P Schroe

[VolSignals @VolSignals]

Sharing my intraday commentary from VS Pro today

for no good reason
nope, no reason at all

/s

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[VolSignals @VolSignals]

Start with the notional ($7.9bn)

Divide it by the underlying (6969.01):
$7.9bn / 6969.01 =

1,133,589.99

Notice I dropped the $

- this is because the figure above (1,133,589.99) is now telling us how many shares- or units of the underlying- the portfolio exposure changed by, over the 1% move

Next, we can divide by 1% of the underlying (6969.01) to get a "per-dollar" change in the portfolio's market exposure:

1,133,589.99 / 69.69 =

16,266.16

...this is "shares of SPX" (for which there are none), so let's just convert it to something we can work with, like SPX contract quantity:

We do this by dividing that exposure figure by the SPX option multiplier (100):

16,266.16 / 100 =

162.66

Getting closer—this figure tells us that for every $1 move in the underlying, the portfolio's market exposure changes by 162.66 SPX option units (we call these combos- full 100 delta spreads constructed by pairing a long ATM call with a short ATM put in the nearest expiration).

But this is not how we hedge the position (imagine how absurd)

We use ES futures (futures, futs, spus, minis, whatever you want to call them), and the multiplier on those contracts is 50 (not 100)

This means for every SPX unit, we're going to need TWO ES futures to get the same market exposure (100 multiplier vs 50 multiplier):

162.66 x 2 =
325.32

Finally!

This figure - 325.32 tells us that the market maker's position behaves as if it automatically buys 325 e-minis every time the market rallies $1, and automatically sells 325 e-minis every time it declines $1.

...and market makers would be hedging this by doing just the opposite:

Selling 325 minis when we uptick $1
Buying 325 minis when we downtick $1

Now, you can connect this massive notional figure to something more tangible- liquidity.

[Collin Rugg @CollinRugg]

Priest Guilherme Peixoto has amassed over 2.7 million followers on Instagram by evangelizing around the world through his hobby of DJing.

Padre Guilherme is a priest from a village in Portugal.

During an interview with CNN, Guilherme says he started learning how to DJ by watching YouTube and then began taking classes in his 40s.

Guilherme then started lifting his parish church out of debt by organizing small music festivals in the community.

Now 52, Guilherme is performing worldwide.

[P Schroe @PSchroe9]

@julie_wade 6948?

[Ivan @iV_trader]

$spx prescription for tomorrow?

200 likes
100rt

Hope you guys enjoyed my work for today’s session written in advanced for all!

Much love

Let’s go have until 6pm

[P Schroe @PSchroe9]

@vighnaraj2022 Does put theta always decay faster than call theta or only applicable in the current structure?

[VolSignals @VolSignals]

there's no way this post gets 250 likes and 100 retweets in 73 minutes

but if it does, I'll continue streaming our data free in-server the rest of the day

and one of you who *does* retweet it, will get to jump the line for beta access on Monday.

(I get to make the rules)

[VolSignals @VolSignals]

@PSchroe9 Aiming to begin a phased roll-out next week, with the designated Beta group getting a free look and first rights

[P Schroe @PSchroe9]

@VolSignals Very clean look to your platform. When is the launch?

[P Schroe @PSchroe9]

@DETONATEDcom What about the reference to Back to the Future?

[P Schroe @PSchroe9]

@VolSignals is it purely order flow being larger than charm pressure that would drive price counterintuitive to what the profile says? For example today in the last 10 minutes, price moving up against negative charm?

[GammaEdge @GammaEdges]

$SPX 0DTE:
🟢Call dominated structure: Anticipate pullbacks to continued to be supportive until this state changes.

🟡Wider DEX/GEX transition areas (blue and grey box) today could result in choppy price action within these congestion areas.

🟠Drunken Sailor range (DS orange box) overlaps the transition areas today. This low OI exposure area will allow price action to be driven by intraday market participants and volumetrics. This will also be a choppy price action area.

🔑If price is above the DS range we will look for price appreciation towards 6740 if supported by intraday volume. If price is below the DS range we will look for price depreciation towards 6650 if supported by intraday volume.

Come join us at 9am EST at the link below!!
GE team 🤝

[P Schroe @PSchroe9]

@julie_wade How does expiration and the trading a new forward month affect your ES levels?

[Ivan @iV_trader]

Who wants the updated chart??

lmk

$SPX

20rt/50❤️

[Julie Wade @julie_wade]

This is the Globex range, 17:00 - 08:30 am, calcs on Open. You can see market went straight to upper Globex 1 at 6500.75 and stopped. These levels are real time.

When I overlay the Daily Range Distribution on the same chart, you can see the Daily 1's are above between 6510.75 - 6511.75. The Globex 2 is just above those at 6513.00. These provide resistance levels intraday. In a market going short, that is where you would expect to see Dealer short calls come into the market.

Option levels for Monday indicate directional long positions are not favored until > 6519.25; so I expect to see some heavy short calls first but I do think the surprise is to upside on Monday. Why? Because that 6 Month 2 is offering support at 6458. I hold onto my long hopes until that breaks lower. 🐂

[P Schroe @PSchroe9]

@VolatilityQ Coincidence? I don’t think so.

[The Market Ear @themarketear]

Gold Setup Screams Breakout

[P Schroe @PSchroe9]

@VolSignals 😂😂

[Doc aka Trader McGraw @doc_mcgraw]

Understanding the VVIX:VIX Ratio: A Quick Dive:
Let’s break down the VVIX:VIX ratio, a slick metric for reading market vibes and volatility expectations. Useful for anyone trading or eyeing markets.
•VIX 101: The Cboe Volatility Index (VIX) is the market’s “fear gauge,” measuring expected 30-day S&P 500 volatility via options prices. Low VIX (~12–15) = calm market. High VIX (40+) = panic city.
•VVIX 101: The Cboe VIX Volatility Index (VVIX) tracks the “volatility of volatility”—how much the VIX itself might swing, based on VIX options. It usually ranges from 60–145, averaging ~86.
•The Ratio: VVIX ÷ VIX shows how uncertain the market is about future volatility compared to current volatility. Higher ratios (6–10) often mean low VIX and a chill market, but with VVIX hinting at underlying jitters. Lower ratios (2.5–5) show up when VIX spikes during stress.
Why Care? The ratio flags market sentiment. At 6.4 (recent data), it’s in the “normal” range (5–7, where it lives ~60% of the time since 2014). But 6.4 is on the high side, suggesting a market that’s maybe too relaxed. With VIX ~14.5 (implied from VVIX 93.14 ÷ 6.4), it’s “borderline complacent,” and volatility might be underpriced—options premiums could be cheap.
Heads-Up: Ratios near 10 scream complacency; below 5 signal fear (like 4.5 in August 2024’s pullback). It’s mean-reverting, so extremes don’t last. Use it with other tools to spot turns.
Takeaway: VVIX:VIX at 6.4 says the market’s chill but flirting with complacency. Volatility could be underpriced, so watch for spikes. Save this and stay sharp!

Understanding the VVIX:VIX Ratio: A Quick Dive for the Crew
Let’s break down the VVIX:VIX ratio, a slick metric for reading market vibes and volatility expectations. Useful for anyone trading or eyeing markets.
•VIX 101: The Cboe Volatility Index (VIX) is the market’s “fear gauge,” measuring expected 30-day S&P 500 volatility via options prices. Low VIX (~12–15) = calm market. High VIX (40+) = panic city.
•VVIX 101: The Cboe VIX Volatility Index (VVIX) tracks the “volatility of volatility”—how much the VIX itself might swing, based on VIX options. It usually ranges from 60–145, averaging ~86.
•The Ratio: VVIX ÷ VIX shows how uncertain the market is about future volatility compared to current volatility. Higher ratios (6–10) often mean low VIX and a chill market, but with VVIX hinting at underlying jitters. Lower ratios (2.5–5) show up when VIX spikes during stress.
Why Care? The ratio flags market sentiment. At 6.4 (recent data), it’s in the “normal” range (5–7, where it lives ~60% of the time since 2014). But 6.4 is on the high side, suggesting a market that’s maybe too relaxed. With VIX ~14.5 (implied from VVIX 93.14 ÷ 6.4), it’s “borderline complacent,” and volatility might be underpriced—options premiums could be cheap.
Heads-Up: Ratios near 10 scream complacency; below 5 signal fear (like 4.5 in August 2024’s pullback). It’s mean-reverting, so extremes don’t last. Use it with other tools to spot turns.
Takeaway: VVIX:VIX at 6.4 says the market’s chill but flirting with complacency. Volatility could be underpriced, so watch for spikes. Save this and stay sharp!

[Julie Wade @julie_wade]

@mcnopus 🎯TARGET REACHED.
Lunch time.

[P Schroe @PSchroe9]

@VolatilityQ Quiet period