Index MMs, Broker-Dealers and Firms (‘Dealers’) provide options liquidity to an array of market participants with idiosyncratic needs. Trades become positions when dealers are unable to recycle those options back to customers and other end-users. These positions must be dynamically delta-hedged to minimize risks associated with carrying the options. Accurate dealer positioning allows us to estimate the net of their hedging flows in advance with a few key Greeks, or option sensitivities. Each day, the current dealer position is examined, and the associated hedge profile is analyzed through the combined lenses of Gamma, Charm & Vanna. Intraday analysis is provided by a leading index market maker with over 15 years experience trading, hedging and managing large, complex positions across the universe of S&P options products. Interactions are well articulated, questions are encouraged, and trading strategies are discussed freely throughout the day.

“Magnitudes and variations in dealer Gamma enable us to anticipate realized volatility and identify spot ranges where price should slow or accelerate, increasing the likelihood of reversals. Charm flows create intraday price trends. When paired with live IV metrics (by tenor), Vanna helps identify strong reversal potential. Combining signals from all three yields real-time insight around key levels, trends, and volatility most useful for intraday scalping & spread-trading.”

At various moments throughout the trading day, these broader swaps markets ‘come into balance.’ These moments trigger Balance Marks on the Index (ES or SPX) itself. We print and display these marks on a Live feed, streamed throughout the trading day. We score these Balance Marks according to their strength (Soft, Strong, Strongest) and provide Live Commentary of the signals, helping the viewer to understand their meaning and answer any questions that newer viewers might have as they work through the natural learning process.

“These Marks provide a valuable trading edge for those looking to scalp in and out of positions on the index throughout the trading day, or for those looking to enter or exit longer term positions in a manner that allows for maximum profitability and better execution.”

Depending on the set of signals and the orders in which they print—they will indicate either: 

All of our signals print in real-time—directly onto a livestreamed TradingView chart of the active ES Futures contract.

White Bar: Soft Signal
Blue Box: Strong Signal
Blue Line: Strongest Signal (We will also add a note to the line that is the Strongest Signal of the Morning, and most days, the Strongest Signal of the Afternoon)
Beige Line: Used for notes. Often to indicate Clusters of Box Signals which have printed.

When viewing our Live Stream, it’s best to start with a baseline assumption that throughout the day, the Index is a Mean-Reverting Machine.

We discuss additional, more nuanced signals in our Live Stream as they come up. (..don’t worry about memorizing every detail)