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Vol Surface
Joined May 2020
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We just shipped a cvforge demo library 📚
All 111 prompts I've been sharing on X!
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Convex Value retweeted
$SPY $QQQ
Week ahead is out: yamtrades.substack.com/p/pos…
Market data, Skew, Dashboards from @ConvexValue
SPX and VIX positioning from @OptionsDepth
Consider these graphics (limited to 4)
1) Frame the past week or so of SPX price action to the past year.
2) $QQQ Forward Skew - WOW!
3) $TLT forward skew looks stretched
4) $SMH Weekly volume - Capitulation?
If the weekly posts or daily posts are helpful, please like/retweet.
Realized Vol pt 7 - Does this even matter
Join @tony_mansour and me on 11/19
teapaw.org/i/spaces/1nJOLQlQVZkxR…
Enjoy your weekends - Back on Monday
Convex Value retweeted
$SPY $QQQ
3rd RV shock in a short time period yesterday....
Market Data from @ConvexValue
-Volatility expectations (Term structure) are ripping ;yellow = today, red = yesterday
-Overnight Straddle is 110 giving us a range of [7243, 7463]
-Morning Straddle is 86 from 7360this AM
-Weekly straddle (143 pts) is [7436, 7723]
-ON Volumes are 50% above average-pretty much same volume on calls/puts; 7500 calls and 7300 puts
Net Exposure (SPX) from @OptionsDepth
-Pivot is 7340
-Upside Targets are 7355, 7380, 7410, 7435, 7450, 7475
-Downside Targets are 7325, 7310, 7275, 7245, 7210, 7200
Thoughts
-Upside Pivot 7403 ES (7377 SPX); Downside Pivot 7334 ES (7306 SPX)
-Darkpool activity has fallen to a 2 year low - per squeezemetrics, indicates real selling pressure with a limited MM order book; teapaw.org/SqueezeMetrics/status/…
Convex Value retweeted
$SPY $QQQ
2nd RV shock yesterday....
Market Data from @ConvexValue
-Volatility expectations (Term structure) are collapsing post election ;yellow = today, red = yesterday
-Overnight Straddle is 46 giving us a range of [7642, 7734]
-Morning Straddle is 36 from 7700 this AM
-Weekly straddle (143 pts) is [7436, 7723]
-ON Volumes are 40% above average- 25% more put volume than call volume; 7750 calls and 7600 puts
Net Exposure (SPX) from @OptionsDepth
-Pivot is 7700
-Upside Targets are 7710, 7725, 7735, 7745, 7775
-Downside Targets are 7680, 7665, 7650, 7630, 7620
Thoughts
-Upside Pivot 7767 ES (7740 SPX); Downside Pivot 7699 ES (7671 SPX)
Convex Value retweeted
$SPY $QQQ
From it's so over, came we're so back
Market Data from @ConvexValue
-Volatility expectations (Term structure) are collapsing post election ;yellow = today, red = yesterday
-Overnight Straddle is 86 giving us a range of [7482, 7670]
-Morning Straddle is 50 from 7633 this AM
-Weekly straddle (143 pts) is [7436, 7723]
-ON Volumes are 200% above average- 10% more call volume than put volume; 7650 calls and 7400 puts
Net Exposure (SPX) from @OptionsDepth
-Pivot is 7620 (Same as Upside Pivot last night)
-Upside Targets are 7635, 7650, 7675, 7695, 7705, 7715
-Downside Targets are 7600, 7590, 7575, 7565, 7540
Thoughts
-Upside Pivot 7683 ES (7650 SPX); Downside Pivot 7613 ES (7580 SPX)
-Incredible move ~Downside ES Target to Upside ES Target overnight - Entire move was just outside the straddle!
Convex Value retweeted
If you are a @ConvexValue subscriber, you will see the Map daily.
I manually hand-draw the lines every morning.
In Jan., I will have a nearly automated Map. Still working on getting it as close to the manual work I do.
Convex Value retweeted
$SPY $QQQ
Interesting higher lows under March 30th AVWAP on ES; Almost tagged 10/10 AVWAP on NQ
Market Data from @ConvexValue
-Volatility expectations (Term structure) towards the top of it's range into the election ;yellow = today, red = yesterday
-Overnight Straddle is 67 giving us a range of [7514, 7646] - Spreads are your friend today
-Morning Straddle is 44 from 7540 this AM
-Weekly straddle (143 pts) is [7436, 7723]
-ON Volumes are 30% above average- 30% more put volume than calls; 7600 calls and 7500puts
Net Exposure (SPX) from @OptionsDepth
-Pivot is 7535
-Upside Targets are 7550, 7570, 7596, 7605, 7615, 7630, 7660
-Downside Targets are 7520, 7495, 7475, 7450, 7435,
Thoughts
-Upside Pivot 7658 ES (7630 SPX); Downside Pivot 7530 ES (7500 SPX)
-VIX positioning is very bifurcated for the next two weeks- monitoring this intraday
Convex Value retweeted
$SPY $QQQ
RV Event Achieved; Care trading into and out of the election - I'd warrant some violent moves are coming in the first few days of the week as headlines come out about <insert key race> swinging one way or the other.
Market Data from @ConvexValue
-Volatility expectations (Term structure) towards the top of it's range into the election ;yellow = today, red = yesterday
-Overnight Straddle is 66 giving us a range of [7514, 7646]
-Morning Straddle is 42 from 7605this AM
-Weekly straddle (143 pts) is [7436, 7723]
-ON Volumes are average- more or less equal calls and puts; 7650 calls and 7580 puts
Net Exposure (SPX) from @OptionsDepth
-Pivot is 7610
-Upside Targets are 7630, 7640, 7660, 7675, 7685, 7700
-Downside Targets are 7600, 7585, 7575, 7560, 7545, 7530, 7515
Thoughts
-Upside Pivot 7633; Downside Pivot 7590
-Generally feel like Friday's low should hold but if it doesn't, I'm watching the YTD ES AVWAP or NQ 10/10 AVWAP.
Convex Value retweeted
$SPY $QQQ
Week ahead is out!
yamtrades.substack.com/p/pos…
Market data from @ConvexValue
SPX and VIX positioning from @OptionsDepth
1) RV Event has finally triggered, the next week is crucial for follow-on shocks
2) QQQ 1M forward skew is quite extended
3) VIX Positioning changed quite a bit on Friday - The next 3 weeks are highlighted - consider timing of VIXEX, and events.
Convex Value retweeted
$SPY $QQQ
Earnings season continues to impress!
Market Data from @ConvexValue
-Volatility expectations (Term structure) towards the top of it's range into the election ;yellow = today, red = yesterday
-Overnight Straddle is 55 giving us a range of [7665, 7775]
-Morning Straddle is 41 from 7637 this AM
-Weekly straddle (118 pts) is [7488, 7758]
-ON Volumes are 80% above average- more or less equal calls and puts; 7700 calls and 7600 puts
Net Exposure (SPX) from @OptionsDepth
-Pivot is 7635
-Upside Targets are 7650, 7670, 7690. 7700, 7720, 7735
-Downside Targets are 7625, 7610, 7600, 7580, 7550, 7535, 7510
Thoughts
-Upside Pivot 7652; Downside Pivot 7617
-RV triggers are 7820, 7627
-Handing out 30 points with a 4.25 pt drawdown before it happened.... teapaw.org/Yam_Trades/status/2115…
-Atlas as of close shows a bit of a back drop as to why some of these sells are so aggressive in mags - they carried us from August and were the safe place....
Convex Value retweeted
$SPY $QQQ
Earnings season is off to a bang!
Market Data from @ConvexValue
-Volatility expectations (Term structure) towards the top of it's range into the election ;yellow = today, red = yesterday
-Overnight Straddle is 49 giving us a range of [7695, 7793]
-Morning Straddle is 38 from 7720 this AM
-Weekly straddle (118 pts) is [7488, 7758]
-ON Volumes are 60% above average- 20% more calls than puts; 7800 calls and 7700 puts
Net Exposure (SPX) from @OptionsDepth
-Pivot is 7730
-Upside Targets are 7750, 7775, 7785, 7795, 7825
-Downside Targets are 7710, 7695, 7665, 7640, 7625
Thoughts
-Upside Pivot 7737; Downside Pivot 7687
-RV triggers are 7,847, 7,650
Convex Value retweeted
The discussion on breadth is all the rage
But what does this actually mean?
Created this "Atlas" view of top 10 vs other 490. It's incredible to see how the market has performed since 07/31.
Source: CV Forge from @ConvexValue
Convex Value retweeted
$SPY $QQQ
Positioning can swing both ways - be careful out there playing FOMC; small overnight win (closed it before this final ramp)
Market Data from @ConvexValue
-Volatility expectations (Term structure) towards the top of it's range ;yellow = today, red = yesterday
-Overnight Straddle is 47 giving us a range of [7665, 7770]
-Weekly straddle (118 pts) is [7488, 7758]
-ON Volumes are 30% below average- equal calls and puts; 7800 calls and 7720 puts
Net Exposure (SPX) from @OptionsDepth
-Pivot is 7725
-Upside Targets are 7750 (Gap at 7756), 7775, 7800, 7825
-Downside Targets are 7705, 7690, 7660, 7640, 7610, 7590. 7575
Thoughts
-Upside Pivot 7763; Downside Pivot 7697
-RV triggers are 7822, 7629
-I sit out until FOMC presser is complete barring an A+ setup (spreads are your friends with IV crush)
Convex Value retweeted
$SPY $QQQ
Inside day or expansion day - tough choices
Market Data from @ConvexValue
-Volatility expectations (Term structure) In the middle of it's range ;yellow = today, red = yesterday
-Overnight Straddle is 38 giving us a range of [7638, 7714]
-Morning Straddle is 31 pts from 7700
-Weekly straddle (118 pts) is [7488, 7758]
-ON Volumes are 40% above average- 10% more calls; 7700 calls and 7675 putshighest nodes
Net Exposure (SPX) from @OptionsDepth
-Pivot is 7675
-Upside Targets are 7690, 7700, 7725, 7750 (Gap at 7756), 7775, 7800
-Downside Targets are 7660, 7640 7610, 7590. 7575, 7565, 7545
Thoughts
-Upside Pivot 7707; Downside Pivot 7660
-RV triggers are 7789, 7564
-RV Rolloff suggests an inside day, positioning implies outside (maybe a tweet?)
Convex Value retweeted
$SPY $QQQ
Week ahead is out now: yamtrades.substack.com/p/pos…
Market Data and Dashboards (CVForge) from @ConvexValue
SPX & VIX positioning from @OptionsDepth
CPI Breakdown Retest
What a rejection off the CPI breakdown level. Was hoping we'd get an AH and early cash push higher off META before the market died but I was generally expecting that reaction off that level
SPY Volume
The trend continues in low spy volume - the long/short pairs are creating extremely low nets.
RV Seasonality
It's tracking pretty well so far.... one quick spike in realized vol and then a bleed down?
QQQ Skew
It finally woke up from weeks of slumbering
If the week ahead or daily posts are helpful, please like/subscribe.
Enjoy your weekend and back on Monday
Convex Value retweeted
$SPY $QQQ
100D 40 lower, 21W EMA 75 away (first tag this cycle after March if it happens)
Market Data from @ConvexValue
-Volatility expectations (Term structure) remain elevated; AI destruction, ME escalations, aliens?? ;yellow = today, red = yesterday
-Overnight Straddle is 56 giving us a range of [7607, 7718]
-Morning Straddle is 46 pts from 7650
-Weekly straddle (118 pts) is [7541, 7777]
-ON Volumes are slightly above average- equal calls and puts; 7700 calls and 7600 puts are highest nodes.
Net Exposure (SPX) from @OptionsDepth
-Pivot is 7650
-Upside Targets are 7660, 7675, 7700 (weekly open), 7715, 7735, 7750
-Downside Targets are 7625, 7610, 7600 (100D), 7575 (21W EMA), 7560, 7545, 7535, 7510 (FOMC low)
Thoughts
-Downside is unlocked by a break of 7633; Upside through 7683
-Data at 945 and 10am; Careful
Convex Value retweeted
Inverse + Leveraged ETFs have their place in the world from time to time....
Anyways... been dabbling in @ConvexValue CVForge and just plugged some stuff in on VIX & $SVIX
Three scenarios with $VIX > 20 and $VIX > 25 and $VIX >30
Some of these scenarios can have drawdowns.... some not so much....
Anyway... just some data
$SPY $SPX $QQQ
Just some thoughts on the day....
I really didn't trade cash that well but had a good day (including GLOBEX) on futures regardless.
Yesterday I had a view that the CPI breakdown ~ 7770 would likely a short but opted out of doing much because of $META earnings AH. When the earnings first came out, I was like I'm glad I didn't short the market; the situation changed minutes before futures open as META had gone from ~747 to sub 730 (approximate) so I chased a short at globex open (with the intent to add on pops).
My intraday view (posted earlier) - I missed the open but the opening 15M high and the subsequent LAAF was a great short opportunity (I got back as this was happening and hadn't really seen the market). From that ..... market fell ~50 and has been stuck at my "Downside Pivot" at 7657.
The RV shock level is 7652 - I'm torn on if this actually triggers today...
As to what happens after an RV shock....
There's the table of dates and the ensuing T+7 FWD price action.... is there a pattern? I'd argue maybe at T+3 to T+4
Bottom line - It's ok to miss the bottom tick, wait for higher lows especially if we start to "V" on a headline.
Convex Value retweeted
$SPY $QQQ
It's just another Blaaacckkk Monday - JK.... I'm seeing a similar situation developing here as end of July.
Market Data from @ConvexValue
-Volatility expectations (Term structure) remain elevated; AI destruction, ME escalations, FOMC, Israel's elections?? ;yellow = today, red = yesterday
-Overnight Straddle is 60 giving us a range of [7563, 7683]
-Morning Straddle is 44 pts from 7638
-Weekly straddle (118 pts) is [7488, 7758]
-ON Volumes are slightly above average- 10% more puts; 7700 calls and 7500 calls highest nodes
Net Exposure (SPX) from @OptionsDepth
-Pivot is 7625
-Upside Targets are 7650, 7675, 7690, 7700, 7720
-Downside Targets are 7610, 7590. 7575, 7565, 7545
Thoughts
-Upside Pivot 7690; Downside Pivot 7610
-RV triggers are 7722, 7514
