Convex Value

$SPY $QQQ The most important inflation print of your lives Market Data from @ConvexValue -Volatility expectations (Term structure) are slowly moving down- it's a slow process;yellow = today, red = yesterday -Overnight Straddle is 60 giving us a range of [7490, 7610] -Morning Straddle is 59 from 7550 this AM -Weekly straddle (189 pts) is [7186, 7566] -ON Volumes are average; pretty much same volume on calls/puts; 7600 calls and 7500 puts Net Exposure (SPX) from @OptionsDepth -Pivot is 7540 -Upside Targets are 7565, 7575, 7600, 7615, 7635, 7650, 7670 -Downside Targets are 7525, 7510, 7495, 7475, 7465 Thoughts -Upside Pivot 7593 ES (7570 SPX); Downside Pivot 7538 ES (7515 SPX) -Holding the 8EMA looks good so far - let's see how CPI goes

$SPY $QQQ Honeypots are all the rage apparently Market Data from @ConvexValue -Volatility expectations (Term structure) are ripping ;yellow = today, red = yesterday -Overnight Straddle is 95 giving us a range of [7280, 7470] -Morning Straddle is 57 from 7360this AM -Weekly straddle (189 pts) is [7186, 7566] -ON Volumes are 65% above average; pretty much same volume on calls/puts; 7500 calls and 7300 puts Net Exposure (SPX) from @OptionsDepth -Pivot is 7375 -Upside Targets are 7390, 7410, 7425, 7450, 7465 -Downside Targets are 7355, 7335, 7325, 7310, 7295 Thoughts -Upside Pivot 7432 ES (7409 SPX); Downside Pivot 7363 ES (7340 SPX); ES Gameplan from last night posted - clean session - match positioning to those levels -7563 triggers another upside RV shock - Do think we get one in the next week or so - each day's level changes

$TLT $RKT Rate decline tables over the past 5 years isolated by 10, 15,20, 25% declines from peak to trough by duration. Orange is our current 10Y decline from 10/07. I have a few rate sensitive positions ($RKT and $XLU) and wanted to visualize how the rate declines have gone to see how it compares. Obviously each situation is different, but still.... Note - the series with sharp moves higher on rates after declines are in 2022. Just a cool graphic I created in @ConvexValue CVForge.

$SPY $QQQ Week ahead is out: yamtrades.substack.com/p/pos… Market data, Skew, Dashboards from @ConvexValue SPX and VIX positioning from @OptionsDepth Consider these graphics (limited to 4) 1) Frame the past week or so of SPX price action to the past year. 2) $QQQ Forward Skew - WOW! 3) $TLT forward skew looks stretched 4) $SMH Weekly volume - Capitulation? If the weekly posts or daily posts are helpful, please like/retweet. Realized Vol pt 7 - Does this even matter Join @tony_mansour and me on 11/19 xitter.gq/i/spaces/1nJOLQlQVZkxR… Enjoy your weekends - Back on Monday

$SPY $QQQ 3rd RV shock in a short time period yesterday.... Market Data from @ConvexValue -Volatility expectations (Term structure) are ripping ;yellow = today, red = yesterday -Overnight Straddle is 110 giving us a range of [7243, 7463] -Morning Straddle is 86 from 7360this AM -Weekly straddle (143 pts) is [7436, 7723] -ON Volumes are 50% above average-pretty much same volume on calls/puts; 7500 calls and 7300 puts Net Exposure (SPX) from @OptionsDepth -Pivot is 7340 -Upside Targets are 7355, 7380, 7410, 7435, 7450, 7475 -Downside Targets are 7325, 7310, 7275, 7245, 7210, 7200 Thoughts -Upside Pivot 7403 ES (7377 SPX); Downside Pivot 7334 ES (7306 SPX) -Darkpool activity has fallen to a 2 year low - per squeezemetrics, indicates real selling pressure with a limited MM order book; xitter.gq/SqueezeMetrics/status/…

$SPY $QQQ 2nd RV shock yesterday.... Market Data from @ConvexValue -Volatility expectations (Term structure) are collapsing post election ;yellow = today, red = yesterday -Overnight Straddle is 46 giving us a range of [7642, 7734] -Morning Straddle is 36 from 7700 this AM -Weekly straddle (143 pts) is [7436, 7723] -ON Volumes are 40% above average- 25% more put volume than call volume; 7750 calls and 7600 puts Net Exposure (SPX) from @OptionsDepth -Pivot is 7700 -Upside Targets are 7710, 7725, 7735, 7745, 7775 -Downside Targets are 7680, 7665, 7650, 7630, 7620 Thoughts -Upside Pivot 7767 ES (7740 SPX); Downside Pivot 7699 ES (7671 SPX)

$SPY $QQQ From it's so over, came we're so back Market Data from @ConvexValue -Volatility expectations (Term structure) are collapsing post election ;yellow = today, red = yesterday -Overnight Straddle is 86 giving us a range of [7482, 7670] -Morning Straddle is 50 from 7633 this AM -Weekly straddle (143 pts) is [7436, 7723] -ON Volumes are 200% above average- 10% more call volume than put volume; 7650 calls and 7400 puts Net Exposure (SPX) from @OptionsDepth -Pivot is 7620 (Same as Upside Pivot last night) -Upside Targets are 7635, 7650, 7675, 7695, 7705, 7715 -Downside Targets are 7600, 7590, 7575, 7565, 7540 Thoughts -Upside Pivot 7683 ES (7650 SPX); Downside Pivot 7613 ES (7580 SPX) -Incredible move ~Downside ES Target to Upside ES Target overnight - Entire move was just outside the straddle!

$SPY $QQQ Interesting higher lows under March 30th AVWAP on ES; Almost tagged 10/10 AVWAP on NQ Market Data from @ConvexValue -Volatility expectations (Term structure) towards the top of it's range into the election ;yellow = today, red = yesterday -Overnight Straddle is 67 giving us a range of [7514, 7646] - Spreads are your friend today -Morning Straddle is 44 from 7540 this AM -Weekly straddle (143 pts) is [7436, 7723] -ON Volumes are 30% above average- 30% more put volume than calls; 7600 calls and 7500puts Net Exposure (SPX) from @OptionsDepth -Pivot is 7535 -Upside Targets are 7550, 7570, 7596, 7605, 7615, 7630, 7660 -Downside Targets are 7520, 7495, 7475, 7450, 7435, Thoughts -Upside Pivot 7658 ES (7630 SPX); Downside Pivot 7530 ES (7500 SPX) -VIX positioning is very bifurcated for the next two weeks- monitoring this intraday

$SPY $QQQ RV Event Achieved; Care trading into and out of the election - I'd warrant some violent moves are coming in the first few days of the week as headlines come out about <insert key race> swinging one way or the other. Market Data from @ConvexValue -Volatility expectations (Term structure) towards the top of it's range into the election ;yellow = today, red = yesterday -Overnight Straddle is 66 giving us a range of [7514, 7646] -Morning Straddle is 42 from 7605this AM -Weekly straddle (143 pts) is [7436, 7723] -ON Volumes are average- more or less equal calls and puts; 7650 calls and 7580 puts Net Exposure (SPX) from @OptionsDepth -Pivot is 7610 -Upside Targets are 7630, 7640, 7660, 7675, 7685, 7700 -Downside Targets are 7600, 7585, 7575, 7560, 7545, 7530, 7515 Thoughts -Upside Pivot 7633; Downside Pivot 7590 -Generally feel like Friday's low should hold but if it doesn't, I'm watching the YTD ES AVWAP or NQ 10/10 AVWAP.

$SPY $QQQ Week ahead is out! yamtrades.substack.com/p/pos… Market data from @ConvexValue SPX and VIX positioning from @OptionsDepth 1) RV Event has finally triggered, the next week is crucial for follow-on shocks 2) QQQ 1M forward skew is quite extended 3) VIX Positioning changed quite a bit on Friday - The next 3 weeks are highlighted - consider timing of VIXEX, and events.

$SPY $QQQ Earnings season continues to impress! Market Data from @ConvexValue -Volatility expectations (Term structure) towards the top of it's range into the election ;yellow = today, red = yesterday -Overnight Straddle is 55 giving us a range of [7665, 7775] -Morning Straddle is 41 from 7637 this AM -Weekly straddle (118 pts) is [7488, 7758] -ON Volumes are 80% above average- more or less equal calls and puts; 7700 calls and 7600 puts Net Exposure (SPX) from @OptionsDepth -Pivot is 7635 -Upside Targets are 7650, 7670, 7690. 7700, 7720, 7735 -Downside Targets are 7625, 7610, 7600, 7580, 7550, 7535, 7510 Thoughts -Upside Pivot 7652; Downside Pivot 7617 -RV triggers are 7820, 7627 -Handing out 30 points with a 4.25 pt drawdown before it happened.... xitter.gq/Yam_Trades/status/2115… -Atlas as of close shows a bit of a back drop as to why some of these sells are so aggressive in mags - they carried us from August and were the safe place....

$SPY $QQQ Earnings season is off to a bang! Market Data from @ConvexValue -Volatility expectations (Term structure) towards the top of it's range into the election ;yellow = today, red = yesterday -Overnight Straddle is 49 giving us a range of [7695, 7793] -Morning Straddle is 38 from 7720 this AM -Weekly straddle (118 pts) is [7488, 7758] -ON Volumes are 60% above average- 20% more calls than puts; 7800 calls and 7700 puts Net Exposure (SPX) from @OptionsDepth -Pivot is 7730 -Upside Targets are 7750, 7775, 7785, 7795, 7825 -Downside Targets are 7710, 7695, 7665, 7640, 7625 Thoughts -Upside Pivot 7737; Downside Pivot 7687 -RV triggers are 7,847, 7,650

The discussion on breadth is all the rage But what does this actually mean? Created this "Atlas" view of top 10 vs other 490. It's incredible to see how the market has performed since 07/31. Source: CV Forge from @ConvexValue

$SPY $QQQ Positioning can swing both ways - be careful out there playing FOMC; small overnight win (closed it before this final ramp) Market Data from @ConvexValue -Volatility expectations (Term structure) towards the top of it's range ;yellow = today, red = yesterday -Overnight Straddle is 47 giving us a range of [7665, 7770] -Weekly straddle (118 pts) is [7488, 7758] -ON Volumes are 30% below average- equal calls and puts; 7800 calls and 7720 puts Net Exposure (SPX) from @OptionsDepth -Pivot is 7725 -Upside Targets are 7750 (Gap at 7756), 7775, 7800, 7825 -Downside Targets are 7705, 7690, 7660, 7640, 7610, 7590. 7575 Thoughts -Upside Pivot 7763; Downside Pivot 7697 -RV triggers are 7822, 7629 -I sit out until FOMC presser is complete barring an A+ setup (spreads are your friends with IV crush)