Yctrades @yctrades

$SPY is in "moves get bigger" mode today. Price is at 729, sitting just under the 730 line that separates calm days from wild ones. We're on the wild side. Normally the big dealers act like shock absorbers. they push back against moves and keep things calm. Today they're doing the opposite. They're pouring gas on the fire. If buyers push up, dealers have to buy too, which shoves it higher. If sellers push down, dealers sell too, which drags it lower. Either direction, the move gets exaggerated. 730 is the line that decides the day. It's where the most fuel is stacked. Until price clearly picks a side and stays there, above 730 or below 729, expect a lot of noise and fakeouts. Choppy, reactive, annoying. Downside: 725 is the floor (the put wall). But on a wild day, dealers don't defend that floor as hard. So if price breaks down on real volume, there's not much underneath it can fall into open space fast. Upside: 732 and 733 are the first speed bumps. Price has to clear those before anyone should even think about a bigger run toward 750. How to play it: Bets that profit from things staying calm are the wrong tool today, the market's too jumpy for them. Better options: trades where you know your max loss upfront (defined-risk debit spreads), or just sit on your hands until price actually commits to a direction. No shame in waiting for the tape to show its cards.

Significant shadow gamma risk into month end rebalancing. Fait tail and no braking effect until 7077.07 $SPX See the quoted post below😉

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Alma.Trk @alma271828

3 weeks ago

Just as I promised, I recalculated the rho exposure with post-OpEx data, and implied probability distribution. First of all... It is ironic that the MoU was signed exactly in Versailles (google 1919). This is nothing but a bluff from Iran's part. A temporary firefighting. Iran

5 14 114 30K 82

Let me show you a daily setup again and how I think about it (I didn't posted here for 2 years)... One the first chart you see the net MM speed profile including "shadow speed", how it will change when surface changes. As you can see it is net negative above 7334 $SPX This means, that MMs are shorter gamma upward and longer gamma downward in an increasing pace, as speed is the rate of change of GEX. This means, customers are selling convexity for dealers, and they will be forced to buy more and more against a declining spot compressing daily RV. So we can say, customers are selling downside realized vol. You can see that the net gamma curve is positive below 7424 $SPX And also there is a bid to the upside too, so this is a clear long risk revard trade from customer side speed profile-wise. On the third chart you can see the implied PnL of the aggregated customer positioning , and also the risk neutral density. Customers are net winners and vol sellers in the 7324-7458 $SPX range, betting on a pin and collecting theta. While the RND is leaning to the upside trapping upside long vol traders, the left-tail kurtosis is bid, that is reflected in the PnL curve to (very asymmetric risk). This is a trappy setup, because if you remember shadow speed, you can see that speed gets even more supportive a little bit lower if vol goes up. Like 7300-7270 $SPX zone. Locally customers sell gamma 0DTE there too. While upside until 7460/70 $SPX looks opened, however they are expected to realize profite and reverse spot when spot hits there. Then it is set to range. Another aspect is that $ES $ES_F futures are trading just at fair value. If spot moves far away from it, that would create an arbitrage opportunity. But not necessarily it is played as it is expected to be played. Futs can "pull" cash with itself. Now, what this positioning tells me is that customers want to create liquidity here. Something I told in OpEx week and last Sunday post, that market must and wants to built liquidity between 'peacedeal' lows and FOMC lows if it wants to be supported, and it wants so, bcs for now Warsh is not allowed to go full hawk. Midterms... you know the drill... So, here, it is like customers are saying, if futs goes down, we play for arbitrage, closing the gap, $SPX reverts (with some local stophunting of course by fakeout just for the sake of liquidity). But if futs goes up, we will pull cash with it, upward. You can see the long delta PnL upward. above 7495 $SPX Note, that monthly VWMA, ESM26 settlement are laying very close to this spot. Very important structurally, not to mention VWAP, POC... And watch how positioning sets itself at FOMC lows and peacdeal lows... ▫️ Ok, so how to trade it? Me personally I find premium collection, "pin game" too risky too asymmteric and too thin ice-ish. For me this is a no-no for options. However, if futures would give me the lows (fair basis is ~67), I would fade the downside move. Rejection/acceptance of yesterday RTH lows would confirm a move, and I got momentum. Upside reversion is risky, vol selling is risky. This is the only trade I see for today. If it doesn't play out, I don't touch it. So this is it,, in nutshell...

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La bolsa sigue subiendo y, a simple vista, reina la calma gracias al empuje de la Inteligencia Artificial. Sin embargo, si levantamos el capó, la mecánica del mercado es compleja. Ni todo es de color de rosa, ni estamos al borde del abismo. ¿Qué está pasando? 🧵👇