Trading, Markets $spx #bitcoin @chainlink
Joined March 2021
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SPX Volatility Snapshot 🌊
IV, RV & Vol of Vol
new tools shipped from @unusual_whales
here's a look at 30d trailing realized vol, 30d 1year annualized implied vol, & the 30d annualized volatility of implied volatility of SPX. more to come, but for now notice the Vol of Vol level relative to the prior year.
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xitter.cf/realjc/status/21100269…
SPX Volatility Snapshot 🌊
1 Year Fixed Maturity IV
the 7 day IV maturity is currently below its 1 year median. the curve rises into 30 days but remains well below average. coupled with low rolling daily IV, it appears that vol is cheaper than it was & pricing a tighter range in the coming days.
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xitter.cf/realjc/status/21085874…
Market Maker Gamma Profile 🙈
all expiry 1st pic, 0dte 2nd pic
a towering spike of negative gamma stands at 7695. as spot price pushes further below, market makers will hedge their theoretical delta likely by selling futures or closing longs, thereby subtracting positive deltas & assisting the spot move lower. 7685-75 & 7660 are supportive, to the downside. however, if we get a retracement, the move higher will be assisted by the removal of negative hedging deltas at 7695; 7720-30 are a target in that scenario. break above and 7750-60 is on the docket.
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xitter.cf/realjc/status/21107679…
Market Maker Gamma Profile 🪀
all expiry 1st pic, 0dte 2nd pic
negative gamma dominated profiles today with overhead looking ripe for a squeeze, currently. i'd target 7750-60 if we see a move higher. break above & it's 7780 & then 7800. net delta flows are positive in the prior hour+. down below current spot, 7700-7685 is the zone to hold in a pullback. lose it & 7660-50 is the checkpoint.
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xitter.cf/realjc/status/21104105…
Market Maker Gamma Profile 🪀
all expiry 1st pic, 0dte 2nd pic
negative gamma dominated profiles today with overhead looking ripe for a squeeze, currently. i'd target 7750-60 if we see a move higher. break above & it's 7780 & then 7800. net delta flows are positive in the prior hour+. down below current spot, 7700-7685 is the zone to hold in a pullback. lose it & 7660-50 is the checkpoint.
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xitter.cf/realjc/status/21104105…
Market Maker Gamma Profile ☔️
all expiry 1st pic, 0dte 2nd pic
net deltas have been positive for an hour. spot price up against support, currently at 7720. 7700-7695 remains a vital buoy against a larger leg down. overhead, break 7730 & there's room to 7745-50. if we can squeeze thru 7755 there's an air pocket toward 7785-7800.
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xitter.cf/realjc/status/21100597…
Market Maker Gamma Profile ☔️
all expiry 1st pic, 0dte 2nd pic
net deltas have been positive for an hour. spot price up against support, currently at 7720. 7700-7695 remains a vital buoy against a larger leg down. overhead, break 7730 & there's room to 7745-50. if we can squeeze thru 7755 there's an air pocket toward 7785-7800.
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xitter.cf/realjc/status/21100597…
Market Maker Gamma Profile 🔬
all expiry 1st pic, 0dte 2nd pic
another day dominated by a bulge of marker maker positive gamma above & below spot price. 7800 is still the strike to watch. as spot falls below, hedging will help to buoy & prevent further downside. as spot climbs, the hedging will push against the move, curbing the rise.
push thru & 7825 is magnet with falling IV & rising spot price. to the downside, sticky strike IV mutes the negative vanna pull. if atm IV follows the spot move lower, then the negative vanna will be bearish & help push spot lower with support at 7770. 7750 is a major stallout/checkpoint.
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xitter.cf/realjc/status/21096905…
SPX Most Open Interest Change 🥥
the 10/30 expiry saw 10,276 Call contracts entered near the Ask side of the auction yesterday & held open overnight. similar scenario with 13,815 Put contracts at the 7500 strike, expiring on the same day.
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SPX Most Open Interest Change 🥞
0dte 7940 & 8040 Calls had little open interest to begin yesterday’s session, now showing a decent chunk entered in majority nearer to the Bid side of the auction for a likely credit. for tomorrow, the 7640 Put is bigly net bought, vastly entered at the Ask for a likely debit as downside protection.
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Market Maker Gamma Profile 🔬
all expiry 1st pic, 0dte 2nd pic
another day dominated by a bulge of marker maker positive gamma above & below spot price. 7800 is still the strike to watch. as spot falls below, hedging will help to buoy & prevent further downside. as spot climbs, the hedging will push against the move, curbing the rise.
push thru & 7825 is magnet with falling IV & rising spot price. to the downside, sticky strike IV mutes the negative vanna pull. if atm IV follows the spot move lower, then the negative vanna will be bearish & help push spot lower with support at 7770. 7750 is a major stallout/checkpoint.
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xitter.cf/realjc/status/21096905…
Market Maker Gamma Profile 🕵️
all expiry 1st pic, 0dte 2nd pic
7800 is the strike to watch with a boatload of 0dte customer Long Puts in play. markte makers on the opposite side will need to add negative deltas (sell futures) to hedge the position as spot price drops lower. in the event of spot price rising, they would decrease negative deltas and that would assist spot's rise. 7795-85 is fairly thorough support, followed by 7770-65.
overhead, we'll run into bunches of market maker Long Calls that necessitate adding negative delta to hedge, offering friction against a move higher. break above 7825 & there's some room toward 7840-60 with the assistance of positive vanna. 7830 is the area to watch in that scenario.
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xitter.cf/realjc/status/21086060…
SPX Volatility Snapshot 🌊
1 Year Fixed Maturity IV
the 7 day IV maturity is currently below its 1 year median. the curve rises into 30 days but remains well below average. coupled with low rolling daily IV, it appears that vol is cheaper than it was & pricing a tighter range in the coming days.
$spy $spx
xitter.cf/realjc/status/21085874…
SPX Volatility Snapshot 🌊
Implied & Historical
is 10 day historical vol rounding-out a bottom & proceeding to drift sideways? currently sitting at 8.25%, in the past year this level has been marked with either more of the same or a sharp plunge followed by a rebound.
the highs of 10day hv are lower with each successive run this year and currently the 30 day historical vol is moving sideways alongside implied.
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xitter.cf/realjc/status/21078463…
Market Maker Gamma Profile 🕵️
all expiry 1st pic, 0dte 2nd pic
7800 is the strike to watch with a boatload of 0dte customer Long Puts in play. markte makers on the opposite side will need to add negative deltas (sell futures) to hedge the position as spot price drops lower. in the event of spot price rising, they would decrease negative deltas and that would assist spot's rise. 7795-85 is fairly thorough support, followed by 7770-65.
overhead, we'll run into bunches of market maker Long Calls that necessitate adding negative delta to hedge, offering friction against a move higher. break above 7825 & there's some room toward 7840-60 with the assistance of positive vanna. 7830 is the area to watch in that scenario.
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xitter.cf/realjc/status/21086060…
Market Maker Gamma Profile 🌵
all expiry 1st pic, 0dte 2nd pic
lotsa support at 7800-7795. a major pile of gamma that will influence hedging in a supportive way to the downside. if the customer Short Calls in that zone close-out then the market maker unwind will be bullish for spot price.
7815 is resistive, break above & 7835-40 is a vanna checkpoint, whether we are drawn in or rejected, watch that level as a target/boundary. lose 7785 & be cautious of an air pocket down to 7760-45.
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xitter.cf/realjc/status/21082352…
jc retweeted
DTCC AND CHAINLINK AT SIBOS 2026
DTCC's Dan Doney and @SergeyNazarov presented how @The_DTCC is collaborating with Chainlink to advance 24/7 collateral management.
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The DTCC Collateral AppChain is expected to launch in Q1 2027.
Presentation slides here: chn.lk/dtcc-chainlink-sibos-…
Watch the full presentation ↓
Market Maker Gamma Profile 🌵
all expiry 1st pic, 0dte 2nd pic
lotsa support at 7800-7795. a major pile of gamma that will influence hedging in a supportive way to the downside. if the customer Short Calls in that zone close-out then the market maker unwind will be bullish for spot price.
7815 is resistive, break above & 7835-40 is a vanna checkpoint, whether we are drawn in or rejected, watch that level as a target/boundary. lose 7785 & be cautious of an air pocket down to 7760-45.
$spy $spx
xitter.cf/realjc/status/21082352…
Market Maker Gamma Profile 🛰️
all expiry 1st pic, 0dte 2nd pic
lotsa positive gamma below spot price currently. in the aggregate all expiry profile market makers are Long Calls & in 0dte they are Long Puts. both have positive gamma and necessitiate hedging in a way that will be supportive of underlying spot price in the event of a move downward. 7755-50 is bigger support in the event of a flush.
overhead in the 0dte profile, interestingly, not much to assist or prevent a move. currently void of gamma, either way, save for 7790. the aggregate all expiry profile resistance picks up at 7800. slip thru 7805 & look toward 7820-30 with 7835-40 standing as a vanna checkpoint.
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xitter.cf/realjc/status/21078840…
SPX Volatility Snapshot 🌊
Implied & Historical
is 10 day historical vol rounding-out a bottom & proceeding to drift sideways? currently sitting at 8.25%, in the past year this level has been marked with either more of the same or a sharp plunge followed by a rebound.
the highs of 10day hv are lower with each successive run this year and currently the 30 day historical vol is moving sideways alongside implied.
$spy $spx
xitter.cf/realjc/status/21078463…
SPX Volatility Snapshot 🌊
Near Term Implied Volatility
1 day IV is curling up to cross 5 day as 30 day is near its' lowest levels since January & moving sideways. Vol is cheap relative to where we've been this year.
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xitter.cf/realjc/status/21071277…
Market Maker Gamma Profile 🛰️
all expiry 1st pic, 0dte 2nd pic
lotsa positive gamma below spot price currently. in the aggregate all expiry profile market makers are Long Calls & in 0dte they are Long Puts. both have positive gamma and necessitiate hedging in a way that will be supportive of underlying spot price in the event of a move downward. 7755-50 is bigger support in the event of a flush.
overhead in the 0dte profile, interestingly, not much to assist or prevent a move. currently void of gamma, either way, save for 7790. the aggregate all expiry profile resistance picks up at 7800. slip thru 7805 & look toward 7820-30 with 7835-40 standing as a vanna checkpoint.
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xitter.cf/realjc/status/21078840…
Market Maker Gamma Profile 🦺
all expiry 1st pic, 0dte 2nd pic
gamma exposure is spread out today without a main concentration. down below current spot, 0dte 7770 is a larger strike with a bunch of positive net delta that will need to be hedged by likely selling futures. lose 7795 and there's not much to stop a slide back into 7780-70.
overhead, there's a field of hedging requirement that'll push against anything further. net delta flow has been positive the past 90 minutes. on tap is fomc minutes at the top of next hour. 7820-25 & 7830-35 are vanna checkpoints in the event of a rally higher on softer than expected fomc minutes.
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xitter.cf/realjc/status/21075138…
Market Maker Gamma Profile 🦺
all expiry 1st pic, 0dte 2nd pic
gamma exposure is spread out today without a main concentration. down below current spot, 0dte 7770 is a larger strike with a bunch of positive net delta that will need to be hedged by likely selling futures. lose 7795 and there's not much to stop a slide back into 7780-70.
overhead, there's a field of hedging requirement that'll push against anything further. net delta flow has been positive the past 90 minutes. on tap is fomc minutes at the top of next hour. 7820-25 & 7830-35 are vanna checkpoints in the event of a rally higher on softer than expected fomc minutes.
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xitter.cf/realjc/status/21075138…
Market Maker Gamma Profile 🎡
all expiry 1st pic, 0dte 2nd pic
continue the rally up into 7860-65 & run into a vanna checkpoint. down below, watch for a pullback into 7815 with support down to 7790. lose 7825 & look to 7800. Put support picks up at 7785.
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xitter.cf/realjc/status/21071618…
SPX Volatility Snapshot 🌊
Near Term Implied Volatility
1 day IV is curling up to cross 5 day as 30 day is near its' lowest levels since January & moving sideways. Vol is cheap relative to where we've been this year.
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xitter.cf/realjc/status/21071277…
SPX Volatility Snapshot 🌊
Historical Risk Reversal Skew
Put IV relative to Call IV fell to the low of this contract into the weekend & bounced into expiry this morning. Puts were richer than calls the whole series & still well under the mid-September peak. Surface is pricing more downside into 0DTE than it was on Friday, bouncing into expiry.
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xitter.cf/realjc/status/21056662…
jc retweeted
You asked, we answered.
We've rounded up some of the most common questions we're hearing about the DTCC Tokenization Service and answered them in our latest FAQs ➡️: brnw.ch/21x6evb
SPX Most Open Interest Change 🥞
0dte 7940 & 8040 Calls had little open interest to begin yesterday’s session, now showing a decent chunk entered in majority nearer to the Bid side of the auction for a likely credit. for tomorrow, the 7640 Put is bigly net bought, vastly entered at the Ask for a likely debit as downside protection.
$spy $spx
Market Maker Gamma Profile 🎡
all expiry 1st pic, 0dte 2nd pic
continue the rally up into 7860-65 & run into a vanna checkpoint. down below, watch for a pullback into 7815 with support down to 7790. lose 7825 & look to 7800. Put support picks up at 7785.
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xitter.cf/realjc/status/21071618…
Market Maker Gamma Profile ⚾️
all expiry 1st pic, 0dte 2nd pic
above current spot is a huge pile of positive market maker gamma due to Long Calls. as spot price drops, hedging will decrease negative deltas, helping to buoy spot. as price rises, negative deltas will be added, pushing against the move in a resistive way.
decent support down into 7760-50. overhead, if we can break thru 7785, there is a melt-up zone waiting between 7785-7805.
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xitter.cf/realjc/status/21060642…
Market Maker Gamma Profile ⚾️
all expiry 1st pic, 0dte 2nd pic
above current spot is a huge pile of positive market maker gamma due to Long Calls. as spot price drops, hedging will decrease negative deltas, helping to buoy spot. as price rises, negative deltas will be added, pushing against the move in a resistive way.
decent support down into 7760-50. overhead, if we can break thru 7785, there is a melt-up zone waiting between 7785-7805.
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xitter.cf/realjc/status/21060642…
Market Maker Gamma Profile 🦴
all expiry 1st pic, 0dte 2nd pic
7700 is the positive gamma support strike at the moment with a big ole pile of customer Short Puts expiring today that will force market makers on the opposite side if the trade to hedge their deltas, likely buying futures, creating a supportive force against a spot move downward. break below & look to 7675.
to the upside, there's some oxygen to burn into 7735-40. above there, we run into customer Short Calls that require that market makers add negative delta to hedge, thereby throwing water onto the fire, snuffing out a rally. push up past 7750 & it's off to the races into 7775-80.
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xitter.cf/realjc/status/21056990…
SPX Volatility Snapshot 🌊
Historical Risk Reversal Skew
Put IV relative to Call IV fell to the low of this contract into the weekend & bounced into expiry this morning. Puts were richer than calls the whole series & still well under the mid-September peak. Surface is pricing more downside into 0DTE than it was on Friday, bouncing into expiry.
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xitter.cf/realjc/status/21056662…
SPX Volatility Snapshot 🪟
IV Term Structure
tomorrow's expiry IV is now higher than anytime in its' 36 day listing history, 100th percentile. IV drops into Monday's expiry but remains above median. term structure rises into mid-October, well above median, save for opex and eom.
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xitter.cf/realjc/status/21053030…
Market Maker Gamma Profile 🦴
all expiry 1st pic, 0dte 2nd pic
7700 is the positive gamma support strike at the moment with a big ole pile of customer Short Puts expiring today that will force market makers on the opposite side if the trade to hedge their deltas, likely buying futures, creating a supportive force against a spot move downward. break below & look to 7675.
to the upside, there's some oxygen to burn into 7735-40. above there, we run into customer Short Calls that require that market makers add negative delta to hedge, thereby throwing water onto the fire, snuffing out a rally. push up past 7750 & it's off to the races into 7775-80.
$spy $spx
xitter.cf/realjc/status/21056990…
Market Maker Gamma Profile 🦓
all expiry 1st pic, 0dte 2nd pic
7645-40 & 7610 are supportive in the event of a spot move lower. the larger support is at 7600 with a load of 0dte market maker Long Puts, requiring the addition of positive deltas to hedge- likely via going Long ES futures.
overhead, break 7650 & look to 7660-75. 7700 is a greater extension with 7730 out on the horizon.
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xitter.cf/realjc/status/21053460…
