ðĄ SPX 0DTE Trading - Nov 28â22 4025/4030 Bear Call Spread
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ðĄ SPX 0DTE Trading - Nov 28â22 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.
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In 110 (avg), Out 35
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