VolSignals

Market Makers don't manipulate price— we're trapped by our own hedging requirements. When SPX drifts between long and short strikes, our systems start buying and selling futures in ways that create predictable paths. (short thread)

Where are all those “supportive vanna and charm flows”?

This is how you know it's legit /s

Index to 0

@AdamDrahos98840 Sounds like a mature way to understand it 🎯

@VolSignals Can I apply it ( gamma and charm hedging lvls ) as " supply&demand " when trading intraday futures using orderflow ? I use referal points like wPOC, weekly high/low, volume profile, VWAP. I see this as potential additonal edge. What do you think sir ?

How do you use hedging data to trade? 1) Use charm to choose direction 2) Use gamma + charm to mark your target 3) Trade it w/ the right structure (butterfly) 4) Use 0DTE positions to know if you still have edge ..do I need to whiteboard it? Paid ~$4.10 ...$7.10 bid

@Chimp_Capital More like “short skew” is becoming “short straddle”

@VolSignals Does this mean the put skew is still elevated to the point of risking more vanna rallies if VIX starts to drip downward?

Skew faded off the highs last week when we moved materially through positions. Today- we see more hedging... straight up put buying, and the index is firmly entrenched in extremely negative gamma territory. 2nd percentile, h/t Charlie McElligott at Nomura

@prpl8 MOAR

@VolSignals not near enough hedges

@based16z They’re late

Seems like the first day ppl starting to admit it’s over

RTM signals for today >> you can imagine I got pretty excited about the fly around 6650 (STRONGEST AFTERNOON LINE printed ~6648) but then immediately the trending boxes lower told me close the tight keep the wide. voila

The reason flies are so attractive is they allow you to buy and sell options, and express a precise view: "I think we'll go lower- through 6675- and stop moving around 6625." You could: 1) Buy a put (this is expensive, risky, fighting decay) 2) Sell a future (straight directional risk) 3) Sell a call (you're short convexity here...) 4) Buy a put fly centered around 6625 ✓ You have a position that uses both the charm data AND the gamma data correctly. Charm bias = down Gamma becomes positive locally = 6625 Charm/gamma implied pin = 6625 Buy the option you expect to go through (6675 Put) Sell the option you expect to go to- but not through (6625 Put) The fly is much cheaper/safer than the put spread, because often you'll *collect* theta in the spread in the middle of the day if you're not too far outside the path that works for the structure. You have a forgiving position, and don't need to babysit it all day, or overtrade your way around it.

@nasdaqslayer the gamma is in VS3D, but not presented this way. That dashboard view is just Charlie's internal analytics at Nomura.

@VolSignals anyway to access stuff like this without bloom terminal?

@bitt_man true that

@VolSignals Ugly unless you like high vol

Is this good, I can't tell.

I found that in lower vol environments it was mostly safe to keep til expiration. We'd routinely get excellent pins. But since VIX > 15, 16, etc., harder to land the trade exactly at the target- which makes sense. More factors in play, and high vol + high VIX gamma = more erratic movement in the index, too (irrespective of Gamma) so TLDR, in this VIX regime I close early pretty frequently, while trying to keep some exposure via runners in lower vol regime, I am willing to risk more into settlement.

@VolSignals Do you keep to expiration or always close early?

Key thing here- you don't even need to have a view to use the data. The data can inform and improve your entries and exits or it can be your entire point-to-point framework, like it is for me.