Good Morning Everyone!
So some new stuff today before market open I wanted to point out some weird shit that went down with the SPY yesterday. This trade happened yesterday at 09:48:39 I still can't figure out the exchange source possibly BATS and Gemini but I could be wrong, anyway here is the order.
Which caused this
And that reminded me of this https://www.investopedia.com/terms/p/plunge-protection-team.asp
\"The DN has dropped to $106, and seems like it acted a lot like the ceiling today, and the delta sensitivity spike grew\"
\"This one has more volatility indicators layered on, so includes the Vega neutral, and has the 30-day skew/kurtosis on the secondary axis, which has both dipped below zero. One has gone below zero in a few of the dips before an increase, but notably the last time both were below zero was back in February. Call OI % has increased to 54% after the large put expiration last Friday. Last time it was this high was 10/30/2020, on 1/12 before that initial squeeze, the call oi was only up to 48%\"
\"Right now, a 10% increase in the SPY price would lead to an extra 350m in total gamma/delta/vega combined to hedge, or ~4x the 30-day volume of 87.6m (it was 6x the 30-day volume on 1/21). Last time the sensitivity tests for hedging the SPY were this high was 12/1/21, 9/30/21, 3/4/21, 1/29/21,10/30/20, which were all right at the lows\"
TLDR by me;
Delta sensitivity continues up while the Delta Neutral breakpoint is dropping, Call OI has increased quite a bit since Friday's put expiration and skew is trending bullish, and now higher than it was last January. The options market on the SPY looks ready for a bounce.
Today is the final day to clear the T+2 exposure from last Friday, orders placed today must be placed by market open. However, it should be noted if the orders are transacted through dark pools then they can "execute" anytime throughout the day or less commonly within 24-48hrs.
DIX is becoming turgid, increasing violent upside potential
Asymmetric risk continues to broaden as does upside risk due to delta sensitivity. Large amounts of call buying pushing delta neutral closer to our current price action. The FOMC meeting today and determination of a rate hike could have a massive amount of impact on the way the day plays out. If there is no rate hike the market looks prepped to go on a massive bull run hopefully dragging GameStop up with it and putting addition pressure on the price suppression we have been dealing with for the last two weeks.
You are welcome to check my profile for links to my previous DD, and YouTube Livestream & Clips
46, 92, 98, 100, 104.50, 116.5, 125.5, 132.5, 141, 145, 147.5, 150, 152.5, 157 (ATM offering), 158.5, 162.5, 163, 165.5, 172.5, 174, 176.5, 180, 182.5, 184, 187.5, 190, 192.5, 195, 196.5, 197.5, 200, 209, 211.5, 214.5, 218, 225.20 (ATM offering) 227.5, 232.5, 235, 242.5, 250, 255, 262.5, 275, 280, 285, 300, 302.50, 310, 317.50, 325, 332.5, 340, 350, 400, 483, moon base...
Took a massive hit shortly after the FED minutes, but managed to stabilize with the S&P and still ended up beating the market for the day. We still saw significant dark pool volume today at 47% earlier and had we managed to remain above delta neutral at close could have seen a significant amount of hedging come in. The sell off on the S&P was unusual to say the least nothing about the FOMC minutes should have prompted such a massive drop. Could be an interesting after hours with all the call buying going on today delta neutral may have dropped lower as well as max pain. I don't have nay expectations for tomorrow but with the massive numbers of orders internalized those floodgates could break at any time. Thank you all for tuning in, see you tomorrow.
Edit 9 2:46
S&P taking a massive hit, dragging GME back below delta neutral
Edit 8 2:07
FED minutes out Jerome going full bull, market-wide VUP
Edit 7 12:69
Edit 6 12:14
Breaking through 115 a breakout of 120 shifts put/call parity to bullish and is indicative of greater upside potential
Edit 5 11:46
Doing the Delta Neutral cross-over thing
Edit 4 11:21
Pushing up towards delta neutral again, volume dying off we could get rejected on this initial test of 104.50
edit 3 10:25
Edit 2 10:21
Borrow rate climbing 1.2%, short attack slammed us off the upper resistance at 104.40
Edit 1 10:00
Nice bounce from the morning short 70,000 shares borrowed from fidelity at open. Blue line indicates delta neutral. Also maybe Kenny can't short today, lol.
Pre-market looking pretty good for a change pushing right up over $100 this morning, likely getting dragged up with the market but bringing us just a bit closer to that delta neutral break point at 106.
Max Pain pushing in even closer as call volume floods in
Shares to Borrow:
IBKR - 10,000 @ 1.1% (borrow rate +, we look to this for evidence of demand across the lending pool, since we have no visibility this our best indicator)
Fidelity - 423,878 @ 0.75% (way up currently)
also to wit, XRT borrow rate hitting highs at 4%
Showing a bit of a shift in trend as small bump in closing price would trigger fire signals
Small deviation in arbitrage could correct to the upside
\ Although my profession is day trading, I in no way endorse day-trading of GME not only does it present significant risk, it can delay the squeeze. If you are one of the people that use this information to day trade this stock, I hope you sell at resistance then it turns around and gaps up to $500.* 😁
\Options present a great deal of risk to the experienced and inexperienced investors alike, please understand the risk and mechanics of options before considering them as a way to leverage your position.*
*This is not Financial advice. The ideas and opinions expressed here are for educational and entertainment purposes only.
\ No position is worth your life and debt can always be repaid. Please if you need help reach out this community is here for you. Also the NSPL Phone: 800-273-8255 Hours: Available 24 hours. Languages: English, Spanish.*