Transcription
All right, hello everybody. Welcome to the Quant data Wednesday Q&A. Today was was a very good day, picture perfect almost. I have up here the TradingView chart for SPX. And then I also have gamma on the left side. And we're just going to run through some of the the ideas that came through today. Not only that, we're going to run through why today was such a good showcase for our study, right? The MVC pivot study, because a lot of you guys still not catching on to the fact that well, we've run this study over 1,000 intervals already. If you don't trust lines and whatever else, right? At the very least, you guys should trust probabilities, right? That's that's how we increase our odds of success in the markets. Understanding the numbers, understanding probabilities of of trade setups, right? Not this willy-nilly, you know, we see it all the time on YouTube or Twitter Twitter is the biggest biggest culprit of this, but you know, you get these guys saying, "Oh, when when these two lines converge just like a you know, usually it's like I've seen 70% win rate, right? On on on on two chopsticks converging and line goes up, you know, price price is supposed to skyrocket 70% of time." But you actually ask them to dig into the numbers, you you never see it, right? It's just crickets. Here in Quant data, we actually give you the numbers, right? We actually give you the numbers.
And so let's recap the day real quick. So today, we um today we bought puts, right? That was the first thing we did, we bought at the money puts. And then we sold put credit spreads, right? So two things that we did today, both of them you know, pretty solid. Uh this one we didn't hold to expiry, but that's okay. I think that what we accomplished was already pretty solid.
So, I want to show you first off like at the open, why did we go puts? Um now it's purely based on gamma shifting. Okay, so gamma kind of told us that there was an idea to short the market and this is why, okay? So, this is the open of gamma today, 9:30, well, it's a minute over, but it's okay. 9:30 a.m. Okay, that's New York City uh um cash session open. Uh and I want to zoom forward in time for you. What we wanted to see in order to believe in any directional move, which is you know, you guys know I don't trade long options too often, but when I do, it's because something is telling me that there's interest. Now, we know gamma is sort of like a the dealer's obligation to fulfill those levels. It looks bullish at this point in time a little bit. 70 625 had a little bit more gamma than the downside. We also know 70 million gamma is actually our level for us to believe that that gamma is going to be a magnet, but I want to show you the change. Okay, so we're already starting to see that change at the open. Right, you can see first 5 minutes. That takes us to this candle here. Right here. So, this candle is already going to take us through and then we go go to here, the 9:36 candle. Right now, we're going to go even further here. So, 9:36, 9:35. I want you guys to see what happened. So, what do we see that just happened with the gamma profile? Now, again, we have to remember that gamma is the dealer's obligation. They have an obligation to get to those levels otherwise they need to figure things out. They need to move price, move deltas, exposures around so that they have you know, something that makes sense for them for their portfolios. But for whatever reason we're seeing 7550 expand and eclipse the 7625. Right? So, 7550 is now the current MVC. Everyone doesn't know what that stands for. Uh it's called uh it stands for the most valuable contract. So, it's the contract that is set to pay the most based on the exposure.
Now, as we traverse through a little bit more, so what is happening? We're continuing downside and I think at the top of the hour things really start to change. So, this is your 10. Now, at 10:00 a.m. That's first 30 minutes. So, that's like right here. Uh what do we see that has changed in the gamma profile for us to think that okay, there is there's a chance that we kind of stop out here. Right? This is why today was such a picture-perfect day. Um we saw that shift. We took the short. We took it for 65%. I know they went to uh 110%. That's what I saw for my contract. But when as soon as we saw that change, we we started to believe like, "Okay, there's there's something here and the market wants to get us a little bit further uh further down. Like it's a it's a downside bias. And we're just looking at gamma right now. The delta profile told us something like exactly the same thing, but it just uh it's not forward-looking, right?
So, going further, now at 10:00 a.m. Uh what do we see? We see that all of a sudden there's a a pothole in gamma 7580. I can tell you on Delta side this looked exactly the same. If I zoom over to Delta right now at 10:00 a.m. you can see that there is also a pillar. Now, marrying two and two together, right? Two and two together. What do we have? We have gamma pointing downside with a pothole. Delta, same thing. Uh it has a pothole, but we have resistance at 7590 and 7595. So, that's right here. That is right here. Can I get my brush? Uh what is that? 85 uh 90 and 95. So, like right here. Right? This is your 10:00 a.m. uh 10:00 a.m. candle. So, right around here. This is where it's telling you that price is not likely going to surpass. You guys see that? So, this is your zone. There is about 2 billion of negative delta here. Now, I know the number is 2 and 1/2 billion for our 70% percentile, but we have two separate strikes totaling 4 billion. Do we think Do we think price has a chance uh without any sort of news catalyst to push through and go beyond, right? Something we kept saying on stream was that the moment this delta 7580 goes away, meaning it becomes short alongside the rest of the delta profile here. This is your one your one pothole, right? This is an inverse pothole. This is that iPad kid at the dinner table, right? He's being being the naughty boy. >> [laughter] >> He's not allowing price to go through, but eventually, right? Eventually, he will give in and he'll get, you know, smacked enough and then he'll put down the iPad. That's That's what we're waiting for. That's what you would have wanted to wait for.
So, traversing through the day, I think like at 11:00, so take a look at what's happened. It has started to deplete. And eventually it goes away. I think at the I should do think it's like the 11:00 mark it goes away finally. Can't remember it's still there actually. Okay, there you go. 11:07. So, now it's 11:07. So, that's takes us to this candle right here. So, this candle right here. This is your 11:07. You can see that. So, everything is now bearish again. What was our original target for price? What was our original target for price? On [snorts] this short. 7550, right? Why is that our original target for price? Let's Let's bring it through. Let's go back to gamma. What do we see here? What do we see? 7550, right back on the radar. So, we're pairing delta and gamma together. Delta tells you that there's a lot of resistance around the area that we're trading. And gamma tells us that there's interest for a forward-looking strike. The forward-looking strike is 7550, right? And from that point on, it would have just continued to come down.
Now, also, I know that there's a someone was asking me earlier today like what's the deal with VWAP? Yes, VWAP was very beautiful today. Uh it's it's my visual use I use a VWAP as a visual representation of over and under. Yeah, we never broke through it. So, if you guys like that too, it's literally just a standard VWAP on SPX. Right? Every touch we've had it just continued to come down. And there you go. So, 7550. Now, what was the lowest point for the day? You guys can see it right now. 7551. Is that MVC? Right? We count it as an MVC touch within $5 of range. Now, if you're seeing this for the this for the first time and it looks like magic, and this is how accurate we can be with SPX trading utilizing quant data. This is your This was our original target, and here it is. It's met. Now, we don't go any further than it. Right, why don't we go any further than the MVC? Remember what I said earlier in the beginning of this video, we said that gamma is an obligation for the dealers. If there's no value for them to push price further, they're not going to do it. Right, generally they're not going to do it unless there's some sort of catalyst or something else that um you know, in the works in the market, maybe you know, Trump candle or something like that, right? Or news on a war. They're not going to spend the energy and the effort to push price further than where the the market is most valuable for them. Okay, so the most valuable spot for them is 7550.
Now, the last bit, right? The last bit is I always say that taking the pivot trade is best utilized selling credit. Now, why is that? It's because we know, right? Based on um based on our study that at MVC we pivot 54% of the time. Right, we hold and close within $5 Sorry. 28% of the time. We close further than the MVC more than five uh $5 18% of the time. Now, putting it together, right? If we know we turn around more than half of the time, and we know that we close within $5 of the MVC, so that would be 7550 on the dot. 28% of the time, there's only 18% of the time that we close further than it. Would it not make sense to sell credit, right? So, what was the strike that we originally sold today? 7520, right? Uh so, that would be that's right here. So, we sold 7520. I know we called it at 7520 again, cuz I know a bunch of you guys also sold that same strike. Right, look how much further the market has to go for it to breach our credit spread. Now, looking at gamma, does the gamma uh profile even tell you that it wants to go further than 7550? Is there value for the dealer to push it further? No. Right? So, we're trading based on the probabilities, right? We already have this data set with us. The fact that we have an 82% chance of our credit spread expiring worthless. Uh not only that, if we close it earlier than that, which I did, um you have an even higher percentage, right? Because you also have to factor in theta decay, uh volatility crush, all these things, right? So, uh that is why today was such a picture-perfect day, a perfect example of why we use quant data to trade the market. Uh these exposures, they really share I mean, they really tell the truth, right? It's kind of like you're looking at the the charts. Um you are using the charts to, you know, kind of look at the car, but then, using quant data, we can see what's under the under the hood, right? What's actually moving the car. Uh and we can see that the car was only going to move to 7550, and that's where it was going to stop. And so, yeah, well within today's uh, study uh, or not today's study. Well within the study that we have presented for you guys. Uh, we closed right at NBC, like 50 uh, 7553 is what we closed. So, well within the $5 range. Right? So, does that fit into the 20%? Yes. And if we held this one to expiry, which again, full transparency, I did not hold it to expiry. You would have been laughing. Right? So, two for two trades today. Uh, if you guys enjoy this stuff, if you guys want to see more, you guys know where to find it. We live stream every New York session with everybody here and the team. And uh, we want to stay green. We want to show you guys how to be green, too. >> [laughter and gasps] >> That's it. Um, so yeah, I'm going to go ahead and uh, hop into the Discord, uh, run the Q&A. I'll give you guys probably like 15, 20 minutes to ask some questions, and then we'll we'll move on from there. So, yeah, thanks for watching for those of you guys on YouTube. I know the quality of this video is not going to be the same as the other YouTube videos we've been pumping out. I'm super excited because we have a lot more content coming through. So, yeah, that's it. Thank you. Thank you.