In this post, we will be reviewing the pre-market and market opening conditions for SPX options that could have provided early day indicators on trade activity. Utilizing this data, we will attempt to place positions to capture the anticipated price action. This week is an OPEX week, meaning risk is elevated for sudden changes in market conditions.
November 15 2024
SPX 10/15/24 price action was primarily down. Today would have been a good day to buy puts.
Market open 9:40 a.m. SPX 11/15/24 Gamma, Vanna and Delta – 0 DTE Options
Current Strike – $5908.96
0DTE
Gamma – Today was an OPEX (options expiration) day, so we anticipated some unusual activity. We see that the market is showing value is to the downside, with the highest call expiration at 5850 and the highest put at 5880. Since value is to the downside, this is an indication we should buy puts.
Vanna – Vanna is also showing that most of value available in the market is to the downside. Another put indicator.
Delta – Delta was showing us that positive value was to the downside and that there was a lot of negative value built up at the 6000 strike. More indicators price would move to the downside.
Charm – Charm was showing here that the majority of value in the market was to the downside and that there was little interest to the upside. This was also another put indicator.
Net Flow – Net flow as of 9:40am showed one large call spike at market open but then repeated large put spikes. The put spikes heavily outweighed the calls at this point. Another put indicator.
Net Drift- Net drift also shows put buying was heavily outweighing call buying. Another put indicator.
Open Interest- The open interest by strike data also shows us most of the money in the market is to the downside. Another put indicator.
Summary
Call Indicators: 0/7
Put Indicators: 7/7
Trade suggested: Puts
Market open 9:40 a.m. SPX 11/15/24 Gamma, Vanna and Delta – 1 DTE Options
Current Strike – $5908.96
1DTE
Gamma – Here we see the same story as the 0 DTE options. Little value to the upside and all the value to the downside. Another put indicator.
Vanna – Vanna is also showing that most of value available in the market is to the downside. Another put indicator.
Delta – Delta showed a mountain of negative value if price moved forward and a long positive value at 5750.
Charm – Charm again showing the majority of value in the market is to the downside.
Net Flow – Net flow as of 9:40am showed only large put spikes. No large call spike like the 0DTE.
Net Drift- Net drift showed calls were first bought but then declined with puts overtaking them.
Open Interest- The open interest by strike data also shows us most of the money in the market is to the downside. Another put indicator.
Summary
Call Indicators: 0/7
Put Indicators: 7/7
Trade suggested: Puts
Market open 10:00 a.m. SPX 11/15/24 Gamma, Vanna and Delta – 0 DTE Options
Current Strike – $5898.31
1DTE
Gamma – Put exposure continues to rule the day.
Vanna – Vanna difficult to read but still showing overwhelming put exposure.
Delta – An extreme ranged delta that could be due to OPEX. The vertical dotted line represents the current price. The large put spike on the right is likely to push us down some but the larger call spike and secondary call spike should keep price above 5850 (which is did, daily low was about 5854).
Charm – Charm showing the large put exposure at 6000 and no real value above current strike. It appears all the current value to take is down.
Net Flow – Net flow still showing the majority of purchases are puts.
Net Drift- Net drift continues to show puts increasing.
Open Interest- The open interest by strike data also shows us most of the money in the market is to the downside. Another put indicator.
Summary
Call Indicators: 0/7
Put Indicators: 7/7
Trade suggested: Puts
Market open 10:00 a.m. SPX 11/15/24 Gamma, Vanna and Delta – 1 DTE Options
Current Strike – $5898.31
1DTE
Gamma – The same story continues at 9:40am – all the value is to the downside.
Vanna – Vanna showing greatest value to the downside and mostly negative exposure.
Delta – Although we have started to move below the greatest put value, there is no significant call volume above. This still looks bearish.
Charm – Charm still showing the majority of value in the market is to the downside.
Net Flow – Net flow still showing the majority of puts being purchased.
Net Drift- Net drift continues to show puts increasing.
Open Interest- The open interest by strike data also shows us most of the money in the market is to the downside. Another put indicator.
Summary
Call Indicators: 0/7
Put Indicators: 7/7
Trade suggested: Puts
Conclusion
Our morning session data clearly showed a strong bias to the downside. There was a very slight uptick to the upside after market open that did appear to be an attempt to rally. But that fizzled out and price declined the majority of the day. Only a minor uptick was seen toward the last session of the day.
Today’s morning data was a very good indicator for price direction today.
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