna.
We also need to know if folks are currently hedging against vol. I.e., are people buying puts right now or not? And that's a question for Net Put Delta (NPD).
NPD appears to be around -5, and approaching 0 will likely create a self-fulfilling prophecy of a volatility event.
- Source: Squeezemetrics
Is it really going to be that simple? Sell before OpEx then buy at 50 DMA?
I noticed that on Feb 24, 2020, VIX flipped into backwardation when SPX 50 DMA support broke, and that was the ideal entry for UVXY if you wanted to be sure. This time won't be different:
It will most likely be an overnight gap down through 50 DMA that seals the deal like last time and VIX backwardation. It was (after) OpEx as well. Until then, you can be bold and position in advance, but save firepower for that event. There's a window this month, but it also may not be so.
Trade active:
We have a combination of fading yields and inflationary currency pairs, fading economic data which is catching analysts by surprise, a couple catalysts on the horizon, being:
- Debt ceiling a la 2011, which McConnell and GOP members have vowed to vote against. Is this really nothing?
- Deflationary wave from China, since 08 US markets have always followed China in crises and there is a huge divergence now. It will be different this time.
- Monetary policy, where tightening signals are being given into a slowing economy.
- Economic data is consistently weaker than expected and COVID deaths are rising, like risk, it doesn't just go away if you pretend it doesn't exist or forget about it to obsess over the headline of the day.
- Debt ceiling a la 2011, which McConnell and GOP members have vowed to vote against. Is this really nothing?
- Deflationary wave from China, since 08 US markets have always followed China in crises and there is a huge divergence now. It will be different this time.
- Monetary policy, where tightening signals are being given into a slowing economy.
- Economic data is consistently weaker than expected and COVID deaths are rising, like risk, it doesn't just go away if you pretend it doesn't exist or forget about it to obsess over the headline of the day.
Trade active:
Timing would be 921 Mabon
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It would mean that its likely Sept 21-22 FOMC would announce some form of tightening.
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Also keeping tabs on the Big Tech antitrust with FTC Lina Khan + DOJ.
Dotcom bubble's catalyst was the Microsoft antitrust case and breakup.
Dotcom bubble's catalyst was the Microsoft antitrust case and breakup.
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The underlying structure really is a big bull flag or a falling wedge. Never mind the highs, but the higher lows and rounding bottom suggest net accumulation.
Just something interesting - since 08, it's moved in a very artificial way probably when algos took over. Fed like to keep things range bound, like interest rate corridors, and probably want to guide VIX down to pre-COVID levels, but the accumulation from June can't be hidden.
We are actually still on a trajectory from the 2017 VIX lows, should the 2020 crash not have been the main movement:
Just something interesting - since 08, it's moved in a very artificial way probably when algos took over. Fed like to keep things range bound, like interest rate corridors, and probably want to guide VIX down to pre-COVID levels, but the accumulation from June can't be hidden.
We are actually still on a trajectory from the 2017 VIX lows, should the 2020 crash not have been the main movement:
Trade active:
NPD has flipped negative, translating to customers not hedging in puts.
VGR is already negative, translating to customers being highly exposed to volatility.
DIX is low, translating to dark pool bearishness.
Source: Squeezemetrics
As we know, Median S&P 500 stock short interest as % of market cap has reached 1.5%, the same as the height of the dotcom bubble in 2000. Nobody is short.
Technically, we are at topping levels for all the indices as well.
Foresee a drop into mid September, as previously described, and starting even earlier than usual as the pattern has become blatantly obvious - perhaps even the coming week.
VGR is already negative, translating to customers being highly exposed to volatility.
DIX is low, translating to dark pool bearishness.
Source: Squeezemetrics
As we know, Median S&P 500 stock short interest as % of market cap has reached 1.5%, the same as the height of the dotcom bubble in 2000. Nobody is short.
Technically, we are at topping levels for all the indices as well.
Foresee a drop into mid September, as previously described, and starting even earlier than usual as the pattern has become blatantly obvious - perhaps even the coming week.
Trade active:
Indeed it is catching a bid:
SPX faked a breakout and slipped back under resistance, which is quite bearish:
Conditions are good, so ideally deleveraging lasts until OpEx, but lets see just how far this current bounce goes.
SPX faked a breakout and slipped back under resistance, which is quite bearish:
Conditions are good, so ideally deleveraging lasts until OpEx, but lets see just how far this current bounce goes.
Trade active:
Early deleveraging confirmed.
Likely to see some ramp up and VIX crush on Friday weekly expiration, and a peak in indices around 15th, before going into the window of weakness period (15-22nd):
Likely to see some ramp up and VIX crush on Friday weekly expiration, and a peak in indices around 15th, before going into the window of weakness period (15-22nd):
Comment:
We might be testing the 50 DMA, POC/Value Area, whatever you want to call it early since everyone is talking about the OpEx event, if no gap-down through it would probably remain a BTD situation because people are hedging for it:
Comment:
We did indeed open higher, but not enough to gain momentum. Maybe a VIX crush and a local peak on SPX mid of next week.
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FED'S KAPLAN TO SELL ALL HIS PERSONAL STOCK HOLDINGS BY SEPT 30 -CNBC
What masterful timing! A true market whiz. How could he have predicted Fed's asset purchase tapering???
What masterful timing! A true market whiz. How could he have predicted Fed's asset purchase tapering???
Comment:
Did not quite reach the rising bottom trend line yet:
The real movements occur in extended hours, so if VIX is ramping up intraday and gaining energy, it usually still has an overnight pop left.
Expecting a test of the 500 DMA, which has been acting as a ceiling, and if we ramp up to that intraday, we probably have the energy to breakout and cause some real damage to indices.
The real movements occur in extended hours, so if VIX is ramping up intraday and gaining energy, it usually still has an overnight pop left.
Expecting a test of the 500 DMA, which has been acting as a ceiling, and if we ramp up to that intraday, we probably have the energy to breakout and cause some real damage to indices.
Comment:
An update in the premarket:
Comment:
Let the narrative form around your trade. It will form if you are right.
Comment:
Closed for 7.70 credit (+24%) reassessing
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The time has come:
Trade active:
Gone long of UVXY
Comment:
We now have a call delta/put delta ratio (Delta Tilt) of 1~.
"This corresponds with large drawdowns in the SPX" - SpotGamma
"This corresponds with large drawdowns in the SPX" - SpotGamma
Comment:
Swept the lows again, but a good entry:
Long VX
Long VX
Comment:
Added, Let's see if recapture here, very likely IMO into a new volatility cycle:
