Indice S&P 500Mis à jour 💡 SPX 0DTE Trading - Nov 28’22 4025/4030 Bear Call Spread
💡 SPX 0DTE Trading - Nov 28’22 4025/4030 Bear Call Spread
Credit Received: $95
The equity net short positioning is gone, but we are far from a meaningful net long. Skew has caught a bid (put demand > call demand) lately as participants have closed out equity shorts. The increase in skew suggests people are switching into hedging the downside via puts, instead of running delta 1 shorts (short stock).
In other words, in the case of a negative catalyst participant hedging may pressure markets lower and would quickly bid implied volatility. There may be a grab for some protection in the AM as participants await new data on 11/30.
Ultimately we continue to view $4,000 as fair value due to balanced gamma (calls + puts) tied to that strike and this may invoke mean reversion activity today.
If I am wrong on direction and the market rallies in the AM, I will simply convert to a butterfly. $4025 is our upside pin forecast.
Credit Received: $95
The equity net short positioning is gone, but we are far from a meaningful net long. Skew has caught a bid (put demand > call demand) lately as participants have closed out equity shorts. The increase in skew suggests people are switching into hedging the downside via puts, instead of running delta 1 shorts (short stock).
In other words, in the case of a negative catalyst participant hedging may pressure markets lower and would quickly bid implied volatility. There may be a grab for some protection in the AM as participants await new data on 11/30.
Ultimately we continue to view $4,000 as fair value due to balanced gamma (calls + puts) tied to that strike and this may invoke mean reversion activity today.
If I am wrong on direction and the market rallies in the AM, I will simply convert to a butterfly. $4025 is our upside pin forecast.
Trade fermée: cible de profit atteinte
In 110 (avg), Out 35
Clause de non-responsabilité
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Clause de non-responsabilité
Les informations et les publications ne sont pas destinées à être, et ne constituent pas, des conseils ou des recommandations en matière de finance, d'investissement, de trading ou d'autres types de conseils fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.