Updated Delta/Gamma Indicator
Updated Delta/Gamma Indicator to include the strikes for the current strategy.
You will be able to leave it blank to generate the strikes.
You can use the Indicator on ES Futures as it sources SPX and VIX directly.
I wanted to show you all the delta accumulation of JHEQX around the first 20 Days (and 20D moving average)
The accumulation of delta in the first 20 days is a fairly good leading indicator for where the rest of the quarter is going to go.
The reset of the hedge also predicts many tops and bottoms throughout the recent years.
Late 2018 & Early 2019
Negative accumulation to expiry, flipped positive, reset and accumulated just over 20D
Cause
If you zoom out and see look at the volume during the 3 weeks prior to end of quarter (quad witching) .
Effect
A lot of deltas and gamma roll off after a quad witching.
This frees up the indexes just as JHEQX gains strength 3 weeks prior to its end of month expiry.
Tiny Update (JHQTX)
The smallest and current just rejected the ITM Put. Short Squeezes if 3800 breaks.
Mamma Update (JHQDX)
Mamma is deep ITM put territory and reaching strongest effects the final 3 weeks prior to expiry.
Under 3600 gamma will flip positive (supportive).
At 14k contracts, Mamma can not bounce the titanic, but in the past quarters it finds a way to stay out of the money.
Expect Momma to try and run up to 3900 in the last 3 weeks of October.
This fits in with my idea that the next CPI will print lower and provide a short term bottom for indexes.
You will be able to leave it blank to generate the strikes.
You can use the Indicator on ES Futures as it sources SPX and VIX directly.
I wanted to show you all the delta accumulation of JHEQX around the first 20 Days (and 20D moving average)
The accumulation of delta in the first 20 days is a fairly good leading indicator for where the rest of the quarter is going to go.
The reset of the hedge also predicts many tops and bottoms throughout the recent years.
Late 2018 & Early 2019
Negative accumulation to expiry, flipped positive, reset and accumulated just over 20D
Cause
If you zoom out and see look at the volume during the 3 weeks prior to end of quarter (quad witching) .
Effect
A lot of deltas and gamma roll off after a quad witching.
This frees up the indexes just as JHEQX gains strength 3 weeks prior to its end of month expiry.
Tiny Update (JHQTX)
The smallest and current just rejected the ITM Put. Short Squeezes if 3800 breaks.
Mamma Update (JHQDX)
Mamma is deep ITM put territory and reaching strongest effects the final 3 weeks prior to expiry.
Under 3600 gamma will flip positive (supportive).
At 14k contracts, Mamma can not bounce the titanic, but in the past quarters it finds a way to stay out of the money.
Expect Momma to try and run up to 3900 in the last 3 weeks of October.
This fits in with my idea that the next CPI will print lower and provide a short term bottom for indexes.
İlgili yayınlar
Feragatname
Bilgiler ve yayınlar, TradingView tarafından sağlanan veya onaylanan finansal, yatırım, işlem veya diğer türden tavsiye veya tavsiyeler anlamına gelmez ve teşkil etmez. Kullanım Şartları'nda daha fazlasını okuyun.