NQU0 Trade on Sep 17, 2020 15:50 from Marius: Tradervue User Stock Trades.

Markets continuing to show signs of rotation. Strength in transportations and chemicals. Notable weakness in tech, large, & mega caps. Had a thesis of continued weakness and volatility heading into the week where I exited most of the notable tech large/mega cap stay at home names. Have automated alerts set at key levels when to possibly re-enter. More risk to the downside than reward for the time being in the mid-term portfolio.

As for the active account, weekly shorter-term short trade here on quadruple witching. 1% delta calculated by the model. Expecting more volatility tomorrow with the expirations. FOMC this week seemed like a sell the news event but still open minded seeing support being held after the sell-off. Noting that not all sectors are selling off and no notable fund shifting in other assets as of yet.

Intraday Fundamentals

RVOL 1.27
AVOL 640.8K
ATR 311.18

Options Statistics
SI 8.185
IV 37.59%
IVP 42%
P/C Ratio 1.336

Notable 43% puts traded at the BID or below possibly meaning more protection buying. Out of these also 43% traded at a 21-40 delta meaning 21-40% probability ITM.

Options Position Metrics
OI 477
Vol 34
Delta .01
Theta -.78
Vega .23

Technical Analysis

The recent sell off from the FED meeting was noticeable from the last 2 sessions however the key support level was even more notable. Range seems to be 11500-11000. Trading below two specific anchored vwaps. ES, IWF, IWV also showing similar weakness.

Tape Reading

Only noting the large 28 buy 10800 P here. Didn't use the time & sales here as much in the trade management.

Trade Review

Markets opened with selling with no bounce until the later half of the day. I didn't know that my options were going to expire at the open. I set-up the trade thinking it would expire at EOD. Keeping in mind of the monthly and quarterly contracts in the future to when they close & will have to clarify with the trade desk.

In the future will be planning these same trades and will plan in better R/R positioning. Should be able to get a closer strike which will yield more premium but will have to be within risk and trading parameters in further development.

Seeing more weakness towards the end of the week here and will keep note as the markets open next week into the end of the month.

Additionally noting realizing the actual notional value from these derivative products. Higher leverage than I put together because I was mainly focusing on the risk and profitability of the trade. Each NQ contract has a multiplier of 20, so for this trade, 11.6K times 20 which equals 232K. With 2 contracts that is 464K value representation being traded. May give some time in the future to go back into intraday trading just the contracts to experience and see if I have edge to add in these markets. But main focus for the near-term is options as it is providing the trading business additional creativity and flexibility to work ideas into play.