Convex Value

$SPY $QQQ What a patriotic overnight pump for Veterans day Market Data from @ConvexValue -Volatility expectations (Term structure) are slowly moving down- The market is healing; yellow = today, red = yesterday -Overnight Straddle is 50 giving us a range of [7470, 7570] -Morning Straddle is 37 from 7585 this AM -Weekly straddle (189 pts) is [7186, 7566] -ON Volumes are 40% above average; 40% more volume on calls than puts; 7600 calls and 7400 puts highest volume Net Exposure (SPX) from @OptionsDepth -Pivot is 7570 -Upside Targets are 7585, 7600, 7620, 7635, 7645, 7650, 7660 -Downside Targets are 7555, 7540, 7525, 7510, 7500 Thoughts -Upside Pivot 7628 ES (7605 SPX); Downside Pivot 7571 ES (7548 SPX)

$TLT $RKT What an amazing reversal in rates off the CPI print I remain in my $RKT position. If you want to toy with this and some other tools - here's the @ConvexValue tool I built cvforge.convexvalue.com/a/01…

$SPY $QQQ The most important inflation print of your lives Market Data from @ConvexValue -Volatility expectations (Term structure) are slowly moving down- it's a slow process;yellow = today, red = yesterday -Overnight Straddle is 60 giving us a range of [7490, 7610] -Morning Straddle is 59 from 7550 this AM -Weekly straddle (189 pts) is [7186, 7566] -ON Volumes are average; pretty much same volume on calls/puts; 7600 calls and 7500 puts Net Exposure (SPX) from @OptionsDepth -Pivot is 7540 -Upside Targets are 7565, 7575, 7600, 7615, 7635, 7650, 7670 -Downside Targets are 7525, 7510, 7495, 7475, 7465 Thoughts -Upside Pivot 7593 ES (7570 SPX); Downside Pivot 7538 ES (7515 SPX) -Holding the 8EMA looks good so far - let's see how CPI goes

$SPY $QQQ Honeypots are all the rage apparently Market Data from @ConvexValue -Volatility expectations (Term structure) are ripping ;yellow = today, red = yesterday -Overnight Straddle is 95 giving us a range of [7280, 7470] -Morning Straddle is 57 from 7360this AM -Weekly straddle (189 pts) is [7186, 7566] -ON Volumes are 65% above average; pretty much same volume on calls/puts; 7500 calls and 7300 puts Net Exposure (SPX) from @OptionsDepth -Pivot is 7375 -Upside Targets are 7390, 7410, 7425, 7450, 7465 -Downside Targets are 7355, 7335, 7325, 7310, 7295 Thoughts -Upside Pivot 7432 ES (7409 SPX); Downside Pivot 7363 ES (7340 SPX); ES Gameplan from last night posted - clean session - match positioning to those levels -7563 triggers another upside RV shock - Do think we get one in the next week or so - each day's level changes

$TLT $RKT Rate decline tables over the past 5 years isolated by 10, 15,20, 25% declines from peak to trough by duration. Orange is our current 10Y decline from 10/07. I have a few rate sensitive positions ($RKT and $XLU) and wanted to visualize how the rate declines have gone to see how it compares. Obviously each situation is different, but still.... Note - the series with sharp moves higher on rates after declines are in 2022. Just a cool graphic I created in @ConvexValue CVForge.

$SPY $QQQ Week ahead is out: yamtrades.substack.com/p/pos… Market data, Skew, Dashboards from @ConvexValue SPX and VIX positioning from @OptionsDepth Consider these graphics (limited to 4) 1) Frame the past week or so of SPX price action to the past year. 2) $QQQ Forward Skew - WOW! 3) $TLT forward skew looks stretched 4) $SMH Weekly volume - Capitulation? If the weekly posts or daily posts are helpful, please like/retweet. Realized Vol pt 7 - Does this even matter Join @tony_mansour and me on 11/19 teapawt.net/i/spaces/1nJOLQlQVZkxR… Enjoy your weekends - Back on Monday

$SPY $QQQ 3rd RV shock in a short time period yesterday.... Market Data from @ConvexValue -Volatility expectations (Term structure) are ripping ;yellow = today, red = yesterday -Overnight Straddle is 110 giving us a range of [7243, 7463] -Morning Straddle is 86 from 7360this AM -Weekly straddle (143 pts) is [7436, 7723] -ON Volumes are 50% above average-pretty much same volume on calls/puts; 7500 calls and 7300 puts Net Exposure (SPX) from @OptionsDepth -Pivot is 7340 -Upside Targets are 7355, 7380, 7410, 7435, 7450, 7475 -Downside Targets are 7325, 7310, 7275, 7245, 7210, 7200 Thoughts -Upside Pivot 7403 ES (7377 SPX); Downside Pivot 7334 ES (7306 SPX) -Darkpool activity has fallen to a 2 year low - per squeezemetrics, indicates real selling pressure with a limited MM order book; teapawt.net/SqueezeMetrics/status/…

$SPY $QQQ 2nd RV shock yesterday.... Market Data from @ConvexValue -Volatility expectations (Term structure) are collapsing post election ;yellow = today, red = yesterday -Overnight Straddle is 46 giving us a range of [7642, 7734] -Morning Straddle is 36 from 7700 this AM -Weekly straddle (143 pts) is [7436, 7723] -ON Volumes are 40% above average- 25% more put volume than call volume; 7750 calls and 7600 puts Net Exposure (SPX) from @OptionsDepth -Pivot is 7700 -Upside Targets are 7710, 7725, 7735, 7745, 7775 -Downside Targets are 7680, 7665, 7650, 7630, 7620 Thoughts -Upside Pivot 7767 ES (7740 SPX); Downside Pivot 7699 ES (7671 SPX)

$SPY $QQQ From it's so over, came we're so back Market Data from @ConvexValue -Volatility expectations (Term structure) are collapsing post election ;yellow = today, red = yesterday -Overnight Straddle is 86 giving us a range of [7482, 7670] -Morning Straddle is 50 from 7633 this AM -Weekly straddle (143 pts) is [7436, 7723] -ON Volumes are 200% above average- 10% more call volume than put volume; 7650 calls and 7400 puts Net Exposure (SPX) from @OptionsDepth -Pivot is 7620 (Same as Upside Pivot last night) -Upside Targets are 7635, 7650, 7675, 7695, 7705, 7715 -Downside Targets are 7600, 7590, 7575, 7565, 7540 Thoughts -Upside Pivot 7683 ES (7650 SPX); Downside Pivot 7613 ES (7580 SPX) -Incredible move ~Downside ES Target to Upside ES Target overnight - Entire move was just outside the straddle!

$SPY $QQQ Interesting higher lows under March 30th AVWAP on ES; Almost tagged 10/10 AVWAP on NQ Market Data from @ConvexValue -Volatility expectations (Term structure) towards the top of it's range into the election ;yellow = today, red = yesterday -Overnight Straddle is 67 giving us a range of [7514, 7646] - Spreads are your friend today -Morning Straddle is 44 from 7540 this AM -Weekly straddle (143 pts) is [7436, 7723] -ON Volumes are 30% above average- 30% more put volume than calls; 7600 calls and 7500puts Net Exposure (SPX) from @OptionsDepth -Pivot is 7535 -Upside Targets are 7550, 7570, 7596, 7605, 7615, 7630, 7660 -Downside Targets are 7520, 7495, 7475, 7450, 7435, Thoughts -Upside Pivot 7658 ES (7630 SPX); Downside Pivot 7530 ES (7500 SPX) -VIX positioning is very bifurcated for the next two weeks- monitoring this intraday

$SPY $QQQ RV Event Achieved; Care trading into and out of the election - I'd warrant some violent moves are coming in the first few days of the week as headlines come out about <insert key race> swinging one way or the other. Market Data from @ConvexValue -Volatility expectations (Term structure) towards the top of it's range into the election ;yellow = today, red = yesterday -Overnight Straddle is 66 giving us a range of [7514, 7646] -Morning Straddle is 42 from 7605this AM -Weekly straddle (143 pts) is [7436, 7723] -ON Volumes are average- more or less equal calls and puts; 7650 calls and 7580 puts Net Exposure (SPX) from @OptionsDepth -Pivot is 7610 -Upside Targets are 7630, 7640, 7660, 7675, 7685, 7700 -Downside Targets are 7600, 7585, 7575, 7560, 7545, 7530, 7515 Thoughts -Upside Pivot 7633; Downside Pivot 7590 -Generally feel like Friday's low should hold but if it doesn't, I'm watching the YTD ES AVWAP or NQ 10/10 AVWAP.

$SPY $QQQ Week ahead is out! yamtrades.substack.com/p/pos… Market data from @ConvexValue SPX and VIX positioning from @OptionsDepth 1) RV Event has finally triggered, the next week is crucial for follow-on shocks 2) QQQ 1M forward skew is quite extended 3) VIX Positioning changed quite a bit on Friday - The next 3 weeks are highlighted - consider timing of VIXEX, and events.

$SPY $QQQ Earnings season continues to impress! Market Data from @ConvexValue -Volatility expectations (Term structure) towards the top of it's range into the election ;yellow = today, red = yesterday -Overnight Straddle is 55 giving us a range of [7665, 7775] -Morning Straddle is 41 from 7637 this AM -Weekly straddle (118 pts) is [7488, 7758] -ON Volumes are 80% above average- more or less equal calls and puts; 7700 calls and 7600 puts Net Exposure (SPX) from @OptionsDepth -Pivot is 7635 -Upside Targets are 7650, 7670, 7690. 7700, 7720, 7735 -Downside Targets are 7625, 7610, 7600, 7580, 7550, 7535, 7510 Thoughts -Upside Pivot 7652; Downside Pivot 7617 -RV triggers are 7820, 7627 -Handing out 30 points with a 4.25 pt drawdown before it happened.... teapawt.net/Yam_Trades/status/2115… -Atlas as of close shows a bit of a back drop as to why some of these sells are so aggressive in mags - they carried us from August and were the safe place....

$SPY $QQQ Earnings season is off to a bang! Market Data from @ConvexValue -Volatility expectations (Term structure) towards the top of it's range into the election ;yellow = today, red = yesterday -Overnight Straddle is 49 giving us a range of [7695, 7793] -Morning Straddle is 38 from 7720 this AM -Weekly straddle (118 pts) is [7488, 7758] -ON Volumes are 60% above average- 20% more calls than puts; 7800 calls and 7700 puts Net Exposure (SPX) from @OptionsDepth -Pivot is 7730 -Upside Targets are 7750, 7775, 7785, 7795, 7825 -Downside Targets are 7710, 7695, 7665, 7640, 7625 Thoughts -Upside Pivot 7737; Downside Pivot 7687 -RV triggers are 7,847, 7,650