VolSignals / Trading Closed: Return to Mean

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Server: VolSignals.com
Channel: Intraday Trading with RTM 🔐 / VS + TC Stream: Return to Mean
After: 12/10/2024 12:00 AM
Before: 12/11/2024 12:00 AM
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[12/10/2024 9:30 AM] tradingclosed
morning all!!

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[12/10/2024 9:31 AM] tradingclosed
just a small admin update:

we now have the #signals-commentary room. VolS and i will use that as 'clean feed' that only has his and I's updates and commentaries on the signals

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[12/10/2024 9:33 AM] tradingclosed
this way, if anyone wants a clean feeds of just those. or new folks want to look back over previous days' flows. or even if you're out for a bit and won't to rejoin without having to scroll too much, you will have that channel to go to

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[12/10/2024 9:34 AM] volsignals.com
gm @RTM 🔐 and welcome to the new trial members

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[12/10/2024 9:34 AM] thescotth
will this feed have you and Vols commentary as well?

[12/10/2024 9:35 AM] tradingclosed
good question. and yes - i will paste it in both places

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[12/10/2024 9:35 AM] volsignals.com
indeed ~ whenever you want to reply to something or have a question about something we post, just copy the message link for context (or screenshot) and continue your thought in this chat here

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[12/10/2024 9:43 AM] tradingclosed
ok. so feed up

[12/10/2024 9:44 AM] tradingclosed
no balance yet, but we are pretty close to my baseline of total trades. (they were VERY quiet in europe overnight. but we have started off ok-ish here)

[12/10/2024 9:45 AM] tradingclosed
nearly there on a balance

[12/10/2024 9:46 AM] tradingclosed
yep

[12/10/2024 9:46 AM] tradingclosed
first one of the day

[12/10/2024 9:48 AM] tradingclosed
**FIRST BOX PRINT AT

ES: 6068.50 // SPX: $6057.50**

[12/10/2024 9:49 AM] tradingclosed
*pretty strong print for this time of the day. a few of the OTC swaps are still deathly quiet, so it won't 'clear the hurdle' for a line. but was a good one nonetheless*

[12/10/2024 9:50 AM] miseseconomic
Morning

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[12/10/2024 9:58 AM] miseseconomic
Could we please get another box print

[12/10/2024 9:59 AM] larryseruma
i cant see trading screen, is that up

[12/10/2024 9:59 AM] larryseruma
just got it - thx

[12/10/2024 10:00 AM] miseseconomic
Seriously 😂 @dlandfurd

[12/10/2024 10:01 AM] tradingclosed
**BOX PRINT AT

ES: 6068 // SPX: $6057**

[12/10/2024 10:01 AM] tradingclosed
*now two at, essentially, the same level*

[12/10/2024 10:02 AM] tradingclosed
*so... yeah... i guess that first one was pretty strong*

[12/10/2024 10:02 AM] tradingclosed
clearly in Chop Mode...FOR NOW

[12/10/2024 10:03 AM] tradingclosed
waiting for box prints away from this area now

[12/10/2024 10:05 AM] tradingclosed
once again for the newer folk - the knock knock alert can be thought of as a soft signal

[12/10/2024 10:05 AM] tradingclosed
some of the folks like them cause it allows them to keep a tab open and it works as a little audio clue that something may be happening

[12/10/2024 10:06 AM] tradingclosed
but, like all soft signals, i would wait for the confirmation of the blue boxes and/or lines to confrim strength of signal

[12/10/2024 10:08 AM] tradingclosed
**FIRST HIGHER BOX PRINT AT

ES: 6070 // SPX: $6059**

[12/10/2024 10:09 AM] tradingclosed
*only a couple of points higher. and the first of the day. so we consider that a lower confidence entry of TREND UP.*

[12/10/2024 10:09 AM] tradingclosed
you could enter here if you have other signals leaning you up or you risk profile is such that you take the lower confidence entries

[12/10/2024 10:10 AM] tradingclosed
my risk profile is to wait for another higher Box to confirm trend

[12/10/2024 10:10 AM] tradingclosed
especially when they print so close to each other

[12/10/2024 10:16 AM] tradingclosed
we've had a few little nibbles from ETF AP's

[12/10/2024 10:16 AM] tradingclosed
could be euro but also could be US based ones. it's a bit early to guess with high confidence it is Euro desks closing out for the day

[12/10/2024 10:17 AM] tradingclosed
they appear to be buying. but in amounts that, for now, won't really move the market...

[12/10/2024 10:17 AM] tradingclosed
(obviously, there is other flow out there who could move the market. don't lose sight off that)

[12/10/2024 10:19 AM] volsignals.com
A combination of factors here are changing the path implied by the hedging of the dealer positions for the time being:

(i) As I predicted in the morning meeting- the largest inventory below spot levels did move.

**Why it matters:**

*The position had outsized everything around it- and being below the money, but within range, the hedging flows associated with it would have increasingly compelled a grind lower towards $6035*

Without it, those **decay flows are no longer a drag on index behavior through the afternoon lull**

(ii) ...additionally, the $6075-80 CS has evolved into a greater volume of dealer longs on the $6075 strike, and the shorts on the $6080 strike coming from the customer short Iron Condor, have been reduced as well.

**Positions on both sides of $6050 have evolved in such a way as to open up a path higher >> $6075 >> through the session**

***All that having been said- I do not lean extensively on the dealer profile for the first two hours, for two reasons:***
***-Other flows are greater during this period = more noise & potential divergence from implied path***
***-Hedging influence arising out of 0DTE positions are technically weakest at the open, gradually increasing in strength into the close***

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[12/10/2024 10:19 AM] volsignals.com
just when I thought I was getting accustomed to the $cash indicator; missed it on the option strikes

[12/10/2024 10:21 AM] volsignals.com
Prescription at the moment = contained range, weak bullish trend, target $6075

[12/10/2024 10:22 AM] volsignals.com
for context, the flows compelling the drift are only about 10-20% of what we'd have seen yesterday. Not a strong tell here and we are at risk of slipping into less supportive ranges rather easily

[12/10/2024 10:22 AM] jacob830.
The SPX/ES differentiators may be something you need to remind new people of as you allow them in here.

[12/10/2024 10:24 AM] jacob830.
This may have been answered previously but I don't remember. When is the earliest you can reasonably expect the strongest morning print?

[12/10/2024 10:25 AM] tradingclosed
any time from 9am

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[12/10/2024 10:26 AM] gary0141_95703
prior to NY open?

[12/10/2024 10:26 AM] tradingclosed
so all our charts and times are in Chicago timezone

[12/10/2024 10:26 AM] tradingclosed
9am Chicago is 30 min after cash open

[12/10/2024 10:26 AM] gary0141_95703
ahhhh...ok

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[12/10/2024 10:27 AM] tradingclosed
all good! it's a good question! good thing to clarify !

[12/10/2024 10:27 AM] tradingclosed
ok... still waiting for my higher confidence second higher box... IF we are going to get it that is

[12/10/2024 10:29 AM] tradingclosed
generally, this is about when one would expect the euro-based ETF APs to wake up... so hopefully we start to see them... ususally from 9:45 there should be at least a few

[12/10/2024 10:32 AM] tradingclosed
ok. APs have arrived

[12/10/2024 10:32 AM] dlandfurd
lol

[12/10/2024 10:33 AM] tradingclosed
these do seem like the Euro boys and girls

[12/10/2024 10:33 AM] tradingclosed
i think it's likely we move a little here

[12/10/2024 10:34 AM] tradingclosed
they haven't traded anywhere near the size they traded yesterday, but let's see if they add more

(they were selling yesterday. but it kinda looks like buying today)

[12/10/2024 10:35 AM] tradingclosed
and as i type that, index does move up. so yeah - looks like they may be buying stocks here

[12/10/2024 10:37 AM] tradingclosed
colour commentary: (this is where i give some info that may be less tradeable but is points of interest we are seeing )

someone just tried to trade their grouping of swaps in a way that attempts to mask if they are buyer or sellers

[12/10/2024 10:37 AM] tradingclosed
essentially, they paid a big ol' chunk of transaction fees (these swaps are expensive transaction fees. absolute rip off prices if you as me!!) just to hide their direction

[12/10/2024 10:38 AM] tradingclosed
silly behavior

[12/10/2024 10:41 AM] tradingclosed
for the new and old folks, we are about 5/10 min away from @dlandfurd posting The Meme

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[12/10/2024 10:41 AM] tradingclosed
which means: be aware of the LDN close shenanigans from 9:50-->10:30

[12/10/2024 10:43 AM] tradingclosed
heading into that period, as summary of what signals wer have so far:

we a Baised Upward. with a lower confidence entry for a long

[12/10/2024 10:44 AM] tradingclosed
we **might** be about to get a balance print here. if so, it will prob get a line (lots of lots of trades. smaller clips. but they are hitting a bunch of swaps)

[12/10/2024 10:45 AM] tradingclosed
If that does happen, i prob won't call it the STRONGEST just yet - would like to give a little more time for a potentially stronger one to appear. just given the time of the day (and how busy it can gt around now)

[12/10/2024 10:45 AM] pvpn15
just want to note that currently, Charm is showing pretty strong hedging buying flow if we are above the 6065 (6070 is a dead spot however). Pretty good contender for a pin at the 6075

Note: this is within 15mins of eod

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[12/10/2024 10:45 AM] tradingclosed
but these are all **IFs**. just trying to commentate ahead of time what you may see if there are prints

[12/10/2024 10:45 AM] tradingclosed
great! thanks! this is a great note!

[12/10/2024 10:49 AM] tradingclosed
volumes picking up again

[12/10/2024 10:51 AM] danielbonsoms
Might be a pause day today since CPI prints tomorrow

[12/10/2024 10:52 AM] silvert00
I'm looking for acceptance of ES ABOVE the pre market high of 6072.50. We had the last 15m candle close above and I'd like to see the hourly print above as well.

[12/10/2024 10:52 AM] tradingclosed
ok @dlandfurd post the meme

[12/10/2024 10:52 AM] tradingclosed
i think we are about to get a demonstration of why

[12/10/2024 10:52 AM] silvert00
When we see sustained failure of breaching the ON high then this tends to leads to test of the ON lows

[12/10/2024 10:53 AM] volsignals.com
yeah my base case would have been to recover some of the range we lost to the selling pressure associated with yesterday's late afternoon hedging.

I tend to favor the view: "why move right *before* a known unknown?"

[12/10/2024 10:54 AM] volsignals.com
good color and context-

I observe / note these things early, but I don't lean too hard on them until we are into the afternoon session

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[12/10/2024 10:54 AM] tradingclosed
fallen back to the 9:05 (most recent) box print now. testing it

[12/10/2024 11:02 AM] tradingclosed
and no support. not beat a dead horse (what freakin horrible cliche/turn of phrase ) but this is why i always recommend getting flat around this period. whilst also not trying to take too much of a lean/bias for the rest of the day off what happens in here

[12/10/2024 11:04 AM] tradingclosed
my baseline assumption - unless we get new signals - is still a bias towards grind up that could re-continue once the euro-desks have done what they need to do

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[12/10/2024 11:04 AM] volsignals.com
to be clear, I've done nothing since open

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[12/10/2024 11:04 AM] chris_e
i did / but the outcome was nothing ...lol\

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[12/10/2024 11:06 AM] tradingclosed
same... well that's not true. i DID wait for a second higher box. so, technically that's *something* ha

[12/10/2024 11:08 AM] volsignals.com
is this still meme-window time?

[12/10/2024 11:09 AM] volsignals.com
you know you found the right group when there's no explaining the memes, granted the 400 or so I have about vol trading.. lower hit rate

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[12/10/2024 11:10 AM] thescotth
London baby

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[12/10/2024 11:10 AM] tradingclosed

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https://cdn.discordapp.com/attachments/1313120562398101607/1316074679986946098/LDN_close.jpg?ex=675a624f&is=675910cf&hm=01a28096250d897703cb4ae73d01b53a640739d1c9a297600afd00b4aae9f456&

[12/10/2024 11:11 AM] tradingclosed
i think dl is away from the desk

[12/10/2024 11:11 AM] tradingclosed
so i will fill in for him

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[12/10/2024 11:11 AM] tradingclosed
i thought y'all americans threw their tea in the bay or something and then they couldn't bother you anymore???

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[12/10/2024 11:11 AM] tradingclosed
what happened??

[12/10/2024 11:11 AM] tradingclosed
cause now they get their revenge one trading day at a time......

[12/10/2024 11:13 AM] thescotth
they blew a 13-0 lead...worse choke job in history

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[12/10/2024 11:16 AM] tradingclosed
right??

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[12/10/2024 11:17 AM] tradingclosed
colour commentary:

swaps are ludicrously overpriced here

[12/10/2024 11:17 AM] tradingclosed
i wonder if they pull back in about 15

[12/10/2024 11:18 AM] tradingclosed
i think today's prices are bit more of a function of some end of year microstructure 'factors' rather than solely demand driven. but it's interesting none the less

[12/10/2024 11:18 AM] tradingclosed
tbf, we still have them on our flag. so we can't really talk

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[12/10/2024 11:18 AM] tradingclosed
https://tenor.com/view/australia-flag-gif-gif-27458159

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https://tenor.com/view/australia-flag-gif-gif-27458159
https://images-ext-1.discordapp.net/external/i7Rz2c9jONxSe6s-K1yD2WoL7m-ox009wOwjniuOK8I/https/media.tenor.com/T-ys4WJb91EAAAAe/australia-flag-gif.png

[12/10/2024 11:18 AM] tradingclosed
so silly

[12/10/2024 11:19 AM] volsignals.com
This price action is a good example of why I tend to avoid trading the opens unless I have high conviction (eg., Sep30th, Nov21st).

Flows from outside our lens (dealer hedging) are strong at the open and sometimes into the London close (11:30 EST)

Combine this with the nature of the options hedging flows:
- Yes, there are hedging footprints on the open (sometimes this makes for sizable quick wins like in the dates mentioned above)
- - but after the wider TF dealers/firms "true-up" their delta heading into / at the start of US RTH, then what we're left with is weaker ***by definition***
- Contrast this with EOD flows- yes, those are strong, too... but EOD is when the short dated option hedging flows are at their greatest.

For decay related drift, I start to look for activity to dry up into the lunch period, and look for signs of the price following its prescription- so to speak

I see us dancing on a cliff's edge with flows still range-compressing (long gamma), neutral (low, suppressive charm values) and approaching a fork sooner or later unless positioning changes:
- Above $6060, drift >> $6075
- Below $6060, drift >> $6035

Technically, the down case ($6035) would imply less realized vol on a close/close basis, given y'day's settlement, which is important for passing the baton to the *next* likely wider timeframe buyer (vol target/vol control)

[12/10/2024 11:28 AM] tradingclosed
ok. normal service should be resuming soon. i'll have post-LDN close update once we get out first few trades after it

[12/10/2024 11:29 AM] tradingclosed
it is worth noting - we still don't have our STRONGEST OF MORNING line... yesterday (and friday) it came a bit closer to 11am. so that may be on the cards again

[12/10/2024 11:32 AM] volsignals.com
suppressive flows should gear up here

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[12/10/2024 11:34 AM] thescotth
as in pushing price down or as in countertrend suppressive?

[12/10/2024 11:36 AM] volsignals.com
Passage of time here creates trend: modest / down

Intensity of passive selling graduates as spot declines or time passes & we drift sideways.

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[12/10/2024 11:37 AM] volsignals.com
not "compelling" yet for me to do much

[12/10/2024 11:38 AM] volsignals.com
I tend to hold in mind a very basic, caveman heuristic for nice round levels providing support- if only transient- whether or not the dealer profile implies it

[12/10/2024 11:38 AM] tradingclosed
@VolSignals.com - i would take this period to clearly be "No Signal" for my data. so one would think this implies your flows are going to dominate the market here

[12/10/2024 11:40 AM] tradingclosed
M Post-LDN Close summary:

consistent volumes being traded. but we are far off a balance being achieved here. some of the swaps are nearly 80bps spread from others. this is a particularly wide spread.

[12/10/2024 11:41 AM] tradingclosed
all of this is to say that, for the Swaps Data, we are 'No Signal' and that suggests that VolS's data flows will dominate here

[12/10/2024 11:43 AM] tradingclosed
@VolSignals.com is you bias (whilst not yet being compelling) for the earlier described drift down spx$6035?

[12/10/2024 11:44 AM] volsignals.com
technically yes, but I'm not compelled to trade it unless we slip underneath $6050

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[12/10/2024 11:45 AM] danielbonsoms
SPXW Dec31 6055 55 delta choking us?

[12/10/2024 11:45 AM] volsignals.com
yes and no

[12/10/2024 11:45 AM] danielbonsoms
still too much DTE?

[12/10/2024 11:46 AM] volsignals.com
too much time til expiry to be a tremendously *local*influence, although they are one of a few positions inside of a few weeks til expiry that are casting a wide and smooth "long gamma" net

[12/10/2024 11:46 AM] volsignals.com
bingo

[12/10/2024 11:46 AM] volsignals.com
it wouldn't "pin" us yet ~ their influence evolves from "range compressing", eventually to very localized pinning in the final days

[12/10/2024 11:46 AM] volsignals.com
but they have the added fun of being highly visible

[12/10/2024 11:47 AM] danielbonsoms
15 full trading sessions left in 2024

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[12/10/2024 11:48 AM] volsignals.com
I used to hate pin scenarios not only for the PNL implications of sticking the landing on your quarterly long- but also because I'd spend afternoons responding to stupid quotes from Cem et al trying cleverly offload their glue into someone else's unsuspecting hands-

"Couple hundred up, can I get the Dec regular 6000, Dec 24th 6100, DecQ 6055, Jan regular 6250 Call Condor pls, gimme a delta too, will ya.. not big, not big"

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[12/10/2024 11:48 AM] volsignals.com
my market would be "fuck off"

[12/10/2024 11:49 AM] volsignals.com
but the brokers tasked with such an absurd request wanted me to stomp it out asap

[12/10/2024 11:49 AM] volsignals.com
to keep them from wasting their time on cem's idiotic preschool shots

[12/10/2024 11:49 AM] volsignals.com
and if he ever did get a market back that was remotely in range, I"d just lift the offer in front of him the minute he squeezed

[12/10/2024 11:50 AM] volsignals.com
bc it would always be one junior trader at a firm that fits to mids and goes it blind without context

[12/10/2024 11:50 AM] volsignals.com
apologies for anyone who is a fan of le croissant

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[12/10/2024 11:50 AM] tradingclosed
STILL no balance here

[12/10/2024 11:50 AM] danielbonsoms
the Godfather of Gamma

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[12/10/2024 11:50 AM] volsignals.com
and good example of why I avoided entry

[12/10/2024 11:51 AM] volsignals.com
< meme idea >, brb

[12/10/2024 11:51 AM] tradingclosed
getting what looks like the beginnings of a arb from some desks (arb = balance being traded at). but the gap for them to close was/is huuuuge. so we'll see if they can close it

[12/10/2024 11:52 AM] tradingclosed
TO BE CLEAR - the gaps i speak of are the gaps between all the swaps. you won't see it on the index. so i'm not talking about 'closing gaps' in the way that folks who trade Volume Profiles would use that term

[12/10/2024 11:52 AM] tradingclosed
i'm simply talking about the gaps in relative vlaues across the swaps that we track

[12/10/2024 11:53 AM] pvpn15
man, it has been relatively quiet so far

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[12/10/2024 11:54 AM] kloud66g
they ain't breaking 6050 spx

[12/10/2024 11:54 AM] thescotth
patience grasshopper

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[12/10/2024 11:54 AM] tradingclosed
yep

[12/10/2024 11:55 AM] tradingclosed
density of trades picking up in swaps now

[12/10/2024 11:55 AM] tradingclosed
smaller lots. but quite a few

[12/10/2024 11:55 AM] miseseconomic
Orders being filled at bid or offer?😂

[12/10/2024 11:56 AM] tradingclosed
otc trades don't have the same bid/offer mechanisms you're used to. they are voice quoted, so you can guess what was voice quoted, but,,,, then you're just guessing

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[12/10/2024 11:56 AM] miseseconomic
Ahh

[12/10/2024 11:57 AM] volsignals.com
classic playbook: dry the paint in front of number

[12/10/2024 11:57 AM] pvpn15
yup

[12/10/2024 11:57 AM] miseseconomic
@Trading Closed dreams of selling vol in this market 🤣

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[12/10/2024 11:57 AM] orleans2696
will the next month be the busiest of year for swaps: dec opex, end of year/begin year flows, jan opex

[12/10/2024 11:58 AM] tradingclosed
you mean next week?

[12/10/2024 11:59 AM] orleans2696
yes, and through jan opex

[12/10/2024 11:59 AM] tradingclosed
so, in a word "yes"

[12/10/2024 11:59 AM] tradingclosed
and in two words "Fuck Yes"

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[12/10/2024 11:59 AM] tradingclosed
Futs Roll week is always the busiest in swaps land

[12/10/2024 12:00 PM] orleans2696
thats this week

[12/10/2024 12:00 PM] tradingclosed
usually the MM's try to roll their futs this week - the week before

[12/10/2024 12:00 PM] tradingclosed
for MM's it is

[12/10/2024 12:00 PM] tradingclosed
but for the majority of the market, it they will roll after the weekend

[12/10/2024 12:02 PM] tradingclosed
there are some other factors in play at the moment that will make this Q roll even busier than other End of Year Rolls

[12/10/2024 12:03 PM] tradingclosed
but those extra volumes will end up being signal rich for us. so it's a help if anything

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[12/10/2024 12:06 PM] tradingclosed
i'm trying to find a screenshot of the last Q Pace of Roll. so show the volume distribution... one sec

[12/10/2024 12:07 PM] tradingclosed
(the cme has already shifted the tool to tracking the current Q)

[12/10/2024 12:13 PM] tradingclosed
hmmm. not the best screenshot, but this is last Q

[12/10/2024 12:13 PM] tradingclosed

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https://cdn.discordapp.com/attachments/1313120562398101607/1316090368206569472/pace_of_roll.png?ex=675a70eb&is=67591f6b&hm=0f1185fd43a6403be73c5bb5a6a96aca79c5a280072b176c88de14504e0d4a67&

[12/10/2024 12:13 PM] tradingclosed
this is from after the Wednesday (so the day before the last day of the contract)

[12/10/2024 12:14 PM] miseseconomic
How far apart are we in achieving balance?

[12/10/2024 12:14 PM] tradingclosed
as you can see, we were at 25% on the monday, and the w bumped up to 75% by the wednesday

[12/10/2024 12:14 PM] tradingclosed
still wide

[12/10/2024 12:14 PM] orleans2696
that is typical

[12/10/2024 12:14 PM] tradingclosed
correct

[12/10/2024 12:14 PM] miseseconomic
Man. Give us a print please

[12/10/2024 12:15 PM] tradingclosed
that what i wanted to share - typically we don't see most of the rolls until the days before the expiry. which would be next week

[12/10/2024 12:16 PM] orleans2696
so if you could only trade signals one week a quarter it would be next week

[12/10/2024 12:17 PM] jacob830.
@VolSignals.com when you're looking at the charm profile on OD how do you convert the value into ES buying/selling pressure? I know I've heard you talk about that I just can't remember where.

[12/10/2024 12:18 PM] tradingclosed
sorry - just to clarify: are you asking IF we think next week would be the best week to trade on our signals?

[12/10/2024 12:18 PM] orleans2696
yeah, I know its useful all the time, seems like next week is stay at terminal week

[12/10/2024 12:18 PM] pvpn15
charm map 2x
gex map 0.8x

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[12/10/2024 12:19 PM] jacob830.
Thank you

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[12/10/2024 12:20 PM] jacob830.
Every five minutes, correct?

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[12/10/2024 12:20 PM] volsignals.com
yes

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[12/10/2024 12:21 PM] tradingclosed
oh i see... well, if i could answer a little bit nuanced:

i think next week will def be 'stay at terminal' if you can. there should hopefully be a lot to trade on. but i wouldn't say Roll Weeks are exclusively the best weeks to trade on the signals. mainly because our best signals come when we can see ETF APs doing 'stuffs'. and they don't really care if it's end of contract week or not. they trade so many expiries/durations, that it's not like they bunch up at one expiry that they all need to roll anyways

[12/10/2024 12:22 PM] tradingclosed
but i would def think next week - particularly the first half - could get a little 'loose'

[12/10/2024 12:22 PM] orleans2696
rebalancing weeks must be crazy

[12/10/2024 12:24 PM] tradingclosed
well... i'll put it this way (cause i can say this now that i've stepped away) the Risk Desk at the multistrat i did some work for did ask me to not trade at that...so....ha

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[12/10/2024 12:24 PM] tradingclosed
trade at that week i mean

[12/10/2024 12:25 PM] orleans2696
how was your signals this past July/Aug with the yen wildcard

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[12/10/2024 12:25 PM] tradingclosed
yet another attempt at balance being made here. clearly. will know soon if it can be found

[12/10/2024 12:26 PM] tradingclosed
not really affected by that tbh. anything that spikes finacing rate (or crushes it i suppose) is, if anything, good for us

[12/10/2024 12:27 PM] danielbonsoms
Is it also calendars funding hedges for tomorrow creating positive gamma today and negative gamma tomorrow?

[12/10/2024 12:28 PM] silvert00
Some nice volume and flip on the bid/ask delta at the low there but need to clear 6067 ES for anything meaningful

[12/10/2024 12:29 PM] volsignals.com
against the backdrop of overall positive gamma- but yes, this is typical

[12/10/2024 12:30 PM] tradingclosed
interesting... ES was at pretty much here 6062.50 during the last attempt at balance. it seemed to 'give up' when ES was there

[12/10/2024 12:30 PM] tradingclosed
tbh - that isn't a balance mark. rather i'm just pointing it out in case that price is meaningfull to your flow

[12/10/2024 12:31 PM] tradingclosed
they were still about 20bps from balance there. (it's been REALLY wide here at poins today)

[12/10/2024 12:31 PM] .casualsurfer
20 points above or below spot?

[12/10/2024 12:32 PM] dlandfurd
let's see it print right back at the boxes from this morning

[12/10/2024 12:32 PM] tradingclosed
don't think of that spread as related to spot. it is better to think of them as annualised interest rate numbers

[12/10/2024 12:33 PM] silvert00
Long ES off the lows here but not looking for much. Maybe retest of ON high of 6071.5

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[12/10/2024 12:34 PM] tradingclosed
so.... even tho 20bps of annualised interest doesn't sound like a lot, once you factor in that the loan amounts we are talking about are often over half a yard ($500mil) and extra 0.20% of interest, over a 2 year duration is solid amount of money. especially for a Prime Broker or IB whose entire business model is collecting those little 0.10's of interest...

[12/10/2024 12:35 PM] tradingclosed
gosh this may end up a brilliant call!

[12/10/2024 12:35 PM] dogman3135
Any reason to not expect SPX / cash to get back to 6090-6100 the next few days?

[12/10/2024 12:36 PM] tradingclosed
if this Q is of me - sadly my signals are only good for Day-Of. we have done a ton of testing to see if we can get signals to forecast further than that, but that is not something we have found yet

[12/10/2024 12:37 PM] dogman3135
oh, pardon! all good

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[12/10/2024 12:37 PM] dlandfurd
Jim Cramer being bulliosh

[12/10/2024 12:37 PM] volsignals.com
approaching "escape" territory with respect to intraday passive selling flows >>

*If we climb through $6060 prepare to see price climb the stairs to $6075, else, sideways again to test $6050*

I've no strong view yet-> prefer to see $6060 hold for 15-30 minutes or > $3-4 through it, or to see $6050 break in the same fashion

[12/10/2024 12:37 PM] tradingclosed
mainly because these signals are super strong. but the quid pro quo of that is thay they go stale quicker too

[12/10/2024 12:37 PM] silvert00
I like @VolSignals.com potential 6035 level for EOD and am bidding 0.50 for the 6040 Puts as a hedge

[12/10/2024 12:37 PM] volsignals.com
this is like asking for my 2026 EPS forecast

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[12/10/2024 12:37 PM] dogman3135
haha... so interesting.

[12/10/2024 12:38 PM] tradingclosed
damn!

[12/10/2024 12:38 PM] tradingclosed
fucking wild call from @dlandfurd

[12/10/2024 12:38 PM] tradingclosed
box there at es:6068

[12/10/2024 12:38 PM] dlandfurd
lol that was a total. gut call

[12/10/2024 12:38 PM] dogman3135
I play intraday all the time, but also I look at the action yesterday / today and extrapolate what I expect of it the rest of the week too.

[12/10/2024 12:39 PM] tradingclosed
i need as few min to see if this is the strongest of the morning. need to wait for the OTC's (if there was any) to report

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[12/10/2024 12:39 PM] volsignals.com
ha you know I'm joking ~ 6100 is still an attractive point in the Dec inventory imho

[12/10/2024 12:39 PM] dogman3135
I know I'm the dweeb coming into this chat while you all have already established yourselves and what you're doing (and I can't really be in here all the time anyway just b/c I got stuff going on) but what are hte boxes?

[12/10/2024 12:39 PM] tradingclosed
i WILL put in a clsuter line tho. looking back to the morning that is three prints all at, pretty much the same level

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[12/10/2024 12:40 PM] dogman3135
yeah, also I'm just trying to figure out "why we'd sell lower" outside of just some standard EOY profit taking from pod's etc.

[12/10/2024 12:40 PM] tradingclosed
all good! here you go:

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[12/10/2024 12:40 PM] dogman3135
rock on; tyty

[12/10/2024 12:40 PM] volsignals.com
maybe you've heard of this analyst, he goes by 'Wizard'

[12/10/2024 12:41 PM] volsignals.com
he's technically the Wizard of "Vol Land"

[12/10/2024 12:41 PM] dogman3135
hahah

[12/10/2024 12:41 PM] volsignals.com
formal title I'm sure

[12/10/2024 12:41 PM] volsignals.com
I have to show you this line of thought.. I didn't know where to start

[12/10/2024 12:42 PM] dogman3135
good stuff, tyty

[12/10/2024 12:42 PM] tradingclosed
give me a sec to type the update. and then can give a bit more colour commentary here

[12/10/2024 12:46 PM] tradingclosed
**BOX PRINT AT

ES: 6067.25 // SPX: $6057**

*finalllly got a new Box Print. It is also our STRONGEST OF MORNING with the OTC data showing it was traded at across multiple swaps (which makes it easier to assume it was an atb. which is what we most looking for)*

[12/10/2024 12:46 PM] tradingclosed
so... to amswer what is pronb the first question out there: how do we view the cluster notes?

[12/10/2024 12:47 PM] tradingclosed
first thing to grokk is that the place the beige (cluster) lines are marked is way less precise than the Blue lines. they are essentially me 'eyeballing' the center mass of the cluster.

[12/10/2024 12:48 PM] tradingclosed
this here is good eg. because we now have the strongest of the morning line there (the OTC's confirm). so you can see how there is about 0.75 difference between the two lines

[12/10/2024 12:49 PM] tradingclosed
which in the grand scheme of things in nothing. so i wouldn't get too carried away with the difference. but it is a good illustration of how the cluster line is approx of the meaningful mark. and the Blue line is more meaningful

[12/10/2024 12:49 PM] tradingclosed
but, what if we only have a cluster and no blue line? how to read that?

[12/10/2024 12:50 PM] tradingclosed
so... my trading action with a cluster is "stop. get flat (if not flat already) and wait for fresh Signal Set"

[12/10/2024 12:51 PM] tradingclosed
cluster's mostly mean pause/chop. but they can also mean reversal. so i want to be positioned to take advantage of a reversal IF that is in fact what is about to happen

[12/10/2024 12:51 PM] tradingclosed
in this case, the fact that we have a STRONGEST up here suggests to me that we actually just pause for a bit

[12/10/2024 12:52 PM] danielbonsoms
Morning extends past LN close? You define as 1:00PM ET?

[12/10/2024 12:52 PM] tradingclosed
STRONGEST MORNING LINE mostly means "we Mean Revert here for a X amount of time"

[12/10/2024 12:53 PM] miseseconomic
So the next box print from here points to markets direction from strongest of morning?

[12/10/2024 12:53 PM] tradingclosed
yeah. i mean, it's still morning in Chicago. but also there was clearly a lot going on under the surface. and they didn't reach the balance until they reached it.

[12/10/2024 12:54 PM] tradingclosed
but yeah - i've never seen a morning where they didn't hit a balance before that time. which has **a lot** to do with the fact this is lunmchtime in chicago

[12/10/2024 12:54 PM] tradingclosed
however silly that may seem

[12/10/2024 12:55 PM] tradingclosed
@VolSignals.com can tell you how important Chicago Lunchtime is... despite the market supposedly open and live all day

[12/10/2024 12:55 PM] volsignals.com
for me it was crickets & cleanup

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[12/10/2024 12:55 PM] volsignals.com
peak cem quotes

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[12/10/2024 12:55 PM] tradingclosed
looool

[12/10/2024 12:55 PM] tradingclosed
literal lol'd at that one

[12/10/2024 12:58 PM] dlandfurd
observin some reversion

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[12/10/2024 12:59 PM] dogman3135
would you buy here?

[12/10/2024 12:59 PM] danielbonsoms
Yeah since we just had a strong print would we expect some mean reversion influence over the next hour or so?

[12/10/2024 12:59 PM] dogman3135
and pardon, let me reflect also that I don't typically day-trade more than 1x in a day and usually the first hour of the day is my entry.

Like, how many trades are you making intraday / typically make?

[12/10/2024 1:00 PM] dogman3135
3yr auction about to hit

[12/10/2024 1:00 PM] volsignals.com
considering a short delta trade here

[12/10/2024 1:01 PM] volsignals.com
$6045 P at $2.20

[12/10/2024 1:01 PM] volsignals.com
good r/r imo after these failed holds

[12/10/2024 1:01 PM] tradingclosed
i would. that is my base assumption

[12/10/2024 1:02 PM] tradingclosed
and i am looking for signals that would contradict that. such that i could then get a trending trade on

[12/10/2024 1:02 PM] tradingclosed
or even - depening on your risk profile - trades at us moving back up to the line here (ie - mean reverting to it)

[12/10/2024 1:03 PM] volsignals.com
let's see if I will learn a lesson in patience in real time

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[12/10/2024 1:03 PM] volsignals.com
if we mean revert despite charm flows accelerating into a heavier zone, then it will be a meme/printout for me on my desk

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[12/10/2024 1:03 PM] tradingclosed
everybody is different. because i am in here typing a bit more than i would, i'm restricted to higher confidence trades. so might only get 3 or 4 or those are day. yesterday less than that.

[12/10/2024 1:04 PM] volsignals.com
not a big trade on my end, smaller conviction than my first entry yesterday at the short side

[12/10/2024 1:04 PM] dogman3135
ok perfect, ty for that! Gives me more of an idea of frequency of signal and trading.

Do you have a set take profit expectation on entry? Is it dependent on other things?

[12/10/2024 1:05 PM] tradingclosed
yes and yes. ha

[12/10/2024 1:05 PM] tradingclosed
i tend to take profits of prints. so for eg, if i were a buyer here. (and i'm not, just cause i'd rather be patient) i would be buying on a return to the line up there. so that would be my target

[12/10/2024 1:06 PM] tradingclosed
other times i have other targets

[12/10/2024 1:06 PM] tradingclosed
personally, i try to avoid set R/R when trading delta-1. mainly because the market doesn't care if i really want 10 points or not

[12/10/2024 1:06 PM] volsignals.com
adding $6040P for $1.4

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[12/10/2024 1:07 PM] volsignals.com
still on smaller end for me

[12/10/2024 1:07 PM] volsignals.com
$6040P small enough to abandon

[12/10/2024 1:07 PM] tradingclosed
it also would be a waste of the signals if i traded at in way that ignore potential "ok - you should get out here" signals

[12/10/2024 1:07 PM] dogman3135
good info; ty

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[12/10/2024 1:08 PM] tradingclosed
of course!

[12/10/2024 1:08 PM] dogman3135
That "line up there" is just about where vwap is too.

[12/10/2024 1:09 PM] dogman3135
as far as cash market go

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[12/10/2024 1:10 PM] tradingclosed
yep. and that will happen on occasion. and it makes sense - because, depending on the market conditions of the day, the VWAP is also a form of 'balance'

[12/10/2024 1:10 PM] tradingclosed
ok..;. getting some volumes in now

[12/10/2024 1:10 PM] dogman3135
Yup! VWAP is a fun balancing act.

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[12/10/2024 1:10 PM] tradingclosed
no lean on direction, but we may be about to get a small move in the index

[12/10/2024 1:12 PM] dogman3135
I haven't paid as much attention to this chat as I should have the last week; just busy with work and a lotta singles haha.

Have your blue boxes lined up with vwap on SPX/SPY in the last few days?

Have you noted any similarirites to those prints and cash VWAP thru time?

[12/10/2024 1:15 PM] tradingclosed
sometimes yes. but mostly not. as the day goes on, it get harder and harder to move a daily vwap (because the amount of new volumes become less and less 'impactful')

[12/10/2024 1:16 PM] tradingclosed
whereas the boxes aren't tied to any such constraints. so they can print higher or lower at any point of the day without being anchored to a baseline of volume holding it back

[12/10/2024 1:17 PM] dogman3135
excellent, ty!

[12/10/2024 1:17 PM] tradingclosed
which is what a VWAP is... which is why a VWAP can be less accurate as the day goes on - because it doesn't filter out previous volume. but rather it filters it **in**

[12/10/2024 1:17 PM] tradingclosed
tbc - i love VWAPs. i think they are an important tool. but they have very serious limitations

[12/10/2024 1:18 PM] tradingclosed
like... let's say you wanted to get short here for a longer term trade. you had a lot of size to do. so you set an algo to sell at the vwap

[12/10/2024 1:18 PM] dogman3135
couldn't agree more!

[12/10/2024 1:19 PM] tradingclosed
well...you first Q needs to be "what timeframe VWAP will i use? because if it is too long a time-frame, then i run the risk of spot never seeing the mark and i don't get filled"

[12/10/2024 1:19 PM] tradingclosed
"and if it's too short a time frame, maybe i get horrible fills."

[12/10/2024 1:20 PM] dogman3135
can you define "longer term trade"?

For me, and just my experience, I only look at intraday vwap... and past the intra-day, I literally don't follow them any more.

I know many use weekly and monthly and all that, but I've never.

[12/10/2024 1:20 PM] dogman3135
yeah there you go; agreed

[12/10/2024 1:20 PM] tradingclosed
and what we believe is you could use out Boxes and Lines to set price-averages that are likely to get 'touched' and you can get filled on

[12/10/2024 1:21 PM] dogman3135
interesting!

[12/10/2024 1:21 PM] tradingclosed
sure. so let's say i want to sell 2000 ES based on some trade thesis. and i want the delta/drectional bias. so i'm not hedging.

[12/10/2024 1:21 PM] dogman3135
looking to the left at your screen here.

[12/10/2024 1:21 PM] dogman3135
would you then infer that from here we could rise to 6067ish?

[12/10/2024 1:22 PM] tradingclosed
and i plan to hold until some sorta target. say, oh for eg - NVDIA's next earnings number

[12/10/2024 1:23 PM] tradingclosed
so i would do an average sell on ES. and i'm in no enourmous rush. i'd rather take all day to get filled at a good entry. rather than blow up the book. might be good to hide my order as well by going slow

[12/10/2024 1:23 PM] tradingclosed
for now, thhis is my base line assumption

[12/10/2024 1:23 PM] dogman3135
which is 2/26/2025, so you're short 2k ESH5's

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[12/10/2024 1:23 PM] dogman3135
cool cool

[12/10/2024 1:24 PM] dogman3135
I state this to reflect that your LT holding is months sometimes.

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[12/10/2024 1:24 PM] dogman3135
on a long/short ES trade

[12/10/2024 1:24 PM] dogman3135
cool ty

[12/10/2024 1:25 PM] tradingclosed
right. or maybe the trade is "i'd like the same notional of that, but i'll use SPY's. or some sorta combo of the basket (maybe the 100 biggest components. or a imdustry mix)"

[12/10/2024 1:26 PM] tradingclosed
and i will build an algo that sells those products, but the sell trigger is when ES touches the box or line i have targeted

[12/10/2024 1:27 PM] dogman3135
interesting... so you place a 2-3 month trade but execute it based on the boxes that form intraday?

[12/10/2024 1:28 PM] tradingclosed
precisely

[12/10/2024 1:28 PM] tradingclosed
MIGHT be about to get a Mean Revert run here now? let's watch and see

[12/10/2024 1:29 PM] danielbonsoms
Strongest morning at 6,068 still relevant?

[12/10/2024 1:29 PM] tradingclosed
been pretty quite in swaps land since this

[12/10/2024 1:29 PM] tradingclosed
indeed! if we mean revert, that would be where i would expect it to stop

[12/10/2024 1:30 PM] danielbonsoms
Everyone’s still at Naya and Chipotle

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[12/10/2024 1:30 PM] tradingclosed
you may get some momentum factors that pull it a bit past there at first. but those should die off quickly

[12/10/2024 1:30 PM] tradingclosed
probably

[12/10/2024 1:30 PM] danielbonsoms
Wow, it’s like an intraday Pin

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[12/10/2024 1:30 PM] tradingclosed
GET BACK TO WORK!! TOO MUCH LUNCH EATING GOING ON

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[12/10/2024 1:35 PM] danielbonsoms
So would a common reason why we abandon MR line / strongest morning be some sort of catalyst?

[12/10/2024 1:37 PM] danielbonsoms
For example a 1pm treasury auction surprise could cause some trend ?

[12/10/2024 1:37 PM] tradingclosed
yeah. so News catalyst would be a common reason

[12/10/2024 1:37 PM] tradingclosed
yep forsure

[12/10/2024 1:38 PM] tradingclosed
or sometimes it can be "the fella in charge of the Norwegian Sovereign Fund decided he doesn't like Apple any more."

[12/10/2024 1:38 PM] tradingclosed
those ones are better for us. because those flows aren't triggered by news everyone can see. but they absolutely start to change the nature of the microstucture elements we track. so we can get a but of a heads-up when they happen

[12/10/2024 1:39 PM] tradingclosed
things like - sudden pops of rising volumes in some of the swaps. we got that yesterday - rising volumes. but sadly, we didn't get the better/clearer of leading signals:

[12/10/2024 1:40 PM] tradingclosed
descending or ascending boxes printing away from the line

[12/10/2024 1:40 PM] tradingclosed
which usually means: market is moving from Mean Revert Mode to Trending Mode

[12/10/2024 1:42 PM] tradingclosed
we haven't got any of those here. Trending Mode signals. which is why am flat and not short. because i don have anything yet that could contradict my baseline assumption that we are simply on our way back to ES: 6067.75

[12/10/2024 1:42 PM] dogman3135
do you always wait for the clear signal to enter, or do you trade anticipating either of these scenarios materialize?

[12/10/2024 1:43 PM] tradingclosed
when i am being patient and smart i choose the first option here. and when i am being impatient and wanting to be taught a lesson why being impatient is bad, I choose the second

[12/10/2024 1:43 PM] dogman3135
hahaha

[12/10/2024 1:43 PM] tradingclosed
and yes - i have been know to say "sure - why don't i choose to get taught a lesson here."

[12/10/2024 1:44 PM] dogman3135
only way to learn

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[12/10/2024 1:49 PM] miseseconomic
Might take a nap

[12/10/2024 1:50 PM] miseseconomic
This is painful

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[12/10/2024 1:52 PM] dogman3135
@Trading Closed Have you noticed anything interesting the last 2 hours of the trading day, as far as volumes / direction, etc?

[12/10/2024 1:53 PM] dogman3135
I should ask something else maybe.

Do these swap trades you monitor happen @ typical times each day?

Or are they random in nature?

[12/10/2024 1:55 PM] tradingclosed
ETF AP's waking up now again

[12/10/2024 1:55 PM] tradingclosed
chunky sizes actually

[12/10/2024 1:55 PM] danielbonsoms
2pm ET! Back from lunch!

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[12/10/2024 1:55 PM] dogman3135
Where do you see this stuff? And how do you interpret it?

[12/10/2024 1:56 PM] volsignals.com
We're still in suppressive passive flow territory- index is trying to hold the $6050 level but if we slip towards $6045 then the passive selling begins to ramp up rather quickly.

My shorts are underwater on decay but I'm looking at a break of the intraday lows to add more size to the $6040 P long

approaching "decision time" into final stretch

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[12/10/2024 1:56 PM] tradingclosed
so we talk alot about the importance of the LDN close. these times are important because this is when euro-based ETF APs need to get everything closed off for the day

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[12/10/2024 1:56 PM] tradingclosed
however silly it may seem, this is a genuine data point. and it's not a coincedence...

[12/10/2024 1:57 PM] volsignals.com
I'll follow your lead here if directional tells emerge- not convinced enough to hold in the face of strong reversion signals

[12/10/2024 1:57 PM] dogman3135
oh yeah... sorry, new to this chat but yeah... I break down each trading day by timeframes, and London Close is one of my main points of interest for flows.

[12/10/2024 1:58 PM] tradingclosed
the index should move a bit off these volumes. it's just that only about half the time can i see which direction. there are ways for them to trade the swaps that would confuse the, like, 3 people who are watching them

[12/10/2024 1:58 PM] tradingclosed
and this is one of those times where i can't tell direction

[12/10/2024 1:59 PM] dogman3135
So, when you're following the ETF AP's are you looking at swap based ETF's only? Aren't AP's just connecting MM to Advisor to create/redeem shares and AUM thru time?

[12/10/2024 1:59 PM] tradingclosed
but, using a heuristic based on notional sizes of the trades, i'd expect the index to do a little 5 point rip or rug here soon

[12/10/2024 2:00 PM] tradingclosed
but doesn't that MM then have to then purchase or dump stocks to meet that order?

[12/10/2024 2:01 PM] tradingclosed
or what if they - the AP - used synthetics (swaps) - doesn't the bank that sold the swap then have to go shopping to make sure they are flat by close?

[12/10/2024 2:01 PM] dogman3135
Last 2 hours is when higher volume / tightest spreads occur for every stock; it's when NAV based funds make their biggest moves so trading volume has slowly thru time become more and more concentrated to The Close.

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[12/10/2024 2:01 PM] volsignals.com
to be clear- the mechanical hedging flows required as the options positions decay towards 0 vol time (4 PM EST) are all *for sale* with both spot declines and the passage of time compelling an ***increase*** in the magnitude of those selling flows, pointing dimensinoally towards $6035 @ 4PM EST

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[12/10/2024 2:01 PM] danielbonsoms
Thought this was relevant, I wonder if 2pm is mostly because of FOMC rate announcement

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[12/10/2024 2:02 PM] volsignals.com
this is painful, these are probably the types of days where it's a smarter trade to buy an ITM Put or ITM -> OTM Put Spread to express a short delta bias while at least having a more favorable theta profile into the final stretch

[12/10/2024 2:02 PM] tradingclosed
and there you go... there's your 5-ish point move the volumes they traded suggests

[12/10/2024 2:04 PM] tradingclosed
usually what we see AFTER those moves is either a)more swaps being traded that suggest we continue on; or b) a pause/no more swaps being traded that suggests the trade got filled and we are back to waiting for the next signal/s

[12/10/2024 2:04 PM] tradingclosed
you don't need me to tell you whether a or b happened. spot ripping right back should tell you that

[12/10/2024 2:05 PM] tradingclosed
this is not a bad trade idea. nice structure

[12/10/2024 2:05 PM] dogman3135
So, I'm not the MM and don't have that background myself, but my experience with them is they deliver or receive in-kind the underlying components of the ETF via the create/redeem process.

So someone goes outloud and buys 1M shares of QQQ on screen offer; let's argue one MM sold it all to them (and they're short 1M shares) and they immediately hedge their book (either futures or with stock).

Then their backoffice person logs into their AP portfolio with whomever they clear thru (GS, Baml, etc) and enters in an order to in-kind create 1M shares off their prop book.

The MM will then have all those underlying components (they bot as hedge to their short QQQ) in-kind redeemed off their book to the Advisor, and they recieve 1M shares to flatten their short 1M share QQQ book.

And so they're flat and ready to trade again the next day, and Advisor to QQQ just received 1M shares worth of underlying QQQ components.

[12/10/2024 2:07 PM] dogman3135
I don't know if it's due to that in particular, or more just how the business of running money has become.

Since "everyone is marked to NAV" then if you're an index tracking fund you can't have any TE to your index; you trade MOC.

So all the volume heads that direction.

[12/10/2024 2:07 PM] tradingclosed
right and the last part of this paragraph will have some impact on spot

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[12/10/2024 2:08 PM] volsignals.com
...should get more "slippery" here

[12/10/2024 2:08 PM] danielbonsoms
Would this be a good signal that the “Strongest Morning” mean reversion mode has lost its influence?

[12/10/2024 2:08 PM] volsignals.com
but the speed of descent is killin me

[12/10/2024 2:10 PM] dogman3135
For sure!

I'm just trying to better understand the mechanics of why AP's trade swap

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[12/10/2024 2:10 PM] danielbonsoms
So it could be people are just getting back from lunch and 2pm is time to get down to business

[12/10/2024 2:11 PM] tradingclosed
well... tbc - and most folks don't know this, but.... many ETF's accept futs, right

[12/10/2024 2:11 PM] tradingclosed
State Street quietly changed their rules some time ago to do that

[12/10/2024 2:11 PM] dogman3135
well, and beyond that many are levered = trade on swap.

For sure.

[12/10/2024 2:12 PM] tradingclosed
but also they will sometimes trade them to lock in rates risk.

[12/10/2024 2:13 PM] tradingclosed
ok.. back to live commnetary here for biy

[12/10/2024 2:13 PM] tradingclosed
the super quiet day - in terms of how many prints we'd normally expects - continues

[12/10/2024 2:14 PM] danielbonsoms
I think VIX is actually down …

[12/10/2024 2:14 PM] tradingclosed
i can't really give you a reason or explanation of that. other than to say it will happen on occasion. and we take it as it comes

[12/10/2024 2:14 PM] danielbonsoms
Is spot down / vol down always this painful?

[12/10/2024 2:15 PM] tradingclosed
we are prob about 30 min away from when we start to look out for a potential STRONGEST of AFTERNOON line print

[12/10/2024 2:15 PM] tradingclosed
as we saw yesterday, we don't always get one of those. but i think they owe us one today as an aplogy for yesterday...

[12/10/2024 2:15 PM] tradingclosed
we'll see

[12/10/2024 2:17 PM] tradingclosed
as both @VolSignals.com and I alluded to in the morning - when we do get these no-signal periods on the TC stuffs, it would be smart to assume that the passive flows VolS tracks are the dominant force in the market

[12/10/2024 2:18 PM] tradingclosed
which should lead me nicely to a : hey, @VolSignals.com - wanna give us your TLDR for the last 90 min?

[12/10/2024 2:26 PM] volsignals.com
to be clear- the mechanical hedging flows required as the options positions decay towards 0 vol time (4 PM EST) are all *for sale* with both spot declines and the passage of time compelling an ***increase*** in the magnitude of those selling flows, pointing dimensinoally towards $6035 @ 4PM EST

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[12/10/2024 2:27 PM] volsignals.com
Still the same base case the way I see it

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[12/10/2024 2:29 PM] danielbonsoms
Based on -10k 0DTE position at that strike?

[12/10/2024 2:41 PM] tradingclosed
STILL no signals from my stuff. so i continue to defer to VolS

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[12/10/2024 2:42 PM] chris_e
so we Fly to 35

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[12/10/2024 2:42 PM] dlandfurd
ES just doesn't really wnna get below 50s

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[12/10/2024 2:42 PM] dlandfurd
looks like

[12/10/2024 2:43 PM] silvert00
It looks like 6050 level is increasing and pulling us higher

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[12/10/2024 2:43 PM] silvert00
This is some tough trading

[12/10/2024 2:44 PM] tradingclosed
yeah. part of me resents that ii've been standing here and flat for most of the day

[12/10/2024 2:44 PM] tradingclosed
and the other part of me is like "prob saved some chips here by not doing anything"

[12/10/2024 2:45 PM] .casualsurfer
6035 looks pretty strong

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[12/10/2024 2:47 PM] miseseconomic
Just flush it so the shorts can cover and we can move on

[12/10/2024 2:47 PM] gary0141_95703
6025 has the 10k OI

[12/10/2024 2:48 PM] orleans2696
@Trading Closed if there are strong signals at close, does that infer anything for overnight

[12/10/2024 2:49 PM] dogman3135
Can't even begin to express how much some of my best trading days have been no trading days.

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[12/10/2024 2:50 PM] tradingclosed
preach

[12/10/2024 2:50 PM] tradingclosed
sadly, not i'm afraid

[12/10/2024 2:50 PM] tradingclosed
these signals are only good for day of

[12/10/2024 2:50 PM] tradingclosed
mainly because the desk we track are all focused on being flat at the exact moment of close

[12/10/2024 2:51 PM] tradingclosed
and they treat every day as a sorta 'clean slate'

[12/10/2024 2:51 PM] danielbonsoms
@gary I’m seeing 6,035 on OD for 0DTE

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[12/10/2024 2:51 PM] silvert00
NQ breaking down as well so this should give us some momentum into 6035

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[12/10/2024 2:51 PM] miseseconomic
We don’t break soon I’m taking my ball and going home

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[12/10/2024 2:53 PM] orleans2696
@VolSignals.com gave us good trades at 1 pm ET

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[12/10/2024 2:53 PM] .casualsurfer
Quant data reports 1.3B+ dark pool money on SPY 603.65 this is what may be holding up SPX

[12/10/2024 2:56 PM] tradingclosed
seeing swaps being sold now

[12/10/2024 2:56 PM] tradingclosed
not a lot

[12/10/2024 2:56 PM] tradingclosed
but its the first bit of selling ive seen all day

[12/10/2024 2:57 PM] tradingclosed
first bit if CONSISTENT selling ive seen all day

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[12/10/2024 2:57 PM] .casualsurfer
Swap selling = shorting?

[12/10/2024 2:57 PM] dogman3135
do you infer anything of that?

[12/10/2024 2:58 PM] tradingclosed
if it were notionally bigger, i would say infer it is a potential first signal we move donw

[12/10/2024 2:58 PM] miseseconomic
Alright! I’m done for the day…taking my new chips and going home😂

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[12/10/2024 2:58 PM] tradingclosed
effectively.

[12/10/2024 2:58 PM] miseseconomic
GL everyone!

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[12/10/2024 2:58 PM] tradingclosed
good idea

[12/10/2024 2:58 PM] tradingclosed
nice patience, mate

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[12/10/2024 2:59 PM] tradingclosed
for real for real

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[12/10/2024 2:59 PM] thescotth
immediate drop to 35 incoming

[12/10/2024 2:59 PM] thescotth
😉

[12/10/2024 3:00 PM] volsignals.com
bit of a pipe dream here, but slicing through the bottom of the IC put spread would be *beautiful*

[12/10/2024 3:00 PM] tradingclosed
more selling now

[12/10/2024 3:00 PM] tradingclosed
might JUST be enough to break this line now

[12/10/2024 3:00 PM] tradingclosed
break this line down

[12/10/2024 3:00 PM] tradingclosed
would love to see some more selling of swaps tho - for continuation

[12/10/2024 3:01 PM] tradingclosed
FANTASTIC - whichever one of you lot read this and said "no probs. i'll sell a couple hundred mil of swaos" i appreciate it

[12/10/2024 3:02 PM] tradingclosed
they are selling in smaller clips. but they are DEF selling

[12/10/2024 3:02 PM] tradingclosed
in terms of balance we are well off that at the moment

[12/10/2024 3:03 PM] tradingclosed
even further off it than we were at this time yesterday

[12/10/2024 3:03 PM] tradingclosed
that is not to day the index does/doesn't move as much as it did into yesterday's close

[12/10/2024 3:04 PM] tradingclosed
i'm just pointing out that. for now, there is no indication in my data that the close is where spot is right now

[12/10/2024 3:04 PM] jacob830.
The 30/35 strikes?

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[12/10/2024 3:04 PM] tradingclosed
and yeah - there's your break. i'd love even more swap selling if possible

[12/10/2024 3:05 PM] thescotth
crush the tammy's

[12/10/2024 3:05 PM] thescotth
(IC sellllllors)

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[12/10/2024 3:06 PM] miseseconomic
Need a whoosh for the IV effect here

[12/10/2024 3:07 PM] dogman3135
This is cash SPX look but that breakdown there fell right back into the high range on 11/29.

A break below that square puts SPX negative on the month (from NOV Close of 6032.38).

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[12/10/2024 3:09 PM] tradingclosed
selling stopped for now. might start back up. but maybe the index rips up momentarily first?

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[12/10/2024 3:09 PM] danielbonsoms
This first 2 week of Dec selling is partly seasonal / tax loss weakness right?

[12/10/2024 3:09 PM] dlandfurd
I'd take a rip to 67 lol

[12/10/2024 3:09 PM] dogman3135
Daily look @ SPX near the 11/29 Close (green dashed line).

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[12/10/2024 3:09 PM] miseseconomic
Help my boi out

[12/10/2024 3:10 PM] dogman3135
And gains. Taking gains on stuff that's ripped up also.

[12/10/2024 3:10 PM] volsignals.com
painful part about moves this slow is that the premiums are so small that it's nearly impossible to run my normal strategy

[12/10/2024 3:10 PM] volsignals.com
luckily I have some intrinsic here

[12/10/2024 3:11 PM] volsignals.com
like my puts from 1 pm!

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[12/10/2024 3:11 PM] dogman3135
bro you murdered it

[12/10/2024 3:11 PM] dogman3135
nice work

[12/10/2024 3:11 PM] jacob830.
Again turned these puts into debit spreads except credit

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[12/10/2024 3:11 PM] volsignals.com
I think I was overly cautious

[12/10/2024 3:13 PM] danielbonsoms
Wow

[12/10/2024 3:13 PM] danielbonsoms
6,035 pin call was really good

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[12/10/2024 3:14 PM] volsignals.com
ok this is where it's a tough call -> I'm unwinding via some $6030 45 Put 1x2s for around $6 target exit, almost triple on entry with some added juice in case we are in a July style market regime here

[12/10/2024 3:14 PM] tradingclosed
nice call @VolSignals.com

[12/10/2024 3:14 PM] volsignals.com
iron condor gamma, it's really a bit of a joke

[12/10/2024 3:14 PM] volsignals.com
very very local, the charm influence is legitimate but the selling is not obviously charm

[12/10/2024 3:15 PM] volsignals.com
charm helping it along but perhaps we slice through

[12/10/2024 3:15 PM] billdog793
ya nice call on 6035...bot 0dte put flies earlier, sold half as we sold down have risk off, holding the second half...

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[12/10/2024 3:17 PM] dlandfurd
Does getting to ~6035 45 mins before close change ur end of day thesis @VolSignals.com

[12/10/2024 3:17 PM] volsignals.com
$6035 strike has been heavily sold in addition to the bit of IC positioning we had, that's actually pretty compelling

[12/10/2024 3:17 PM] volsignals.com
the premiums are small here though, if we get to strike I lay into it I guess

[12/10/2024 3:17 PM] volsignals.com
I converted half into $6030 P "just in case"

[12/10/2024 3:20 PM] volsignals.com
lol this is why I never wanted to do a "trading room"

[12/10/2024 3:20 PM] volsignals.com
have to now think out loud and second guess myself.. hmm

[12/10/2024 3:20 PM] tradingclosed
i find that it helps keep me patient tbh

[12/10/2024 3:20 PM] volsignals.com
the main element of the way I approach these is to cash out and leave runners with convexity- common approach I guess I just find options more "fun"

[12/10/2024 3:21 PM] volsignals.com
yeah I think that is a benefit I'm discounting

[12/10/2024 3:21 PM] volsignals.com
I was just thinking about what to do, and it occurred- premiums are small, that's not changing instantly

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[12/10/2024 3:21 PM] tradingclosed
which over varriance is +ev

[12/10/2024 3:21 PM] volsignals.com
cash out into long some "what if" tails, since the $6035 strike is large and clearly dominant here

[12/10/2024 3:22 PM] volsignals.com
I'm taking out over $20k from a net spend of roughly 6.5k and I still have contracts

[12/10/2024 3:22 PM] volsignals.com
and if you start flashing sell indications, then I can press

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[12/10/2024 3:22 PM] chris_e
Fly-ght over

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[12/10/2024 3:22 PM] tradingclosed
the colour i can add is : STILL no balance here

[12/10/2024 3:22 PM] jacob830.
nice!

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[12/10/2024 3:22 PM] volsignals.com
nailed the profile

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[12/10/2024 3:22 PM] tradingclosed
nice trade

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[12/10/2024 3:25 PM] danielbonsoms
HAHAHAHA

The fun part is that we don’t second guess and sometimes stick to your original plan!

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[12/10/2024 3:27 PM] danielbonsoms
So Cluster & Strongest Morning lines are no longer relevant ?

[12/10/2024 3:31 PM] tradingclosed
let me answer each one of those signals separate

[12/10/2024 3:31 PM] dogman3135
-1000 TICK

[12/10/2024 3:32 PM] tradingclosed
clusters can mean reversals

[12/10/2024 3:32 PM] tradingclosed

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[12/10/2024 3:32 PM] tradingclosed
that's why we get flat on them

[12/10/2024 3:32 PM] silvert00
holy smokes what a selloff

[12/10/2024 3:32 PM] tradingclosed
sadly - like yesterday, we got indications of volume. but no balance

[12/10/2024 3:32 PM] tradingclosed
so the cluster was clearly rversal

[12/10/2024 3:32 PM] billdog793
SPY down -0.4%...

[12/10/2024 3:32 PM] dogman3135

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[12/10/2024 3:33 PM] tradingclosed
but yeah the morning has DEF expired. but you dont need me to tell you that

[12/10/2024 3:33 PM] volsignals.com
Approaching $6035, our target all along- and this options position is even larger than it was coming into the day (probably thanks to some of us here in the group?)

This is where it gets interesting- the option premiums are very cheap- doesn't mean we can't move through them swiftly.

There's clearly aggregate selling going on in excess of whatever the charm implication is. Several days now where selling pressure has persisted, and this is increasingly reminiscent of July- for example. (low IV, large moves through intense long gamma profiles...eventually resulting in explosive RV)

I opened a small-ish sized position today when $6050 first felt vulnerable- I bought $6045 P for $2.20 and $6040 P for approximately $1 average for a total outlay of around $6.5k- I should have been more liberal with my trade size given

(i) lack of contradictory signals from RTM Mean Reversion / Balance indicators
(ii) strong charm flows in the "void" period where volumes dry up awaiting the closing rush-

What I'm glad I did, as I write this, was lay off the majority of the premium via 1 x 2 backspreads to the $6030 line which have a real chance of paying me off exponentially if we get a sell through the gamma-void associated with the lower half of the IC PS

House money, squared

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[12/10/2024 3:33 PM] dogman3135
SPX officially flat on the month right here.

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[12/10/2024 3:33 PM] silvert00
sorry - was referring to acceleration and volume at the bid

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[12/10/2024 3:33 PM] volsignals.com
forgot to articulate in the commentary channel 👍

[12/10/2024 3:33 PM] silvert00
big bog delta flip at the low there

[12/10/2024 3:34 PM] silvert00
closing short ES

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[12/10/2024 3:34 PM] danielbonsoms
No way, it happened

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[12/10/2024 3:35 PM] dogman3135
That was the test; nice profit take

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[12/10/2024 3:36 PM] pvpn15
that was some intense selling in the support charm wow

[12/10/2024 3:37 PM] tradingclosed
still no balance in swaps land

[12/10/2024 3:37 PM] tradingclosed
potential to go lower.

[12/10/2024 3:37 PM] pvpn15
im curious if this typically has any meaning/tell

or is it just simple as no one is interested and/or waiting for cpi?

[12/10/2024 3:37 PM] tradingclosed
at the very least, VolS flows continue to lead the way

[12/10/2024 3:37 PM] tradingclosed
it's DEF not the later

[12/10/2024 3:38 PM] pvpn15
cause of the rate implication

[12/10/2024 3:38 PM] pvpn15
i presume

[12/10/2024 3:38 PM] tradingclosed
the balance marks are non discretionary

[12/10/2024 3:38 PM] pvpn15
oh gotcha

[12/10/2024 3:38 PM] tradingclosed
kinda. if you see it as the "one day rate implication"

[12/10/2024 3:38 PM] kloud66g
prolly a cpi leak

[12/10/2024 3:39 PM] tradingclosed
meaning - IB are lending out Today's Rate (today's funding rate. not today's Fed Funds)

[12/10/2024 3:39 PM] tradingclosed
so they only have today to flatten that. otherwise they are taking risk that tomorrow's rate is higher/lower

[12/10/2024 3:39 PM] tradingclosed
which they don;t want

[12/10/2024 3:39 PM] dogman3135
I imagine they want to keep us positive on the month; some may try to "position long near NOV Close" but we'll see.

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[12/10/2024 3:39 PM] tradingclosed
so they need to flatten today.

[12/10/2024 3:40 PM] tradingclosed
now it's possible they wanted to wait for all the CPI bettooots to get their bets in (ie - borrow money to put trades on). but they still need to flatten before close

[12/10/2024 3:42 PM] silvert00
Thx @VolSignals.com for the masterclass on gamma today! We had the perfect profile to monetize.

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[12/10/2024 3:42 PM] miseseconomic
If it goes back to the blue line…😂🫠

[12/10/2024 3:43 PM] silvert00
Taking some profits and putting on a 30 wide 6K fly for tomorrow

[12/10/2024 3:43 PM] volsignals.com
I had the thought last night to suggest people keep in mind- options are timeframes, if you upscale along the cross-section of deltas towards strikes in different tenors, the positions work much the same way but more slowly than 0DTE

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[12/10/2024 3:46 PM] danielbonsoms
Truly a privilege to see it in real time, bravo 👏🏼

[12/10/2024 3:48 PM] tradingclosed
swap sellooors are back

[12/10/2024 3:48 PM] tradingclosed
bizarrely late

[12/10/2024 3:48 PM] billdog793
selling remaining put flies before MOC

[12/10/2024 3:49 PM] miseseconomic
You know what I’m gonna ask

[12/10/2024 3:49 PM] miseseconomic
Is it bizarrely late? Or TC1.0😂

[12/10/2024 3:49 PM] tradingclosed
IF it were TC 1.0, i'd be selling the 14:50

[12/10/2024 3:50 PM] miseseconomic
Sheesh lines up

[12/10/2024 3:50 PM] tradingclosed
but not because of this late swap selling. this was too late to be 'them'

[12/10/2024 3:50 PM] tradingclosed
(them is a desk we used to track in here. that disappeared a few month earlier this year)

[12/10/2024 3:51 PM] dogman3135
Just feels like a lotta grossing down into year end

[12/10/2024 3:53 PM] silvert00
Longer this goes on the more the JPM 6055 level comes into play correct?

[12/10/2024 3:53 PM] tradingclosed
NASDAQ moc in 1 min

[12/10/2024 3:54 PM] tradingclosed
watch out for bit of violence around that

[12/10/2024 3:54 PM] volsignals.com
technically yes

[12/10/2024 3:56 PM] volsignals.com
the size of the position is dominant again

[12/10/2024 3:56 PM] volsignals.com
looks like a clean pin (don't want to jinx it for you guys who are riding the symmetric fly)

[12/10/2024 4:00 PM] silvert00
so clean

[12/10/2024 4:00 PM] silvert00
and got my ES fills at the close bounce ... lovely

[12/10/2024 4:00 PM] volsignals.com
nice day there

[12/10/2024 4:00 PM] dogman3135
good job guys

[12/10/2024 4:00 PM] volsignals.com
look at this pin, $6035.02 lolol

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[12/10/2024 4:00 PM] volsignals.com
.01!

[12/10/2024 4:00 PM] tradingclosed
great job evreyone

[12/10/2024 4:00 PM] tradingclosed
screenshot to follow

[12/10/2024 4:00 PM] .casualsurfer
OMG that was incredible

[12/10/2024 4:01 PM] tradingclosed
chat stays open

[12/10/2024 4:01 PM] billdog793
left some on the table there....

[12/10/2024 4:01 PM] billdog793
lol

[12/10/2024 4:01 PM] silvert00
excellent team work - great sounding board to align all trading styles

[12/10/2024 4:02 PM] emerald009
Appreciate all the insights today!

[12/10/2024 4:03 PM] tradingclosed
screenshot

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[12/10/2024 4:03 PM] volsignals.com
$6034.91 looks to be the final?

[12/10/2024 4:03 PM] volsignals.com
that's as close as it gets

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[12/10/2024 4:03 PM] tradingclosed
legend

[12/10/2024 4:03 PM] tradingclosed
nice work

[12/10/2024 4:04 PM] tradingclosed
and a great example of how, if i have no signals, we can defer to passive signals

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[12/10/2024 4:04 PM] tradingclosed
i wouldn't have had that view if we weren't combining our stuffs... i woulda just gone for a walk... and prob eaten a kebab

[12/10/2024 4:04 PM] tradingclosed
kinda miss having the kebab tho

[12/10/2024 4:06 PM] tradingclosed
i will have a little oveview of the day typed up in a bit

[12/10/2024 4:14 PM] volsignals.com
I can't wait until we get our first Nov 22nd repeat

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[12/10/2024 4:14 PM] volsignals.com
I get a lot of people suggesting they have some signal or system and I usually respond cautiously until I can see some evidence of cause

[12/10/2024 4:15 PM] volsignals.com
and that was like a prompt:

"What's the most unlikely thing that could happen at this moment?"

"XYZ"

"XYZ is going to happen now"

"OK, I'll believe it when I-

[. . . XYZ happens. . .]

[12/10/2024 4:15 PM] volsignals.com
https://tenor.com/view/jason-momoa-chair-interested-gif-9751403

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[12/10/2024 4:16 PM] volsignals.com
let's ride...

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[12/10/2024 4:16 PM] jacob830.
I don't know if you're still planning on moving the chat over to the channel, but I personally would not be in favor. The set-up is perfect

[12/10/2024 4:17 PM] thescotth
i like the current set up as well

[12/10/2024 4:17 PM] orleans2696
me too

[12/10/2024 4:17 PM] volsignals.com
have to think about it- I lean towards not changing unless necessary, I could see the argument for both- but there may be a good solution in between like coding a message on the screenshare for a TLDR

[12/10/2024 4:18 PM] volsignals.com
day was too exciting to give it too much thought

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[12/10/2024 4:19 PM] tradingclosed
i will say... what i saw that day, wasn't THAT different to this

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[12/10/2024 4:19 PM] tradingclosed

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[12/10/2024 4:20 PM] tradingclosed
the main difference being there was a lot less selling todau

[12/10/2024 4:20 PM] tradingclosed
today

[12/10/2024 4:20 PM] tradingclosed
but they were def ramping up

[12/10/2024 4:21 PM] tradingclosed
the difference today is that this smaller selling didn't have to go **against** your flow. and because of that, they prob ended up being the wind in eachother sails

[12/10/2024 4:22 PM] dogman3135
**I asked one of my banks what they thought on the sell prog today, and their answer was this (single stock land):**

14:30:50 90% of it is momentum unwind (... See RDDT APP SPOT types)

.. Last 10% => MDB / AI / ORCL action sentiment weighing on group ... and throw in: MDB saying still no scaled AI workloads + ORCL's RPO down q/q and taking up the interest in small DCs (not just mega-projects) ..

[and, I guess, market forgetting about AI for a day and chasing Quantum. For a day]

And then CPI tomorrow, nobody wants to step in front

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[12/10/2024 4:24 PM] dogman3135
When you see the swaps trading, does it have anything to do with levered HF's de-grossing their book too?

Profit taking on momo names was biggly yesterday and a smidge of that follow thru today as well.

[12/10/2024 4:55 PM] tradingclosed
Could be. Less likely. It more likely is the aforementioned ETF AP.

BUT, the more nuanced answer is:

If it is on occasion them, the impact on the index would be the same. Because they would - effectively and reductively - closing out loans tied to equities (or rates products) with Primes/IBs. And then those Primes/IBs would need to flatten the implications of taking back the delta risk of said equities

[12/10/2024 4:56 PM] tradingclosed
Meaning, they (the primes/IBs) would need to do some selling on the tape.

[12/10/2024 4:57 PM] tradingclosed
What's different is the time pressures. They would have all day to be able to try to match the demand to new paper. But... If they are getting hit with one way flow all day (like in the eg you suggest) then they would prob wanna get going rather than wait for counter flow to magically appear

[12/10/2024 4:57 PM] tradingclosed
But again - for reasons related to which swaps traded, the combos AND the timing, what I was tracking was very clearly ETF APs

[12/10/2024 4:57 PM] dogman3135
Yeah which I feel ties together with seeing the momentum custom basket unwinds the last few days without any big -1000 TICK's which to me just reads as controlled selling (buyers strike) as grosses are reduced.

[12/10/2024 4:58 PM] dogman3135
That is interesting

[12/10/2024 4:58 PM] dogman3135
I thought I knew the ETF capital markets inside and out, but that's a portion I just didn't have awareness of.