2 Weeks until Quad Witching

2021년 12월 9일

Lots of volatility possible in between now and Quad Witching in 2 weeks.

• Thu Dec9 30-y Auction
  
• Fri Dec 10 CPI
  
• Wed Dec 15 FOMC
  
• Fri Dec 17 Quad Witching
  

The first 3 I don't think are going to cause much volatility, but it all depends on the result of each.

The Quad Witching may be a bit more predictable.

During the past 2 years, the QE+Stimulus driven markets have changed how derivatives effect market price.

A side-effect makes market indexes somewhat more predictable, particularly around OPEX (options expiry).

Most notable is the quad witching expiry days.
The third Friday of March, June, September, December

It's when stock index futures, stock index options, stock options, and single stock futures expire simultaneously.

I plotted the last 4 Quads with comments so you can see the extent of sell offs. -1.18% to -1.81%.

Sept 17 -1.39% - Sell off started after a rejecting 20D MA


June 18 - 1.81% - Sell off started 3am and continued to close. 20D MA to 50D MA


Mar 19 - 1.24% - Volatility Overnight, 9am sell off, 10am - 3pm rally, Sell off into close. Breaking and ending on 20D MA


Dec 18 - 1.20% - Overnight melt up, 9am sell off until 3pm. + %1.16 rally into close.


Buy The Dip Trend.

The Market forgets quickly. Overnight it seems sometimes.

Pepperidge Farms Remembers.

We just reentered bottom of 2yr trading channel MSM caught wind of the OPEX buy the dip trend.


VIX Structure

To help with entry of my puts / UVXY I refer to the VIX structure a week or 2 in advance.

Not Financial Advice. A 007 Trading Journal.

2021년 12월 9일

노트

30Y proved to be a sell.
CPI sounds like trouble tomorrow.
Next support seems to be 4640.
Overnight Futures may be lively.
Trade Well!