Auction Market Theory Utilizing Market/Volume Profiling.
Chicago
Joined January 2009
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RinoTaglia retweeted
I read this somewhere and couldn't be more true 👇
If Trump was going to destroy America, he would have done it in his first term.
If Kamala Harris was going to help America, she would have done at least something these past 3.5 years.
RinoTaglia retweeted
Good Morning! If you ever had doubts about the power of option hedging, yesterday should have shed them.
The day started with an equity selloff, likely catalyzed by a recalibration of SOFR futures to express the higher likelihood of a 25bps FOMC rate cut instead of the 50bps that some were hoping for. We even dipped below the 0DTE LIS for a minute before a rapid and sharp recovery that closed 150 points off the lows and up 58 points on the day in $SPX. While I was saying we would bounce all day, and Volland was flashing it, the magnitude of that rise was even more than I anticipated... but helps with the 5650 overvixed signal that is now 95 points away.
Despite the bullish overvixed signal, I will be closing my bullish bets before FOMC. This is because dealer aggregate vanna is dropping like a rock, as I said could happen 2 weeks ago. We went from a peak of $30B notional down to $20B in less than a week, and as of now are looking at $10B after Sept. opex. Further, there is no put support after opex either. We are set up for a major vol event sometime after Sept. opex (not necessarily the day after)
Agg vanna is a strong leading indicator, probably the most actionable metric in Volland for swing trading. The stats and reasoning are too long to explain here, but can join the discord and watch the vanna video for more details. In short, vanna is where you identify future hedging, not gamma.
RinoTaglia retweeted
'VIX Options Are Simply Broken': Nomura Questions Dealers' Positioning Versus "Economic Landing Path" Tensions zerohedge.com/markets/vix-op…
RinoTaglia retweeted
Predictive Analytic Models (PAM)
Navigating The S&P 500's Calendar: Uncovering Seasonal Trends In Market Performance
Full article at Seeking Alpha: (NO PAYWALL)
seekingalpha.com/instablog/9…
The study, aptly titled "We Are In The Middle Of A Rough Patch," highlights the market's tendency to experience turbulence during specific periods of the year. Most notably, February and the latter half of September stand out as particularly challenging months for the S&P 500 (red boxes).
September, long known as a difficult month for stocks, lives up to its reputation in this data set. While the month begins on a positive note with a 0.11% average gain, it takes a decisive turn for the worse in its latter half. The 26th trading day of September, for instance, shows an average decline of -0.20%, underscoring the month's reputation for volatility.
However, it's not all gloom on the stock market calendar. The data reveals several bright spots throughout the year:
November shows consistent strength, particularly in its second half, with several days averaging gains above 0.25%.
December, despite some mid-month weakness, often finishes strong, supporting the notion of a "Santa Claus rally."
RinoTaglia retweeted
While all eyes are on the better than expected Retail Sales (never mind ex auto was weaker than expected and headline was revised lower)....Philly Fed is another disastrous report. activity -20pts, prices paid up prices received down. hiring implodes. buy the dip at your own risk.
RinoTaglia retweeted
With the $VIX back below 20 it's interesting to consider what would happen to option implied vols and gamma if the PPI and CPI are not massively market moving.
Not a lot of people had time to buy options with VIX above 50, but plenty of options were bought with VIX above 30. With monthly expiry coming and a lot of the mega earnings out of the way, a $VIX going from 60 to the teens in a matter of days could start to feel like a flood of option sellers into Friday's close potentially loading market makers with gamma in the short term, at IV levels that would have seemed impossible a few days ago, but that is STILL kinda high historically.
Right now IV into Friday is 21 in $SPX, pricing in about a 1.7% move for the week. PPI and/or CPI surprises could get the market moving again, at which point 21iv would seem fair to cheap. But if they don't see susprises, we could see a market loaded with gamma and fast short duration IV collapse into Friday.
RinoTaglia retweeted
DEALER HEDGING DYNAMICS
Aug'24 5-Day OPEX Boot Camp
starts tomorrow after the close
You know the drill-
We'll randomly comp 3 people who
LIKE/FOLLOW/RETWEET this
with free product & Q&A access
**(this means keep your DMs open!)**
What to expect:
New videos daily
Group chat available 24/7
Access to premarket calls all week
Special OPEX-eve expiration preview and Q&A
LIVE Bonus Friday Session for trade walkthroughs
Replays available for all registrants.
Register here:
volsignals.com/offers/AfKyJF…
Want a taste of what we'll cover?
Check out the July GEX webinar & AM calls:
volsignals.com/volsignals-tg…
Monday | Reception
**************************
Day 1 is all about *understanding why we're here*
⚪ INTRO / PHILOSOPHY / ETHICS
⚪ BRIEFING: Option dealers & Market Makers as dynamic hedgers
⚪ BRIEFING: Delta
⚪ OSINT: Trade-level vs. dynamic impacts
Tuesday | Skills Proficiency
************************************
In Day 2 we drill dynamic hedging with Gamma
🟡 SKILL DEVELOPMENT: Gamma
🟡 TRAINING: Gamma at portfolio level
🟡 FIELDCRAFT: Evolution of gamma by spot level
🟡 FIELDCRAFT: Evolution of gamma intraday
🟡 READINESS: Anticipating market impact of hedging flows
Wednesday | Intelligence
********************************
In Day 3 we drill dynamic hedging via Charm & Vanna and evaluate dealer risk profiles
🟢 TRAINING: Charm
🟢 TRAINING: Vanna
🟢 SKILLS DEVELOPMENT: Risk Profiles
Thursday | Intelligence
******************************
In Day 4 we *evaluate the tools* available to understand dealer positioning
🔵 OSINT: Naive GEX
🔵 SIGINT: Estimating dealer OI via trade analysis
🔵 COUNTERINTELLIGENCE: Constructing dealer OI properly
🔵INTELLIGENCE: OPEX Preview
Friday | Rehearsal
***********************
On Day 5 we wrap up with a debriefing and send you into combat armed with tactics, tools and options for advancement
🟠 DEBRIEFING: Recapping our training
🟠 DEPLOY: Release Q&A + Opex Preview replays
🟠 DEPLOY: Release cheat-sheets & infographics
🟠 FIELDCRAFT: Final Video - 96 minutes of GEX profile walkthroughs and trade ideas to drill every conceivable profile
🟠 DEPLOYMENT: FINAL SENDOFF
volsignals.com/offers/AfKyJF…
Questions? Ask
All previous recruits will have access to this August Boot Camp and premarket calls. Look for announcements in your VolSignals app or product portal
...see you guys soon
RinoTaglia retweeted
"Even if there is no recession, volatility in markets can last for a while. Our analysis of past volatility bouts shows that equities take 4-5 weeks, on average, before a sustained recovery begins."
@andrea_cicione @TS_Lombard
RinoTaglia retweeted
Momentum stocks tend to... lose momentum in August: topdowncharts.com/post/s-p-5…
RinoTaglia retweeted
We're still not in "tail-event" territory, with the VIX remaining in the twenties. But, keep in mind that larger volatility-targeting/control funds have deleveraging triggers around the 30 level.
RinoTaglia retweeted
I recall a stat from 2016 ""Since 1990 when the $SPX has lost more than 1.5% on a Friday, Monday saw a lower low 87 / 91 times. 95.6%.". I've not seen an update of those numbers but I know it failed at least once in 2018
RinoTaglia retweeted
Interesting point about employment from the WSJ,
"But the jump in the unemployment rate was from more people looking for jobs, rather than people losing their jobs. The labor-force participation rate, the share of working-age people who were employed or seeking work, rose to 62.7% from 62.6% in June. Absent the increase in participation, the unemployment rate would have stayed at 4.1%."
RinoTaglia retweeted
VIP Mentorship >> Registration ends tonight
Follow, like & retweet...
2 random free entries drawn at 9:00 PM ET
think: "GEX plus everything else about options"
How do volatility markets work, from the lens of a practitioner?
Flows and positions you need to be aware of in the options markets...
How do dealer hedging flows influence price and volatility?
Nuts and bolts of market making,
a look👀at actual trades and flows, walkthroughs... live vicariously through your favorite market moments etc.
and I'll be doing regular morning calls this time around.
More condensed, more community, more interaction- and it looks like more volatility, to boot.
volsignals.com/vip-mentorshi… for details
volsignals.com/offers/gv6UMr… to sign-up
or DM me
If the cost is prohibitive, but you have *time* and a willingness to help with admin / light editing?
reach out!
Cheers 🥂
and see you in chat tonight
RinoTaglia retweeted
#ES_F Interesting "Morgan Stanley to inst clients on Thursday that computer-driven macro hedge fund strategies on Wed sold 20bln in equities and are set to shed at least 25bln over next week after the stock rout, in one of the largest risk-unwinding events in a decade: Reuters"
