The Ni's Trading Journal

Trading Journals
72

Why do you expect the post-opex drop? I’m just curious. I’m trying to get better at playing opex week and after. So far, I’ve been pretty bad at predicting the movement

73

Fair question! It’s primarily because there are a TON of calls that are ITM right now, thanks to the recent run. MMs are hedged long accordingly. On the other side of opex, once these options expire, there is no need to hedge anymore, so they will liquidate these long positions. The selling should put downward pressure. It’s similar to what happened in May too, but the effect lasted 3 days only.

By the way, the argument is inverted for the pre-opex period, where all that results in a bullish impulse, as detailed here at the beginning of the month: SPX Tech Anal: Will "Sell in May and go away" come true again, or should bears give it a rest? - #11 by The_Ni

Vol is low these days though, so the amount of hedging is not as much as it used to be, and so the impact of MMs is also not as pronounced.image

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74

Generally spreaking, have found these opex dates to be good potential pivot points. It doesn’t work to the dot beacuse everyone is front running it, but the flows are still so large that they do tend to end up moving the market somewhat.image

75

Thanks!

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76

Got the following:

  • 6/23 (8DTE) 4360P/4350P SPX bearish put spreads for $1.25 - on expectation that post-opex dehedging adjustment will bring us down about 1% sometime mid-next week.
  • 6/30 (15DTE) 4335P/4325P SPX beariish put spreads for $1.25 - on possibility that the adjustment converts into a correction and ends the month where the JPM collar strike is, which is at 4320.

Relatively small positions, because:

  • This is going against a strong trend.
  • Similar previous plays listed above have not worked out so far, and will likely expire worthless in 2 weeks.
  • This is primarily based on the option-based positional analysis, and secondarily based on the fact that markets are overextended by most metrics.

Possibly an error not to embrace the bull run, but I just can’t yet, with a chart that looks like this:

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77

Closed these out for $3.35 (+168%). Post opex de-hedging effect should be done by today.

78

Closed these for $3.10 (+148%).

SPX gapped down again at open. Closer we get to the 4320 JPM collar strike, the more it works like a magnet. If SPX closes higher than it opened, will likely get puts at the end of day again.

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79

This got filled around 3pm today:

Reasons for being bullish into next week:

  • We are close to the JPM collar strike of 4320 (closed at 4348). That should act as strong support next week, and so we could skim off its surface and higher, after a Mon test.
  • End of quarter flows. Granted, most funds have been at it for a bit and not all of them are necessarily long, but still, we can expect some support from those rebalances this last week of the month and quarter.
  • VIX seems quite nonchalant through this 2% drop this week. Reading that as normal pullback from overextended levels, on top of de-hedging flows, and not market starting to get nervous.

Reasons this may not work out:

  • The 4320 strike could end up being strong magnet and smother movement next week.
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80

Closed this out for $1.00 (+100%). Not sure why market is running today, but good enough returns to close this out.

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81

And … topped up on even more of these for $0.50.

The world better not have absolute peace for the next three months. As it is, getting closer to expiration and even rolling is gonna get expensive.

Current wt. avg. price is $0.79.

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82

You could use something like $SVOL to hedge this in case there is absolute peace.

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83

Thank you for this advice, @notmisa ! Have gotten a chunk of $SVIX as a hedge. $28.18 buy, $25 stop.

Looks like there is no fear in the markets, and VIX could go to 12 or lower over the summer. At least into vixpiration on July 19th.

Chose SVIX over SVOL because SVIX seems to be running more, even as VIX slowly bleeds down.

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84

Expecting TSM to correct somewhat after 7/20 earnings, so initiated small positions today:

Choice of the strikes are based on this $90-$97 gap (ignoring the wick…):

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Keeping size small because there is no margin for error as the options expire the next day. This will work well whe TSM adds color to previous negative guidance, or will go to $0 as it confirms market sentiment. Thus, treating as lotto.

Got it this early because IV is still low enough - has not spiked pre-earnings, like it will. So feels like getting as decent a price as I would one week out, with IV around 50% vs 35% like now.

85

Got the following:

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86

This little sh*t that is an embarassment of a company went up 60%+, so couldn’t not help get some puts:

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87

Given that we are expecting minimal rate rises over the next few months, followed by a plateau, TLT shouldn’t fall much more. On the other hand, if something breaks badly, Fed may be forced to cut rates fast in Q1 or Q2 of 2024.

Hence, grabbed some of the following:

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To reiterate, these are hedges if bad things happen. As of now, I expect them to expire worthless.

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88

Sold these:

Betting SPX closes the gap by the end of the day. Worst case scenario, I lose $0.20 per contract.

End-of-day Edit: RIP - paid the market gods the $0.20 per. Was a bust.

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89

Picked up this lotto position for Monday, in case the dump at the end of the day today was a false alarm =P

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90

And this, last minute, just in case the dump was a precursor to something going bump over the weekend!

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91

RIP.

Market decided to thread this needle perfectly and remain within 10 points of 4400. :grimacing: Also, they were for today, not 7/11 - wrote that wrong.

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