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VIX breaking out of it's bull flag

spx move down into july

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#11 K Wave

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Posted 19 June 2020 - 01:37 PM

SOX pivot looks set...now we see if bulls can do anything of note off of it...


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#12 Russ

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Posted 19 June 2020 - 02:26 PM

The Quad Witch Expiration settlement for the SPX cash this morning at ~3161 projects a tag of that value for the SPX cash by Flex Wed next week since it was not printed this morning.  Likelihood of positive SPX cash close today is still predicted with 90 minutes to go.

How do you get that 3161 price projection?


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#13 Darris

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Posted 19 June 2020 - 02:46 PM

The CBOE posted the settlement this morning and I saw it on twitter.  June ES last trade was 3196, and 50 pts above September.

 

COT report nicely bullish that just came out based on Tuesday closing numbers.  Commercials added $6.6 Billion, and Non-Commercials added 75,000 contract to their net SHORT position putting them at their highest net short contract level since they started shorting in late March.  They are net 303,000 es mini contracts net short now.  You will see at lot of posts and talk about this short position over the weekend.  That is 8.7% of the total open interest, so not huge, but a good bit.



#14 CHAx

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Posted 19 June 2020 - 03:19 PM

The spookiest part of the action today was the 15 minutes of futures action after the cash close.  Operators were actually levitating price for the last hour and half.  They did not want today to be down big.



#15 K Wave

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Posted 19 June 2020 - 03:20 PM

Bears have one last shot, and that is to take it down straight away on Monday.

 

If we go back above today's high, they are most likely fully dead....


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#16 CHAx

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Posted 19 June 2020 - 03:21 PM

Bears have one last shot, and that is to take it down straight away on Monday.

 

If we go back above today's high, they are most likely fully dead....

 

Yep, but ball is back in the bears court.  IT decision is close.



#17 Darris

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Posted 19 June 2020 - 03:25 PM

Gear up for next Friday as well.  The Russell rebalance is finalized at the close June 26th.  Record volume on Naz and RUT will be seen.



#18 Russ

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Posted 19 June 2020 - 03:47 PM

The CBOE posted the settlement this morning and I saw it on twitter.  June ES last trade was 3196, and 50 pts above September.

 

COT report nicely bullish that just came out based on Tuesday closing numbers.  Commercials added $6.6 Billion, and Non-Commercials added 75,000 contract to their net SHORT position putting them at their highest net short contract level since they started shorting in late March.  They are net 303,000 es mini contracts net short now.  You will see at lot of posts and talk about this short position over the weekend.  That is 8.7% of the total open interest, so not huge, but a good bit.

I mean how exactly do you calculate 3161 for next wed?


"Nulla tenaci invia est via" - Latin for "For the tenacious, no road is impossible".
"In order to master the markets, you must first master yourself" ... JP Morgan
"Most people lose money because they cannot admit they are wrong"... Martin Armstrong



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#19 Darris

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Posted 19 June 2020 - 04:16 PM

I'm not calculating.  This morning index options were settled based on an implied SPX cash value of 3161 due to the run up in the futures.  Tuesday and Wednesday after a monthly expiry will retrace an expiry move because that is when most of the exercised options settle.  This is why we typically see down moves after a Quad Witch and or monthly expiry's, since they usually go up into those Friday mornings.  This Quad was the greatest range I have ever seen. We started last week at 3231 then dropped to 2935, and finished at 3196, and now the Sept contract is 140 pts below the June last trade.  The cash 3161 value should act as a magnet as this price volatility continues and since the option Gamma was probably liquidated by the close today.  Maybe we make another good low on Monday now.  Sept ES only netted 22 pts or so up this week, last trade to last trade.  The algos have figured out what folks are doing with options and they are front running the living hell out of the moves as they begin to liquidate or accumulate.  VIX will start to show the next accumulation phase very quickly.



#20 Russ

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Posted 19 June 2020 - 07:01 PM

I'm not calculating.  This morning index options were settled based on an implied SPX cash value of 3161 due to the run up in the futures.  Tuesday and Wednesday after a monthly expiry will retrace an expiry move because that is when most of the exercised options settle.  This is why we typically see down moves after a Quad Witch and or monthly expiry's, since they usually go up into those Friday mornings.  This Quad was the greatest range I have ever seen. We started last week at 3231 then dropped to 2935, and finished at 3196, and now the Sept contract is 140 pts below the June last trade.  The cash 3161 value should act as a magnet as this price volatility continues and since the option Gamma was probably liquidated by the close today.  Maybe we make another good low on Monday now.  Sept ES only netted 22 pts or so up this week, last trade to last trade.  The algos have figured out what folks are doing with options and they are front running the living hell out of the moves as they begin to liquidate or accumulate.  VIX will start to show the next accumulation phase very quickly.

Very impressive, you sure know your stuff. My impression is that you are bullish heading into late June and July, yes?


"Nulla tenaci invia est via" - Latin for "For the tenacious, no road is impossible".
"In order to master the markets, you must first master yourself" ... JP Morgan
"Most people lose money because they cannot admit they are wrong"... Martin Armstrong



http://marketvisions.blogspot.com/