jc
6.1K posts
@realjc @unusual_whales yup and they burning that permi-yum!
English
SPX Market Maker Gamma Profile 🔊
all expiry 1st pic, 0dte 2nd pic
above current spot price in the all expiry aggregate profile is a field of negative gamma & positive vanna that will assist a move higher with a decrease in implied volatility. the negative gamma indicates market makers are net short at those strikes and will hedge in a way that assists a move higher. resistance picks up around 7430, extending toward 7460. in 0dte, 7365-7405 is a field of resistive negative vanna that will push against a move. that'll be the hurdle to a move higher. below current spot 7325-20 is a buoy of support, lose 7300 & we're looking at 7290-70.
$spx $spy
x.com/realjc/status/…
jc@realjc
SPX Market Maker Gamma Profile 🛸 all expiry 1st pic, 0dte 2nd pic overhead resistance begins at 7410-50 with positive gamma anchoring that range. below current spot 7365-60 & 7340 are supportive, but there is a slippery slope into those strikes. 7300 is support in the event of an IV driven sell-off, where 7290 is a magnet and 7260 is a buoy. in 0dte, 7400 is resistive followed by 7430 & 7455; below spot it's 7365-60 & 7330 as support. $spx $spy x.com/realjc/status/…
English
SPX Most Open Interest Change 🥥
lotsa volume yesterday for a few contracts expiring today. 7550 strike Calls with 90% of volume done near the Bid side of the auction likely for a credit began yesterday with 1074 open contracts, today it’s 26,023. the 7025 strike Puts with 88% of volume done near the Ask side likely
for a debit, 10,935 contracts mostly kept open overnight.
$spy $spx
jc@realjc
SPX Most Open Interest Change 🥒 0dte Puts- 7175, 7150 are net sold, entered closer the Bid side of the auction yesterday while the 7050 Put was entered closer to the Ask side, likely for a debit. $spy $spx
English
SPX Market Maker Gamma Profile 🛸
all expiry 1st pic, 0dte 2nd pic
overhead resistance begins at 7410-50 with positive gamma anchoring that range. below current spot 7365-60 & 7340 are supportive, but there is a slippery slope into those strikes. 7300 is support in the event of an IV driven sell-off, where 7290 is a magnet and 7260 is a buoy. in 0dte, 7400 is resistive followed by 7430 & 7455; below spot it's 7365-60 & 7330 as support.
$spx $spy
x.com/realjc/status/…
jc@realjc
SPX Market Maker Gamma Profile 🌀 all expiry 1st pic, 0dte 2nd pic there's a minefield of Positive Vanna & Sold Puts below spot that will accelerate a move toward 7350, lose it there & it's 7320-15 & then 7285. above current spot, if we can get a move higher with falling IV there's a possibility to push into 7420-25. in 0dte positioning, 7440-50 is a target if we can punch thru 7425. in general, the 7390-7400 area has by far the most gamma exposure stacked & can be forceful, pulling spot price into its gravitational field for the remainder of today's rth $spx $spy x.com/realjc/status/…
English
SPX Most Open Interest Change 🥒
0dte Puts- 7175, 7150 are net sold, entered closer the Bid side of the auction yesterday while the 7050 Put was entered closer to the Ask side, likely for a debit.
$spy $spx
jc@realjc
SPX Most Open Interest Change 🐣 0dte Calls, 7665 & 7760 forming a debit spread of sorts while 7400 & 7285 Puts form another debit spread. is this a long condor? probably not, these could all be completely unrelated positions, but it is interesting to see what’s held open overnight. none of the legs have a particularly lopsided auction entry. $spy $spx
English
SPX Market Maker Gamma Profile 🌀
all expiry 1st pic, 0dte 2nd pic
there's a minefield of Positive Vanna & Sold Puts below spot that will accelerate a move toward 7350, lose it there & it's 7320-15 & then 7285. above current spot, if we can get a move higher with falling IV there's a possibility to push into 7420-25. in 0dte positioning, 7440-50 is a target if we can punch thru 7425. in general, the 7390-7400 area has by far the most gamma exposure stacked & can be forceful, pulling spot price into its gravitational field for the remainder of today's rth
$spx $spy
x.com/realjc/status/…
jc@realjc
SPX Market Maker Gamma Profile 🛫 all expiry 1st pic, 0dte 2nd pic 7500 has a ton of market maker Long Calls piled up that require selling futures to hedge an increase in delta if spot price rises toward the strike. currently that's our largest pile of gamma, delta moves quickly at that strike. if we can break thru 7505 & then 7525, there is oxygen to fuel a run toward 7550. in 0dte, 7505 is a magnet of positive vanna, waiting for IV to drop, but also a resistive force against a spot move higher as market makers sell to hedge their positive deltas. below spot, lose 7465 & it's 7450 then 7430. a crash takes us to 7400 where customers are Long lotsa Puts, forcing market makers to sell to hedge their book exposure, accelerating a move lower with the help of positive vanna. however, as the day grinds on, negative charm will help to buoy at the strike. $spx $spy x.com/realjc/status/…
English
SPX Implied Volatility Term Structure
🟣today 6/23 🔴6/16
instrument IV popped: the red line is from pre-fomc last week. IV for tomorrow's expiry jumped from 13 to 20% & we're looking at a contango curve thru August. a big change from last week when it was a backwardated curve from July onward. the purple line is conveying a greater possibility of larger moves & a heightened uncertainty of direction for the coming couple months. new fedspeak & a tenuous middle east make for a volatile, uncertain summer is the current outlook
$spy $spx
x.com/realjc/status/…
jc@realjc
SPX Implied Volatility Term Structure 🟣today🔴 what a difference a week makes- term structure is now backwardated until the middle of next month. there are a couple holidays between now & then along with cpi, fomc rate decision headed into opex. tomorrow's expiry jumped from 11 to 19% since last week. $spy $spx x.com/realjc/status/…
English
SPX Most Open Interest Change 🐣
0dte Calls, 7665 & 7760 forming a debit spread of sorts while 7400 & 7285 Puts form another debit spread. is this a long condor? probably not, these could all be completely unrelated positions, but it is interesting to see what’s held open overnight. none of the legs have a particularly lopsided auction entry.
$spy $spx
jc@realjc
SPX Most Open Interest Change 0dte 7100 strike Puts with half of thursday’s volume done closer to the Ask side & another decent chunk done near the Mid. likely downside protection, if opened in isolation. no Calls on the board this morning, more Put positioning for later this week. $spy $spx
English
@realjc @unusual_whales I expect SPX to close above 7500 today.
English
SPX Market Maker Gamma Profile 🛫
all expiry 1st pic, 0dte 2nd pic
7500 has a ton of market maker Long Calls piled up that require selling futures to hedge an increase in delta if spot price rises toward the strike. currently that's our largest pile of gamma, delta moves quickly at that strike. if we can break thru 7505 & then 7525, there is oxygen to fuel a run toward 7550. in 0dte, 7505 is a magnet of positive vanna, waiting for IV to drop, but also a resistive force against a spot move higher as market makers sell to hedge their positive deltas. below spot, lose 7465 & it's 7450 then 7430. a crash takes us to 7400 where customers are Long lotsa Puts, forcing market makers to sell to hedge their book exposure, accelerating a move lower with the help of positive vanna. however, as the day grinds on, negative charm will help to buoy at the strike.
$spx $spy
x.com/realjc/status/…
jc@realjc
SPX Market Maker Gamma Profile ⛹️♀️ all expiry 1st pic, 0dte 2nd pic 0dte, lotsa negative gamma exposure in the shown profile. it could be a quick trip down to 7450 where we try to hang onto 7445 & 7430. lose it at those levels & we look toward 7360-45. overhead, 7500 is a big shelf of market maker Long Calls that require adding negative deltas to hedge, likely resulting in a dampening of any spot move in that direction. break above & 7525 & 7550 become targets with a pile of positive vanna that would be hedged likely in a way that would assist a move higher. in general there is more resistance above spot than there is support below. regular market is closed tomorrow and its monthly opex today. $spx $spy x.com/realjc/status/…
English
SPX Most Open Interest Change
0dte 7100 strike Puts with half of thursday’s volume done closer
to the Ask side & another decent chunk done near the Mid. likely downside protection, if opened in isolation. no Calls on the board this morning, more Put positioning for later this week.
$spy $spx
jc@realjc
SPX Most Open Interest Change 🪷 monthly opex today & most markets closed or part time tomorrow. for today, 0dte 7600 & 7725 Calls along with the 7600 strike Puts all with volume filled in a even dispersal between bid-ask-mid pricing of the auction. $spy $spx
English
SPX Market Maker Gamma Profile ⛹️♀️
all expiry 1st pic, 0dte 2nd pic
0dte, lotsa negative gamma exposure in the shown profile. it could be a quick trip down to 7450 where we try to hang onto 7445 & 7430. lose it at those levels & we look toward 7360-45. overhead, 7500 is a big shelf of market maker Long Calls that require adding negative deltas to hedge, likely resulting in a dampening of any spot move in that direction. break above & 7525 & 7550 become targets with a pile of positive vanna that would be hedged likely in a way that would assist a move higher. in general there is more resistance above spot than there is support below. regular market is closed tomorrow and its monthly opex today.
$spx $spy
x.com/realjc/status/…
jc@realjc
SPX Market Maker Gamma Profile 🧌 all expiry 1st pic, 0dte 2nd pic lotsa market maker Long Calls at 7500 requiring less selling to hedge as spot price draws closer to the strike, providing support alongside a load of negative vanna, reinforcing the level. break below & look toward 7470-65 with another shelf at 7450 & 7430. in 0dte, it'll be a fast slide from 7500 to 7450 if we break. above current spot, 7515-55 is a field of positive vanna that would aid a spot move higher if IV peels off. 7560-80 is an area that will pull spot in as market makers buy futures to hedge their Short Calls while simultaneously needing to hedge the negative vanna by selling, call it a resistance magnet. $spx $spy x.com/realjc/status/…
English
SPX Most Open Interest Change 🪷
monthly opex today & most markets closed or part time tomorrow. for today, 0dte 7600 & 7725 Calls along with the 7600 strike Puts all with volume filled in a even dispersal between bid-ask-mid pricing of the auction.
$spy $spx
jc@realjc
SPX Most Open Interest Change ☕️ the 0dte 7800 looks to be Bid (credit) while the 7200 Put was in majority nearer to the Mid (likely debit) volume was normal, not huge. and since it’s not favoring heavily one side, truly unknowable if these are part of a larger portfolio hedging strategy or directional trades. $spy $spx
English
SPX Market Maker Gamma Profile 🧌
all expiry 1st pic, 0dte 2nd pic
lotsa market maker Long Calls at 7500 requiring less selling to hedge as spot price draws closer to the strike, providing support alongside a load of negative vanna, reinforcing the level. break below & look toward 7470-65 with another shelf at 7450 & 7430. in 0dte, it'll be a fast slide from 7500 to 7450 if we break. above current spot, 7515-55 is a field of positive vanna that would aid a spot move higher if IV peels off. 7560-80 is an area that will pull spot in as market makers buy futures to hedge their Short Calls while simultaneously needing to hedge the negative vanna by selling, call it a resistance magnet.
$spx $spy
x.com/realjc/status/…
jc@realjc
SPX Market Maker Gamma Profile 🏄 all expiry 1st pic, 0dte 2nd pic break thru 7555 & there is oxygen for a move toward 7570-75. customers may chase the move higher which could push spot toward 7600 as market makers unwind hedges, only to be met with a big ole pile of negative vanna that would be hedged via selling futures & contributing to a stallout at the level. 7590-7600 is a magnet but also a substantial checkpoint. below current spot, 7530-25 is supportive, lose it & look to 7505-7490 for a broader shelf of resistance against a move downward. 7600 is major resistance, 7500 is major support and in between, 7550-60, is an area to watch for local stallout/magnetism. all eyes & ears are waiting on the iran deal, monthly opex, & fomc rate decision, within a shortened holiday week. $spx $spy x.com/realjc/status/…
English
SPX Most Open Interest Change ☕️
the 0dte 7800 looks to be Bid (credit) while the 7200 Put was in majority nearer to the Mid (likely debit) volume was normal, not huge. and since it’s not favoring heavily one side, truly unknowable if these are part of a larger portfolio hedging strategy or directional trades.
$spy $spx
jc@realjc
SPX Most Open Interest Change 🦚 0dte 7690 & 7700 Calls with large majority of volume done nearer to the Bid side. since these were mostly all opening trades, we can assume it is likely these were done for a credit. 0dte 7800 Calls are more neutral with around half the volume done closer the Mid price of the auction. also a 0dte 7200 Put entered mostly at Mid acting potentially as downside lotto protection against bad war news. $spy $spx
English
@realjc @unusual_whales Good. Add my view there will be divergence in semi, $NVDA will show strength but memory and nand semi will be show weak.
English
SPX Market Maker Gamma Profile 🏄
all expiry 1st pic, 0dte 2nd pic
break thru 7555 & there is oxygen for a move toward 7570-75. customers may chase the move higher which could push spot toward 7600 as market makers unwind hedges, only to be met with a big ole pile of negative vanna that would be hedged via selling futures & contributing to a stallout at the level. 7590-7600 is a magnet but also a substantial checkpoint. below current spot, 7530-25 is supportive, lose it & look to 7505-7490 for a broader shelf of resistance against a move downward. 7600 is major resistance, 7500 is major support and in between, 7550-60, is an area to watch for local stallout/magnetism. all eyes & ears are waiting on the iran deal, monthly opex, & fomc rate decision, within a shortened holiday week.
$spx $spy
x.com/realjc/status/…
jc@realjc
SPX Market Maker Gamma Profile 🔍 all expiry 1st pic, 0dte 2nd pic short week with monthly opex on thursday. if spot can break thru 7585, 7600 is a resistive checkpoint. if we somehow break above on great news, 7620-25 is a firmer ceiling. to the downside, lose 7565 & there's support between 7560-45. lose 7545 & the target becomes between 7525-7500. market makers are Long lotsa Calls at 7500. if spot price drops, perhaps due to bad war news, market makers will need to add positive deltas (likely buy futures) to hedge their increasing negative delta, adding a supportive headwind against the spot price move downward. in 0dte, theoretical hedging requirements for the 7500 strike are an accelerant to a spot price move lower. but currently the all-expiry aggregate hedging requirement is stronger. $spx $spy x.com/realjc/status/…
English
@RSQ8562767 @unusual_whales i think we’ll clinch thru opex and fomc and then release
English
@realjc @unusual_whales How about your view? my view is that In darkpool acrivity, broad sell in $VT accomulated 700mil within 3 business days, also big selling in $EWT, bearish flow at $MU.
English