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Market Maker Gamma Profile 🧩
after slicing thru negative gamma this morning, the profile settles into a positive gamma regime. 7750-55 is a ceiling with vanna stacked up, waiting for a move in volatility. break above 7755 & look at 7770-80 as the next stop.
down below, lose 7720 & we'll be thinking about 7700-7690 & 7675 with a thick floor at 7650.
all expiry 1st pic, 0dte 2nd pic
$spy $spx
SPX Volatility Snapshot 🌊
Implied Vol Smile & ATM Term
looking at tomorrow's 0dte expiry, Put IVs have dropped from last week while Call IV's below 35 delta have risen.
at the money IV balloons into the end of this month, rising steadily above the prior week & month prints before pulling back into November opex.
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xitter.gq/realjc/status/21147655…
SPX Volatility Snapshot 🌊
IV/RV Volatility Cone
for each lookback window, the past year of that window's realized volatility is drawn as a distribution cone.
two lines sit on top: current RV (yellow-where realized vol actually is now) and current IV (purple-the interpolated implied-vol term structure — what options are pricing for each horizon). the shaded bands are the historical range of realized vol.
currently, realized vol is around normal for the 10 day window & below normal for longer-dated tenors. implied vol is pricing higher than median RV, across the cone
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xitter.gq/realjc/status/21136785…
SPX Volatility Snapshot 🌊
IV/RV Volatility Cone
for each lookback window, the past year of that window's realized volatility is drawn as a distribution cone.
two lines sit on top: current RV (yellow-where realized vol actually is now) and current IV (purple-the interpolated implied-vol term structure — what options are pricing for each horizon). the shaded bands are the historical range of realized vol.
currently, realized vol is around normal for the 10 day window & below normal for longer-dated tenors. implied vol is pricing higher than median RV, across the cone
$spy $spx
xitter.gq/realjc/status/21136785…
SPX Volatility Snapshot 🌊
Implied Move
Monday 10/26 atm IV is 11.6% with options pricing in a 1 standard deviation +/- 1.1% move from the current spot price.
7127-8152 is the end of year target range within 1 standard deviation of the current implied vol. the implied move based on 85% of the straddle is 7291-7988, or 4.6%
$spy $spx
xitter.gq/realjc/status/21122133…
Market Maker Gamma Profile 🏊
all expiry 1st pic, 0dte 2nd pic
a towering stack of negative gamma right now at 7705 from market maker 0dte Short Calls, as customers on the opposite side of that trade are Long. 7700-7710 is a vanna checkpoint with resistance above sitting in the aggregate, all-expiry profile. down below, 7680 is a big line in the sand to hold. lose it and support picks up at 7665-50.
it's a bit early in the session, so i'd say 7680 we want to hold as support and 7700-10 is a firm checkpoint that we'll think about breaking above & rally to 7720-30.
$spy $spx
xitter.gq/realjc/status/21136611…
Market Maker Gamma Profile 🎢
all expiry 1st pic, 0dte 2nd pic
currently a big ole of negative gamma above spot where market makers on the other side of customer Long Calls must hedge by adding positive deltas that will help fuel a pump higher. 7695-7705 is the target checkpoint in that scenario.
down below we want to hang onto 7650. following a break thru look to 7630-15-00 for support. lose 7600 & start to think about 7575.
$spy $spx
xitter.gq/realjc/status/21133044…
SPX Volatility Snapshot 🌊
Implied Move
Monday 10/26 atm IV is 11.6% with options pricing in a 1 standard deviation +/- 1.1% move from the current spot price.
7127-8152 is the end of year target range within 1 standard deviation of the current implied vol. the implied move based on 85% of the straddle is 7291-7988, or 4.6%
$spy $spx
xitter.gq/realjc/status/21122133…
SPX Volatility Snapshot 🌊
IV, RV & Vol of Vol
new tools shipped from @unusual_whales
here's a look at 30d trailing realized vol, 30d 1year annualized implied vol, & the 30d annualized volatility of implied volatility of SPX. more to come, but for now notice the Vol of Vol level relative to the prior year.
$spy $spx
xitter.gq/realjc/status/21100269…
Market Maker Gamma Profile 🎢
all expiry 1st pic, 0dte 2nd pic
currently a big ole of negative gamma above spot where market makers on the other side of customer Long Calls must hedge by adding positive deltas that will help fuel a pump higher. 7695-7705 is the target checkpoint in that scenario.
down below we want to hang onto 7650. following a break thru look to 7630-15-00 for support. lose 7600 & start to think about 7575.
$spy $spx
xitter.gq/realjc/status/21133044…
Market Maker Gamma Profile
all expiry 1st pic, 0dte 2nd pic
below current spot price, bunches of 0dte customer Short Puts. market makers are therefore Long Gamma on the other side of the trade and hedge the positions locally in a way that will be supportive of spot price in the event of a dip.
7645-40 is the area to watch with large piles of positive and negative gamma & vanna, ensuring a checkpoint/magnet scenario 7660 is the first line in the sand to lose. drop below 7640 & look at 7620.
overhead, break 7685 & look at 7700. 7695 & 7710-20 are the checkpoints for a rally. 7700 is fairly stout resistance, 7640 is a must hold.
$spy $spx
xitter.gq/realjc/status/21129546…
Market Maker Gamma Profile
all expiry 1st pic, 0dte 2nd pic
below current spot price, bunches of 0dte customer Short Puts. market makers are therefore Long Gamma on the other side of the trade and hedge the positions locally in a way that will be supportive of spot price in the event of a dip.
7645-40 is the area to watch with large piles of positive and negative gamma & vanna, ensuring a checkpoint/magnet scenario 7660 is the first line in the sand to lose. drop below 7640 & look at 7620.
overhead, break 7685 & look at 7700. 7695 & 7710-20 are the checkpoints for a rally. 7700 is fairly stout resistance, 7640 is a must hold.
$spy $spx
xitter.gq/realjc/status/21129546…
Market Maker Gamma Profile 🦝
all expiry 1st pic, 0dte 2nd pic
in the 0dte profile, there's a thicket of positive gamma above & below spot that will be help resisit a move in either direction. in the aggregate all expiry profile, resistance picks up at 7765 & extends up to 7780. break above & 7800 becomes the target.
down below current spot, positive gamma has been receding in the prior half hour in a precarious-looking way. if we see a flush 7750-40 & then 7725-15 are supportive checkpoints to watch. 7705-00 is a floor
$spy $spx
xitter.gq/realjc/status/21125875…
Market Maker Gamma Profile 🦝
all expiry 1st pic, 0dte 2nd pic
in the 0dte profile, there's a thicket of positive gamma above & below spot that will be help resisit a move in either direction. in the aggregate all expiry profile, resistance picks up at 7765 & extends up to 7780. break above & 7800 becomes the target.
down below current spot, positive gamma has been receding in the prior half hour in a precarious-looking way. if we see a flush 7750-40 & then 7725-15 are supportive checkpoints to watch. 7705-00 is a floor
$spy $spx
xitter.gq/realjc/status/21125875…
Market Maker Gamma Profile 🚣♂️
all expiry 1st pic, 0dte 2nd pic
overhead currently a shelf of positive gamma from market maker Long Calls requiring a theoretical hedging that adds resistive friction against a spot move higher. 7735-50 is a zone of resistance.
below spot price 7700 is a target in the event of a flush. lotsa market maker 0dte Long Puts at the strike induce hedging that will have a supportive affect on spot price. down to 7670-50 is the next zone of support if 7700-7690 fails.
$spy $spx
xitter.gq/realjc/status/21111377…
Market Maker Gamma Profile 🚣♂️
all expiry 1st pic, 0dte 2nd pic
overhead currently a shelf of positive gamma from market maker Long Calls requiring a theoretical hedging that adds resistive friction against a spot move higher. 7735-50 is a zone of resistance.
below spot price 7700 is a target in the event of a flush. lotsa market maker 0dte Long Puts at the strike induce hedging that will have a supportive affect on spot price. down to 7670-50 is the next zone of support if 7700-7690 fails.
$spy $spx
xitter.gq/realjc/status/21111377…
Market Maker Gamma Profile 🙈
all expiry 1st pic, 0dte 2nd pic
a towering spike of negative gamma stands at 7695. as spot price pushes further below, market makers will hedge their theoretical delta likely by selling futures or closing longs, thereby subtracting positive deltas & assisting the spot move lower. 7685-75 & 7660 are supportive, to the downside. however, if we get a retracement, the move higher will be assisted by the removal of negative hedging deltas at 7695; 7720-30 are a target in that scenario. break above and 7750-60 is on the docket.
$spy $spx
xitter.gq/realjc/status/21107679…
SPX Volatility Snapshot 🌊
IV, RV & Vol of Vol
new tools shipped from @unusual_whales
here's a look at 30d trailing realized vol, 30d 1year annualized implied vol, & the 30d annualized volatility of implied volatility of SPX. more to come, but for now notice the Vol of Vol level relative to the prior year.
$spy $spx
xitter.gq/realjc/status/21100269…
SPX Volatility Snapshot 🌊
1 Year Fixed Maturity IV
the 7 day IV maturity is currently below its 1 year median. the curve rises into 30 days but remains well below average. coupled with low rolling daily IV, it appears that vol is cheaper than it was & pricing a tighter range in the coming days.
$spy $spx
xitter.gq/realjc/status/21085874…
Market Maker Gamma Profile 🙈
all expiry 1st pic, 0dte 2nd pic
a towering spike of negative gamma stands at 7695. as spot price pushes further below, market makers will hedge their theoretical delta likely by selling futures or closing longs, thereby subtracting positive deltas & assisting the spot move lower. 7685-75 & 7660 are supportive, to the downside. however, if we get a retracement, the move higher will be assisted by the removal of negative hedging deltas at 7695; 7720-30 are a target in that scenario. break above and 7750-60 is on the docket.
$spy $spx
xitter.gq/realjc/status/21107679…
Market Maker Gamma Profile 🪀
all expiry 1st pic, 0dte 2nd pic
negative gamma dominated profiles today with overhead looking ripe for a squeeze, currently. i'd target 7750-60 if we see a move higher. break above & it's 7780 & then 7800. net delta flows are positive in the prior hour+. down below current spot, 7700-7685 is the zone to hold in a pullback. lose it & 7660-50 is the checkpoint.
$spy $spx
xitter.gq/realjc/status/21104105…
Market Maker Gamma Profile 🪀
all expiry 1st pic, 0dte 2nd pic
negative gamma dominated profiles today with overhead looking ripe for a squeeze, currently. i'd target 7750-60 if we see a move higher. break above & it's 7780 & then 7800. net delta flows are positive in the prior hour+. down below current spot, 7700-7685 is the zone to hold in a pullback. lose it & 7660-50 is the checkpoint.
$spy $spx
xitter.gq/realjc/status/21104105…
Market Maker Gamma Profile ☔️
all expiry 1st pic, 0dte 2nd pic
net deltas have been positive for an hour. spot price up against support, currently at 7720. 7700-7695 remains a vital buoy against a larger leg down. overhead, break 7730 & there's room to 7745-50. if we can squeeze thru 7755 there's an air pocket toward 7785-7800.
$spy $spx
xitter.gq/realjc/status/21100597…
Market Maker Gamma Profile ☔️
all expiry 1st pic, 0dte 2nd pic
net deltas have been positive for an hour. spot price up against support, currently at 7720. 7700-7695 remains a vital buoy against a larger leg down. overhead, break 7730 & there's room to 7745-50. if we can squeeze thru 7755 there's an air pocket toward 7785-7800.
$spy $spx
xitter.gq/realjc/status/21100597…
Market Maker Gamma Profile 🔬
all expiry 1st pic, 0dte 2nd pic
another day dominated by a bulge of marker maker positive gamma above & below spot price. 7800 is still the strike to watch. as spot falls below, hedging will help to buoy & prevent further downside. as spot climbs, the hedging will push against the move, curbing the rise.
push thru & 7825 is magnet with falling IV & rising spot price. to the downside, sticky strike IV mutes the negative vanna pull. if atm IV follows the spot move lower, then the negative vanna will be bearish & help push spot lower with support at 7770. 7750 is a major stallout/checkpoint.
$spy $spx
xitter.gq/realjc/status/21096905…
SPX Most Open Interest Change 🥥
the 10/30 expiry saw 10,276 Call contracts entered near the Ask side of the auction yesterday & held open overnight. similar scenario with 13,815 Put contracts at the 7500 strike, expiring on the same day.
$spy $spx
SPX Most Open Interest Change 🥞
0dte 7940 & 8040 Calls had little open interest to begin yesterday’s session, now showing a decent chunk entered in majority nearer to the Bid side of the auction for a likely credit. for tomorrow, the 7640 Put is bigly net bought, vastly entered at the Ask for a likely debit as downside protection.
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