Setup for a return to bear country

2022년 2월 10일

I have not been able to trade/chart much lately but I wanted to make note of where we closed yesterday vs open today.

CPI running hot. almost a perfect setup for a bearish reversal leading into opex next week.

SPX just closed above the ZeroG (gamma flip) in relation to Naive Gamma.

Means dealers should be selling us lower into next week.

Get free Naive Gamma exposure levels (delayed quotes) for SPX at https://spyvsgme.com/SPX

I adjusted the algo to notional value of 1% move in SPX.

If you have been monitoring gamma levels you could see a shift back into calls over the past week as we approached zeroG.

There are only a couple more weeks until JPMs JHEQX quarterly collar.

I'm going breakdown the trade a few weeks ahead this time and try to predict if dealers need to sell or buy as the final weeks approach.