What to expect leading up to this months OPEX.
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Every 3rd Friday of the calendar month is OPEX (Option Expiration).
The difference during the most recent OPEX cycle was:
------- Kai Volatility ------
Kai Volatility refers what happened as a Second Move Phenomenon. read about it here
Karsan: This is an effect of Oct Ivol being hi relative to everything behind it due to unbalanced dealer positioning. This makes it hard for market to decline w/any speed this week &’ll cause some combination of 3 effects:lower skew,lower IVol, & higher prices. The< of 1 the > of others.
Q: Will that effect wear off with Vanna & Charm leaving next week (OCT11-15) though?
Karsan: Yes. But the question remains, will we have fixed the technical damage and squeezed enough to support longer term flows by the time next week is here.
-------------------------------
I reproduced this VIX I found on fintwit (full cred to stockcharts) chart from to help illustrate this healing process.
I'm watching the levels
4430 - 3 month point of control on volume profile
4365 - gamma flip line via @SpotGamma
4300-4400 - range of sept bear month.
I highlighted some key closing points that have identical VIX structure and direction that would indicate a gap up Monday.
Not Financial Advice. Only My Observations.
The difference during the most recent OPEX cycle was:
- Excessive Front Running OPEX DIP
- Evergrande / Contagion
- Debt Ceiling Crisis
- China / Taiwan Tensions
- Inflation / Hyperinflation
------- Kai Volatility ------
Kai Volatility refers what happened as a Second Move Phenomenon. read about it here
Karsan: This is an effect of Oct Ivol being hi relative to everything behind it due to unbalanced dealer positioning. This makes it hard for market to decline w/any speed this week &’ll cause some combination of 3 effects:lower skew,lower IVol, & higher prices. The< of 1 the > of others.
Q: Will that effect wear off with Vanna & Charm leaving next week (OCT11-15) though?
Karsan: Yes. But the question remains, will we have fixed the technical damage and squeezed enough to support longer term flows by the time next week is here.
-------------------------------
I reproduced this VIX I found on fintwit (full cred to stockcharts) chart from to help illustrate this healing process.
I'm watching the levels
4430 - 3 month point of control on volume profile
4365 - gamma flip line via @SpotGamma
4300-4400 - range of sept bear month.
I highlighted some key closing points that have identical VIX structure and direction that would indicate a gap up Monday.
Not Financial Advice. Only My Observations.
Nota
wouldn't have been fun without a few twists.
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