David Chau

@jordanfogel Yup

@InsideOptions_ Check DM

Merry Christmas, I wish nothing but success for all. Anytime an iron condor breaches we track the levels over the last 3 years and we build our quantitative model around this. This is the first time our series failed in over 3 years since CBOE released dailies in 2022, 1 series. you can’t backtest anything prior. So yes we are pioneers. Black Scholes options pricing formula uses implied volatility not future. I suspect these conditions offered perfect opportunity for range breaches. I didn’t expect this to be any different than any other time we traded. We have rules and followed the books. We don’t normally close trades because all stats are realized at the close, Often have seen markets breach and close back inside. This is how our long model works (the one that predicts 1SD breaches) But they don’t work together to complement short IC. The premise of our strategy is not about avoiding losses, it’s about generating positive expectancy. Positive EV in this strategy is accepting that these events will happen because it’s a probability based system , but if you started with x$ and doubled or tripled the amount, you take off principle and scale the rest with house $. In a nutshell, yes we are hurt but I don’t fucking give up. We will regroup and try again.

@InvestorMMM Thanks let me know if you have anything we can cross check our work. I’m working with somebody that reached out now and they have some compelling correlation so maybe will have a leading indicator soon.

@InsideOptions_ Something about the price action over the last few days is very different that my last 3 years of modeling - I'm researching the quantifiable "why" - so far it isn't straight forward as vix and volume - the pricing on the other side of the gamma peaks was odd...

@SPXGAMMA @agtrader We have a log yes dm me

@InsideOptions_ @agtrader I would be happy to research this further for you. Here is some general data related to GEX/Volatility Structure and 0 DTE price action. youtu.be/KSSPgk64qoA?si… Would you be willing to share your trade log?

@gherkinit @nitou_cybrotter @GammaStr1ke What I’m asking is , is there a way to go back and check what the positioning is for each and every single day.

No unfortunately not, and no API for some time, but VN represents the point at which dealer complex vega exposure flips negative (fairly rare on indexes) and so their returns on their book flip from convex to concave and they need to continuously hedge upside. Which is what drives the persistent trend described by @nitou_cybrotter above. However on the downside it eliminates a decent chunk of the supportive gamma hedge from MMs since they do not need to hedge the shift in vol because they are effectively long all the puts below spot. Making a downtrend as persistent as the uptrend.

@gherkinit @nitou_cybrotter @GammaStr1ke I understand there isn’t an API but is there a way to manually pull each day or some look back period for 3 years, then we can quantify it

@agtrader I read this and I have an answer but It’s just so much more complex, give me a dm we can hop on a call and I’ll give you my 100%!

Yeah just thinking out loud, you would obviously know much more. From watching these trades over the past year, seems when they break your upper IC range EARLY... it doesn't want to come back. Lower range breaks can get saved. 4/24, 9/4 , 10/8, 11/28 12/19-24. and on the 24th there was a weird trade that kept the momo rolling to end the day. 5k 25/30 calls. The reason i asked was.. aren't you afraid of becoming a target to squeeze just because?

@Ghostztradez We have tried everything, and we are open to suggestions if anybody has something quantifiable not just all talk. I’m in no competition with anybody, if we win we all win together

@InsideOptions_ Yes it does thank you. Hope you have a great holdiays and success in the new year

@Ghostztradez Lose that trade * excuse the typos and grammar

I’ll shoot it straight When you hedge it’s a double edge sword, you open up risk and you could lose that risk. Yes we have managed positions, closed positions when breached but what we have found was that all the stats we realized at the close. We have closed positions and the market swing back inside. So we built rules in place to define risk before we enter into any series I hope that answers your question. We try to eliminate any discretional decisions / hedging.

We trade based on the data we have, I’m not an expert in GEX or anything people talk about Nobody has ever sent us anything quantifiable to show proof that there is any correlation. We are still looking for anything quantifiable, but for now we will draw our conclusions. Chalk shit up and run it back stronger

@InsideOptions_ Did you ever take into consideration where the 4th day of your series would land on?

I don’t know anything about that, Is it a fake profile ? I don’t really care if they are are she / he. I followed them for some time during that huge fiasco I wasn’t invested into it. I don’t have anything personal against anybody, at the end of the day we are all just trying to make it in life.

@agtrader We have traded half days and fomc, it was systematic. If x happens and y triggers then we trade. In hindsight there might be a few things we missed and that’s what we are trying to figure out

@SoccerMomTrades @Merridew__ All good sorry lol I actually followed you some years back, didn’t mean to put you on the spot.

We don’t look at “SPXW positioning” Can you show me something quantifiable over the last 3 years regarding this positioning to see how our series would pan out? I’m not an expert in “SPXW positioning” I’m an expert in the models we trade and produce and we don’t use positioning to make trading decisions If you can show me something quantifiable we can draw correlations and implement it into the system.

@InsideOptions_ @happysphere Why not look at the broader SPX/SPXW positioning before going ham on 0DTE condors. Use the MM hedging to your advantage. You referenced blackjack card counting earlier. In blackjack you know the dealers playbook. Use it to your advantage.

@VolSignals Aha ok

@happysphere @nitou_cybrotter @OptionsDepth We have CBOE yes

@nitou_cybrotter @InsideOptions_ source for (b) is CBOE data via @OptionsDepth, but surely anyone at your scale would have a CBOE data subscription... right?

@happysphere @nitou_cybrotter I agree with this, We felt like this was different because of that… So regroup and try again and willing negate this.

@nitou_cybrotter @InsideOptions_ Also factor in that (a) IV had been crushed for several trading days, limiting the upside of selling condors in the first place, and (b) around 40% of the condors were bought by firms who wanted the condor to fail.

@RyanBaileyEdge @Groot751188 Sure thang, We did our work we ran our numbers. It’s viable so we will continue

@InsideOptions_ @Groot751188 2022 isn't much backtesting however I know 0DTE are relatively new. Murphy law my man

@VolSignals Merry Christmas man, all I ask is for another awesome meme aha

@nitou_cybrotter Got it, I would need like a csv file for the last 3 years so we can check if it correlates. This would be helpful

@InsideOptions_ Daily chart. If I remember SPX breached the lower IM on Dec. 17th (the day spot closed below DN), then the 18th was a bit of a consolidation/support building day, and then I think the upper IM was breach the next 4 days in a row (I'm going from memory here so I may be off a bit)