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Convex Value
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Convex Value
@ConvexValue
A financial analytics browser with a powerful suite of live options data and tools for 99/mo. Download it Now 👇
Vol Surface Beigetreten Mayıs 2020
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$SPX $ES_F $NQ_F Premarket
· US indices are down in premarket with $SPY at -0,29% and $QQQ at -0,21%
· Futures are in red for overnight session with $NQ at -0,19% and $ES at -0,25%
· $VIX is now at 21,28 up at +1,14%. Volatility products are also up with $VXX at +1,23% and $UVXY at +1,09%
· Risk-off tone ahead of 14:30 US macro drop with Core PCE, Jobless Claims and GDP Final on deck. Expect choppy action around the print, stay safe!
$SPX Map
· POLR : 6790
· SPX sits in positive gamma around the flip at 6730
· $SPX Put/Call Ratio is put-sided with 34k puts against 31,6k calls. Largest put strikes at 6700/6650 and largest call strikes at 6800/6850
· 0DTE Straddle is 32.6 at 0.48%
· $VIX remains in small negative gamma at 21,28 with new major strikes at 18/20/24/30, flip at 23
Interpretations are mine | Datas from @ConvexValue
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$SPX
Sideways...... Chop!
Market Data from @ConvexValue
-Volatility expectations (Term structure) crashed on the peace deal (red = yesterday; yellow = today) and remain at the lows
-GX surface -Friday's run shows we ended in positive gamma territory and remain in steep gamma territory - It's hard to run up a hill for 500 points and continue running. Let me walk!
-Overnight straddle is~49 points giving us an ON straddle range of [6733, 6837]
-Morning straddle is 39 and using spot 6755 gives us a range of [6716,6794]
-Weekly Straddle remains [6430, 6735]
-Overnight Volumes are really light (about 50%)- slightly more put volume; 6820 calls and 6750 puts are highest volume
Net Exposure from @OptionsDepth
$SPX
-Pivot is 6765
-Over pivot is 6775, 6785, 6800
-Under Pivot is 6750, 6740, 6725, 6710, 6700
$VIX - Left = VIXEX, Middle = following week into May VIXEX, right = all
-I'd be shocked to see VIX break 19.5 and 22.5 on the upside....
Thoughts
-I like edge plays..... Two areas look interesting.... 6725 and 6743
-Can we just say the thing everyone wants to hear --- realized volatility crush lives matters - Let's call it .3% close.
#MDFS at 1245 EST - Who wins the pin game today????
@tony_mansour, @iV_trader or myself???
x.com/i/spaces/1MJgN…
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Convex Value retweetet
$SPX
Mid-Morning Update
How I saw the day
Sure the fade was the big play of the day but felt today was a good BTD day..... with planned entries for quick scalps - my style
Looking at 0DTE from @OptionsDepth ~ Market bounced on gamma flip - I'm flat....
Taking note that alot of the early pops are giving back alot of the strength (I mean the market gapped up 2% so expected - Today isn't the day to go shopping).
Cumulative gamma surface from @ConvexValue
Gamma flip is far away - we're on a steep surface and need to see a rise in call skew to get higher.
Yamco@Yam_Trades
$SPX What a gap up! Saw Barron's 1500x 6800/6820 spreads for Friday opened up in the last hour (obviously a joke it was him - he'd have 30k ... not 1500) Market Data from @ConvexValue -Volatility expectations (Term structure) crashed on the peace deal (red = yesterday; yellow = today) -GX surface -Friday's run shows we ended in positive gamma territory -Overnight straddle is~97 points giving us an ON straddle range of [6519, 6713] -Morning straddle is 41 and using spot 6805 gives us a range of [6764,6846] -Weekly Straddle remains [6430, 6735] -Overnight Volume is above average with equal put and call volumes: 6700 puts and 6800 calls highest nodes Net Exposure from @OptionsDepth $SPX -Pivot is 6775 -Over pivot is 6795, 6810, 6835, 6855 -Under Pivot is 6760, 6750, 6740, 6720, 6700 $VIX - Left = VIXEX, Middle = following week into May VIXEX, right = all -breaking 20 can lead to another 2-3$ move down but will probably be quite hard. Thoughts -We're at pretty much every major AVWAP since 10/10, 11/26, etc.... - We are likely to get some extended short covering for at least 1-2 days so dips look juicy.... --Afterwards, a pull back at some point is logical so don't get too beared up on weakness into next week if it materializes - I don't expect much to be honest....
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$SPX
What a gap up! Saw Barron's 1500x 6800/6820 spreads for Friday opened up in the last hour (obviously a joke it was him - he'd have 30k ... not 1500)
Market Data from @ConvexValue
-Volatility expectations (Term structure) crashed on the peace deal (red = yesterday; yellow = today)
-GX surface -Friday's run shows we ended in positive gamma territory
-Overnight straddle is~97 points giving us an ON straddle range of [6519, 6713]
-Morning straddle is 41 and using spot 6805 gives us a range of [6764,6846]
-Weekly Straddle remains [6430, 6735]
-Overnight Volume is above average with equal put and call volumes: 6700 puts and 6800 calls highest nodes
Net Exposure from @OptionsDepth
$SPX
-Pivot is 6775
-Over pivot is 6795, 6810, 6835, 6855
-Under Pivot is 6760, 6750, 6740, 6720, 6700
$VIX - Left = VIXEX, Middle = following week into May VIXEX, right = all
-breaking 20 can lead to another 2-3$ move down but will probably be quite hard.
Thoughts
-We're at pretty much every major AVWAP since 10/10, 11/26, etc.... - We are likely to get some extended short covering for at least 1-2 days so dips look juicy....
--Afterwards, a pull back at some point is logical so don't get too beared up on weakness into next week if it materializes - I don't expect much to be honest....
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$SPX $ES_F $NQ_F Premarket
· US indices are up in premarket with $SPY at +2,85% and $QQQ at +3,53%
· Futures are in the green for overnight session with $NQ at +3,36% and $ES at +2,67%
· $VIX is now at 20.47 down at -20,6%. Volatility products are also down with $VXX at -9,85% and $UVXY at -14,97%
· Strong risk-on rebound expected after the recent washout. FOMC Minutes at 20:00 is main catalyst of the day. Fed's Daly speaks at 19:05. Crude oil collapsing -16% adds another layer to today's tape
$SPX Map
· POLR : 6580
· $SPX sits at positive gamma transition zone. Dealers stabilize moves above the flip but expect amplification on any break lower as we slip back into negative gamma
· $SPX Put/Call Ratio is clearly put-sided with 48.4k puts against 44.5k calls. Largest put strikes at 6700/6750 and largest call strikes at 6800/6850
· ODTE Straddle is priced at 41.20 at 0,62%
· $VIX remains in positive gamma at 20.14 with new major strikes at 23/25/30, flip at 23
Interpretations are mine | Datas from @ConvexValue
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Key takeaway: The base case (55% combined) is a grind toward 6,500–6,510 — the major put wall where dealer hedging provides some support. Short gamma means any directional move gets amplified, so the tails are fatter than usual.
The geopolitical wildcard is real — if markets sense no Iran deal before close, expect volatility to accelerate into the 4pm print. Watch VIX and the 6,500 level closely. If 6,500 breaks, the next meaningful support is thin until 6,450.
This is chart analysis only — not financial advice. Verify the Iran situation through live news sources before acting. #SPX #0dte @doc_mcgraw @Optiongirl @ConvexValue
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$SPX
Mid-morning update
How I saw the day
I don't trade the opening 15 minutes but I had a fade ID'd from that area if it was offered.
From @OptionsDepth ~ 6600 is the upside pivot - if it's reclaimed, then we can run. Base case is it's resistance.
I've aggressively trimmed my long and stop BE - rinse and repeat a long?
Per @ConvexValue
-Term structure exploded higher - without escalations the vol melt off will result in a nice pop.
#MDFS at 1245 EST - bring your questions!
Yamco@Yam_Trades
$SPX RV Compression is the name of the game. Market Data from @ConvexValue -Volatility expectations (Term structure) increased slightly into the latest deadline. -GX surface -Friday's run shows we're hovering right on the cumulative gamma flip line. -Overnight straddle is~57 points giving us an ON straddle range of [6555, 6669] -Morning straddle is 55 and using spot 6585 gives us a range of [6530,6640] -Weekly Straddle remains [6430, 6735] -Overnight Volume is above average with more put than call volumes: 6500 puts and 6650 calls highest nodes -Deltas are positive overnight. Net Exposure from @OptionsDepth $SPX -Pivot is 6575 -Over pivot is 6585, 6600. 6625, 6640, 6650 -Under Pivot is 6550, 6540, 6520/10 (credit spread), 6500, 6490 $VIX - Left = next week, Middle = VIXEX, right = all -VIX positioning revolves around 25 - could see a move to 23 VIX or a move up to 27/28 VIX but I don't think it stay above/below either of those levels for long. Thoughts -We likely see one more wobble before starting out next move higher (barring an exogenous event); my view is we wobble vic the 200D but that's a very loose view. -I think we get presented with a buyable dip today or overnight into the back half of the week - we're building out structure. #MDFS 1245 EST: x.com/i/spaces/1PKqr…
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$SPX $ES_F $NQ_F Premarket
· US indices are down in the premarket with $SPY at -0,44% and $QQQ at -0,60%
· Futures are in red for overnight session with $NQ at -0,53% and $ES at -0,38%
· $VIX is now at 25,46 up at +5,34%. Volatility products are also up with $VXX at +2,10% and $UVXY at +2,86%
· Heavy Fedspeak day with Williams, Goolsbee, Jefferson on the tape. 3-Year Note during the session can be interesting to watch too.
$SPX Map
· POLR : 6560 - 6660
· SPX sits in negative gamma and flip positive at 6640 Dealers sell into weakness and buy into strength amplifying moves until price reclaims the flip
· $SPX Put/Call Ratio is clearly put-sided with 49.6k puts against 44.6k calls. Largest put strikes at 6500/6550 and largest call strikes at 6650/6700
· 0DTE Straddle is priced at 53,4 at 0,81%
· $VIX remains in positive gamma at 25,46 with new major strikes at 30/35/38, flip at 23
Interpretations are mine | Datas from @ConvexValue
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Convex Value retweetet
$SPX
RV Compression is the name of the game.
Market Data from @ConvexValue
-Volatility expectations (Term structure) increased slightly into the latest deadline.
-GX surface -Friday's run shows we're hovering right on the cumulative gamma flip line.
-Overnight straddle is~57 points giving us an ON straddle range of [6555, 6669]
-Morning straddle is 55 and using spot 6585 gives us a range of [6530,6640]
-Weekly Straddle remains [6430, 6735]
-Overnight Volume is above average with more put than call volumes: 6500 puts and 6650 calls highest nodes
-Deltas are positive overnight.
Net Exposure from @OptionsDepth
$SPX
-Pivot is 6575
-Over pivot is 6585, 6600. 6625, 6640, 6650
-Under Pivot is 6550, 6540, 6520/10 (credit spread), 6500, 6490
$VIX - Left = next week, Middle = VIXEX, right = all
-VIX positioning revolves around 25 - could see a move to 23 VIX or a move up to 27/28 VIX but I don't think it stay above/below either of those levels for long.
Thoughts
-We likely see one more wobble before starting out next move higher (barring an exogenous event); my view is we wobble vic the 200D but that's a very loose view.
-I think we get presented with a buyable dip today or overnight into the back half of the week - we're building out structure.
#MDFS 1245 EST: x.com/i/spaces/1PKqr…
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Convex Value retweetet
$SPX
Market Data from @ConvexValue
-Volatility expectations (Term structure) is at the bottom of the range - we're so back! [yellow = today, red = yesterday]
-GX surface -Friday's run shows we're flirting with a overall positive gamma territory but are currently hanging out underneath
-Overnight straddle is~87 points giving us an ON straddle range of [6495, 6669]
-Morning straddle is 53 and using spot 6590 gives us a range of [6537,6643]
-Weekly Straddle remains [6430, 6735]
-Overnight Volume is above average with more put than call volumes: 6500 puts and 6700 calls highest nodes
-Deltas are negative overnight.
Net Exposure from @OptionsDepth
$SPX
-Pivot is 6550
-Over pivot is 6565, 6585, 6595. 6605, 6630, 6650
-Under Pivot is 6525, 6505, 6475, 6450, 6440, 6410
$VIX - Left = next week, Middle = VIXEX, right = all
-VIX positioning looks like a bit of vol crush could go on this week - obviously we remain headline driven.
Thoughts
-Market has confirmed demand so far at 6550
-Any early week weakness looks to be a chance to buy for the back half of the week.
-6600/6605 offers a short opportunity with clear invalidation - I like a look above and fail of 6605.
#PMFS at 915 EST x.com/i/spaces/1qxvv…
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$SPX
Week ahead is out: yamtrades.substack.com/p/positioning-…
Market Data from @ConvexValue
Net Positioning from @OptionsDepth
*1 Minute positioning updates coming soon*
Straddle
The straddle remains elevated at similar levels from last week - 2.3% (~153.2 - This should come as no surprise as volatility has been hovering around 25 for weeks.
Big Picture
We’ve reclaimed our first macro pivot at 6550 (Nov Lows) and tested it from above (validation). Let’s see what comes next but a pullback early week looks to be a good entry. Obviously we remain headline driven so approach directional swings with caution - especially with short term leverage.
Net Exposure
Net options exposure looks like an early week dip buy into consolidation/upside.
Summary
Summarizing the above and looking forward, the environment has been and remains difficult. There are early signs of the market settling into the Iran conflict and unless there’s a significant ramp up, I do not believe the market really cares anymore. Peace talks are apparently going on, there’s an exit strategy in place and the market is forward looking. Last week I mentioned a bottom was near and this week I think we have a pullback, some more upwards drift before setting a final low vicinity VIXEX/Tax day where the market can likely carve out a durable bottom and move higher.
If the weekly or daily posts help, please like/retweet
#PMFS with @tony_mansour and @iV_trader before market open on M/W/F
#MDFS with the same on T/Th at 1245 EST - Bring your questions or comments!
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$SPX
The market is a cruel mistress - rallying EOQ and into April Fool's Day....
Hopefully the EOD note about reversion positioning helped some of you - I was hoping for a rip towards 6640/75 on Trump's speech to fade aggressively
Market Data from @ConvexValue
-Volatility expectations (Term structure) is at the middle of the range - all is no longer well [yellow = today, red = yesterday]
-GX surface -Yesterday's run shows we' briefly got into positive gamma (less extreme PA) before rolling over again
-Overnight straddle is~72 points giving us an ON straddle range of [6503, 6648]
-Morning straddle is 57 and using spot 6475 gives us a range of [6422,6527]
-Weekly Straddle remains [6187, 6550]
-Overnight Volume is above average with equal put and call volumes: 6400 puts and 6800 calls highest nodes
-Deltas are positive overnight.
Net Exposure from @OptionsDepth
$SPX
-Pivot is 6450
-Over pivot is 6475, 6500, 6530, 6550, 6575
-Under Pivot is 6405, 6375, 6350, 6340 ( Gap fill), 6325, 6305, 6275
$VIX - Left = next week, Middle = VIXEX, right = all
-VIX positioning changed dramatically with downside positioning closed out upside back in focus up to 30.
Thoughts
-Short the rip environment is back in effect after two days of buy the dip - pretty standard dead cat bounce.
-Realized volatility is blowing out - Vol control funds continue to degross - Their future participation will be something to track! Stay tuned!
-#MDFS at 1245 EST with @iV_trader
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Convex Value retweetet
Convex Value retweetet
$SPX
Morning update
How I saw the day
-in premarket, longed 6554 into 6580 with some ES; Neutral right now but would like to see fade from higher.
0DTE from @OptionsDepth
-Large Put credit spread at 30/25
Gamma surface @ConvexValue
-Floating right on the cumulative flip area.
Yamco@Yam_Trades
$SPX Happy positive gamma over 6580 day to any who celebrate. Market Data from @ConvexValue -Volatility expectations (Term structure) is at the bottom of the range - all is well apparently. -GX surface -Yesterday's run shows we're just into positive gamma (less extreme PA) -Overnight straddle is~59 points giving us an ON straddle range of [6469, 6587] -Morning straddle is 44 and using spot 6584 gives us a range of [6540,6628] -Weekly Straddle remains [6187, 6550] -Overnight Volume is above average with equal put and call volumes: 6500 puts and 6600 calls highest nodes -Deltas are negative overnight. Net Exposure from @OptionsDepth $SPX -Pivot is two fold: 6580 to the upside and 6550 to the downside, void in the middle. -Over upside pivot is 6590, 6600, 6620/25, 6655 -Under downside Pivot is 6535, 6515, 6505, 6495, 6475 $VIX - Left = next week, Middle = VIXEX, right = all downside VIX is in focus into next week with puts bought down to 17 and calls up to 30 - pivot at 25 Thoughts -6615 is the declining 21D EMA and 6640 is the 200D - mark them and watch reactions. Successful reclaims in the coming days and this has legs. Don't forget #PMFS with @tony_mansour and @iV_trader x.com/i/spaces/1qJDz…
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Convex Value retweetet
$SPX $ES_F $NQ_F Premarket
· US indices are up in the premarket with $SPY at +0,70% and $QQQ at +1,01%
· Futures are in the green for overnight session with $NQ at +1,05% and $ES at +0,76%
· $VIX is now at 24.61 down at -3,92%. Volatility products are also down with $VXX at -2,72% and $UVXY at -3,40%
· Bullish Q2 open. ADP came in hot at 62k vs 40k expected. Retail Sales surprised to the upside at +0,5%. ISM Manufacturing PMI due at 10am. Fed's Musalem and Barr speaking today.
$SPX Map
· POLR : 6500
· Gamma environment switch slightly positive today with flip a 6500. Above this level dealers are in positive gamma and stabilize price action. Below it negative gamma kicks in and dealers amplify moves both ways
· $SPX Put/Call Ratio is clearly put-sided with 47k puts against 44k calls. Largest put strikes at 6400/6450/6500 and largest call strikes at 6600/6650/6675
· ODTE Straddle is priced at 44.00 at 0,67%
· $VIX remains in positive gamma at 24.26 with new major strikes at 28/30/34, flip at 27
i will be off until the end of the week, take care guys!
Interpretations are mine | Datas from @ConvexValue
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Convex Value retweetet
$SPX
Happy positive gamma over 6580 day to any who celebrate.
Market Data from @ConvexValue
-Volatility expectations (Term structure) is at the bottom of the range - all is well apparently.
-GX surface -Yesterday's run shows we're just into positive gamma (less extreme PA)
-Overnight straddle is~59 points giving us an ON straddle range of [6469, 6587]
-Morning straddle is 44 and using spot 6584 gives us a range of [6540,6628]
-Weekly Straddle remains [6187, 6550]
-Overnight Volume is above average with equal put and call volumes: 6500 puts and 6600 calls highest nodes
-Deltas are negative overnight.
Net Exposure from @OptionsDepth
$SPX
-Pivot is two fold: 6580 to the upside and 6550 to the downside, void in the middle.
-Over upside pivot is 6590, 6600, 6620/25, 6655
-Under downside Pivot is 6535, 6515, 6505, 6495, 6475
$VIX - Left = next week, Middle = VIXEX, right = all
downside VIX is in focus into next week with puts bought down to 17 and calls up to 30 - pivot at 25
Thoughts
-6615 is the declining 21D EMA and 6640 is the 200D - mark them and watch reactions. Successful reclaims in the coming days and this has legs.
Don't forget #PMFS with @tony_mansour and @iV_trader
x.com/i/spaces/1qJDz…
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