NQU0 Trade on Sep 3, 2020 15:50 from Marius: Tradervue User Stock Trades.

Market sell off with increased volatility. No specific catalyst even with good economic reports. This was in the forecast with how much price acceleration and relentless buying the past 2 months. Mega/large cap growth names more affected. Goal here was to get short the market seeing the turn and markets price action + reaction. VIX is elevated once again but there were early warning signs as mentioned in the previous trade that was closed.

NQ closed with a very high reading of elevated RVOL compared to the last couple months. It is now at the 21 ema (trend guideline). No low to this momentum move established yet.

This is also my first live futures options trade. Have to keep in mind the increased risks with the leverage. I chose further OTM calls to sell for this week for which 1 day is remaining. Saving the upcoming 3 day weekend to rest, recover, & absorb more info about the current market and have a sharp game plan into next week.

Technical Analysis

Updated chart at weekly close.

Option Statistics Sept Week 1 Close
Sizzle Index (SI) (RVOL of options last 5 day period) - 3.925
Call SI - 3.604
Put SI - 4.162
Volatility Sizzle - 1.203
Future Sizzle (underlying) - 1.899
P/C Ratio - 1.442

IV - 40.76%
IV Percentile - 50%

IV percentile higher at 50% meaning high but not as high implied volatility as 100% for the year. P/C ratio higher meaning more puts traded than calls which reflects selling activity, need for hedging, and bearish sentiment.

VIX Futures Daily

Noting the days of bidding up prior to the expanded volatility. Good measure on options pricing and market signaling future 30 day volatility.

Trade Review
Options expired worthless (trade goal) because price never closed above the call strike at 12250. I sold this far OTM call seeing the momentum downwards (effectively short the market but from a further entry point). If the market was extremely bullish in the shorter-term it would have made it back to this point. I would have taken the position off and changed the thesis on this trade just like my previous trade. The delta was implying a 2% chance of making it back to that price by the end of this weekly option. I had only been in this position for 1 trading day so this was another option scalp.

One important aspect I may have overlooked in the trade was the actual risk if it reached the strike. Every point on this future contract is equal to 20. So a 50 point move above my strike would be -1000. And that would be x2 with the 2 contracts. I had plans to actively manage this and would have taken the trade off if momentum reversed. This is similar to the previous trade in NFLX. Taking the pre-determined loss before incurring an even more so hit. If not watching actively I can use spreads by adding an opposite option for protection but setting alerts and watching price action closely like intraday trading is manageable. Just have to keep in mind that it only takes 1 error may it be personal and or technical issue to be in that bad situation. Also noting the bid ask spreads were wide in this trade but I was able to get a good mid price. Something to consider to look for tighter spreads in case position adjustment is needed. Risk management is key going forward and emphasizing now that I'm officially venturing into the futures market products after a month of practice and paper trading.

Will be doing more analysis over this 3 day weekend and see how the markets open next week to see if these market play trades would be better than individual stocks.

Additional forward research

Currently trying to use tape reading skills from trading stocks and applying them to the options tape and using options statistics like intraday fundamental metrics. Key for the latter was recognizing TOS Sizzle Index is similar in reference to RVOL as it's based off of last 5 day volume data. The futures/stock sizzle will reflect the underlying RVOL.

Trade Analysis section shows some insight on orders traded on the BID & ASK possibly implying call/put selling and or buying. This carries over to the options tape. Lots of filters for data + info to be analyzed. Showing the monthly expiry which is the main contract vs the weeklies. Although weeklies can be used in the shorter-term for scalping.

Tape Reading