Surprised that they let so many calls expire ITM as there was really no put interest around to prevent a fall. The question is when do we fill the gap at 825?
ES Journal Archive (2009 - 2010)
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Surprised that they let so many calls expire ITM as there was really no put interest around to prevent a fall. The question is when do we fill the gap at 825?
yes, I'm amazed we didn't sell off after expiry. I thought a lot of deltas would need to be squared off by EOD but it didn't happen.
Maybe market makers rolled their deltas by aggressively hitting bids in the option market (calls mainly) over the last 3 days.
That could be why the VIX is down more than 10% over the last 3 trading sessions.
I need to check option volumes traded over the last 3 days to confirm this and the vol surface to see whether activity was mainly in ATM or also in OTM.
Hedging strategy of market makers will be vary whether they are short ATMs and/or OTMs.
My guess is that most activity was in shorting ATM/ITM (best bet for rolling deltas) and with the expected delta bleed over the week end and lower volatility would result in unchanged/higher deltas needed to hedge the options. So no need to square off or reduce deltas.
What next? Why not push the market higher so that we hit maximum pain for longer term CTAs still short the market?
CTAs would then need to reverse or move flat lifting the market in a melt-up type situation (possibly hedged by market makers long OTM calls, hence the need to check the vol surface and volume at different strikes).
Then it would be optimal for market makers to dump their deltas in the melt-up as their short ATM deltas would be offset by the rapid increase in delta of their long OTMs.
This would work optimally in an environment where real money players stay on the sideline or buy, but would do poorly if they start selling aggressively.
So the big question is, are "they" shooting for maximum pain to be inflicted to longer term CTAs? Will real money investors stay put?
Maybe market makers rolled their deltas by aggressively hitting bids in the option market (calls mainly) over the last 3 days.
That could be why the VIX is down more than 10% over the last 3 trading sessions.
I need to check option volumes traded over the last 3 days to confirm this and the vol surface to see whether activity was mainly in ATM or also in OTM.
Hedging strategy of market makers will be vary whether they are short ATMs and/or OTMs.
My guess is that most activity was in shorting ATM/ITM (best bet for rolling deltas) and with the expected delta bleed over the week end and lower volatility would result in unchanged/higher deltas needed to hedge the options. So no need to square off or reduce deltas.
What next? Why not push the market higher so that we hit maximum pain for longer term CTAs still short the market?
CTAs would then need to reverse or move flat lifting the market in a melt-up type situation (possibly hedged by market makers long OTM calls, hence the need to check the vol surface and volume at different strikes).
Then it would be optimal for market makers to dump their deltas in the melt-up as their short ATM deltas would be offset by the rapid increase in delta of their long OTMs.
This would work optimally in an environment where real money players stay on the sideline or buy, but would do poorly if they start selling aggressively.
So the big question is, are "they" shooting for maximum pain to be inflicted to longer term CTAs? Will real money investors stay put?
That's a pretty scenario. Now if only we can make the market see eye to eye with it, and follow it to the T. The question is can will we see higher prices next week? I say we will.
First off, Star, I hope that you will break that promise. I really like to follow your calls, and as long as you clearly, sincerely state your opinion, no need to bet anything on it. I'm already sad that Pekelo dissapeared... 
Now, Friday was a dissapointment, I was short in the mid 60s hoping for a drop, and that flirt with 70-72 scared me. I got really excited seeing the NQ and YM turning south, but the ES didn't follow, or at least not as aggressively
I am also seeing a drop in the making, but am flat into the weekend.
On a longer-term view, I really hate myself for not gobbing up AMZN and GS near their lows. I don't think they'll revisit those lows in this market.
Now, Friday was a dissapointment, I was short in the mid 60s hoping for a drop, and that flirt with 70-72 scared me. I got really excited seeing the NQ and YM turning south, but the ES didn't follow, or at least not as aggressively
I am also seeing a drop in the making, but am flat into the weekend.
On a longer-term view, I really hate myself for not gobbing up AMZN and GS near their lows. I don't think they'll revisit those lows in this market.
Overlapping wedges FTW!!!
a lot of people are shorting thinking the market will turn, but they fail to understand... when the media becomes less saturated with pessimism and more saturated with rah rah ...mentality.. the market will find it hard to go down and use the short liquidity to rise higher.
the market is frontrunning... an expected turn. The world stopped falling apart for now. That itself will put back a certain amount of premium into the market.
Time dictates how much the market will rise and fall given the macro factors involved. Meaning with enough time of economic stability.. the market will rise.
the market is frontrunning... an expected turn. The world stopped falling apart for now. That itself will put back a certain amount of premium into the market.
Time dictates how much the market will rise and fall given the macro factors involved. Meaning with enough time of economic stability.. the market will rise.
Quote from Decel:
Star, I hope that you will break that promise. I really like to follow your calls,.....I'm already sad that Pekelo dissapeared...
Haven't I just posted a picture about Promises?
Anyhow I was traveling and I was also testing something. I was curious who can use my ideas when I am not around. LC gets a giant A+, congrats!
I have wanted to make a point for a long time and now this is quite an excellent opportunity. So I will share my dream, a nightmare actually:
Give a man a fish.... (yes, my dreams have titles)
Decel, who is a smart fellow, recognized, that it is possible to copy certain poster's trades, supposed that they were not scalps, detailed and are caught quickly. Thus Decel has been making good money following ST's posts. LC who is another smart fellow, recognized that occasionally there is a diamond in the desert of ET, thus he has been paying attention to what Pekelo says. He also has been making good money.
One faithful and foggy day Pekelo and ST were driving down together on a windy road, when a big truck driven by a drunk JH hit them and they were both instantly killed.
The next day Decel was waiting for the fish, I mean for the posts to come, but there were no more posts to follow. On the other hand LC, after sending flowers to Pekelo's widow, was still making good money, because he learnt how to fish, I mean how to recognize an ADU, like last Wendesday...
Anyhow, as I said it was a nightmare, because I don't like to be killed, specially in my dreams...In real life, who cares, after all, I am dead.
The moral of the dream is that one shouldn't drive in foggy conditions....
Speaking of fishing, who recognized the giant upside down dragon on the daily chart a few days back? The Failure was at 815 (on the 7th) and since the Height was 52 pts, it projected a 867 3rd top on the cash, and we sure made it to 864 in the next 3 days. I didn't post it in real time, because what if I do die one day??? (chart of it is posted in the Dragon thread)
By the way I am not against backing others' profitable trades, that is actually a smart way to make money, but one just never know how long it lasts....
long 849.75
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