Warning. This is where things start to break.

업데이트됨

Forgive quick bad chart, but I wanted to send a quick warning.

I have not had a lot of time to update the hedged equity chart for JPM but wanted to send out a warning that we are heading into more volatility below 3835.

All 3 hedged equity fund levels have breached and looking at more volatility going into Christmas holidays.

Should the storm in the US end up being as bad it seems, we could see a Christmas bloodbath in the markets.

It's expiring next week and in to its Window of Weakness.

GEX is negative to 0 gamma. Should VIX Pop back up to 30-40 we could see VEX take over.

Lots of bearish head and shoulders to look at.

TSLA

USDJPY

VIX still has plenty of room higher to go.

WFG confirm 1D head and shoulders should it close below ~97 CAD

Keep an eye on the VIX. A jump from 30-40 would be swift. At that point negative VEX will take over.
Negative VEX is the thing market crashes are made from.

노트

UVXY testing upper trend line.

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JHEQX is the expiring fund of size.

노트

JHQDX is negative triggering volatility

노트

JHQTX been mostly negative since roll.
Long put is now ITM

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The big change in Dealer flows is the 3835C going OTM.

Dealers went from buying when IV up to selling when IV up

노트

JHEQX is still positive gamma
Vix goes down, JHEQX will buy the dip

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9D VIX will have large impact on how JHEQX will expire.

노트

Quick analogy on using hedged equity positions as a market volatility indicator.

Think of the relationship between hedged equity funds/dealers.
These 3 funds/dealer positions represent the cars on a highway.
The highway is the market and has 2 directions.
This indicator tracks where each of those funds are on the highway at a given time and which direction they are travelling and how fast/slow.

Alone, these funds would not have an effect on overall markets, but due to the size and popularity of tracking them has grown over the years, more cars (funds) are getting on the highway at the same time & direction.

Imagine you see 50 cars going along in a pack, you radar one cars speed and position, you know the 50 cars are going relatively the same speed and direction now.

it just takes noticing 1 car to slow down cause they can't see over the hill which will cause more slower cars and eventually traffic jam (volatility).

So when someone tells you that you can't know market sentiment from a couple hedged equity funds. Send them here.