NQZ0 Trade on Dec 9, 2020 15:14 from Marius: Tradervue User Stock Trades.

The anticipated turn took place as technology lead the markets lower. It's noteworthy that other areas of the markets and indexes stayed relatively stronger in this pullback.

Fundamentals

There is no lead catalyst or news that lead the markets lower. Could be less news flow and noticing news flow starting to be less of an effect compared to early Nov. There is overwhelming data with Covid cases and business closing accompanying stay at home orders nationally and globally. It is also at the tail-end of earnings season which is similar to the September sell off. Keeping this to note in the future as keeping in mind fundamental developments with company reports are strong catalysts to the whole market.

Snapshot added here for the QQQ etf to give additional info on the future contract. Noting the ETF funds flow going back 5 years. Top holdings with TSLA listed as number 4 which I was trading prior when long before the sell off. Interesting funds inflow to note going into 2020. Additional perspective here.

Additional details on the components within the etf/index and performance for the sell off today. Getting an idea of what stocks were sold the most here on the first day. First 3 on the list all look to me like the higher flyers for the year. Maybe some institutional fund shifting and or profit taking. More forward research to go here for other type of trades up to and including widespread baskets vs. etf/index trades.

Quantitative Analysis

Intraday Fundamentals

RVOL 1.393
AVOL 407.934K
ATR 229.89

Options Statistics

SI 4.811
IV 26.98%
IVP 23%
P/C Ratio 1.037
VWAP 12508.986

Noting 50% of puts traded was at the ASK possibly implying more buying. And together with that, 38% at a delta of 41-60 which could mean more of the buying for protective/hedge probability.

Options Positioning

OI 45
Vol 48
Delta .04
Theta -2.49
Vega .97
Gamma .00
Prob T 7.74%
Prob ITM 3.86%

MMM +/- 210.106
IV Series 24.49%

Moving back into this playbook on NQ I noticed the lower liquidity but keeping in mind the higher leverage. Will have to revisit trading the actual index (NDX) to see if positioning and R/R is something to reconsider with increased capital and developments.

Implied Volatility

Grateful to have been shared a coded study that the traders on the desk use during review on the calls. The volume is now showing variables and quantifying how much is done on the bid vs the ask. Gives some perspective on the macro view, and of course you can see more detail intraday moving to lower timeframes. Noting the downtrending volatility confirming with VXN and VIX (not shown).

Tape Reading

Noting the put buying in the mid 12k's.

Trade Review / Technical Analysis

Positioned closed/managed as planned. The next trading day after entering the position price found sellers around 12450. This was and updated risk management area as the trade deloped. A back side short set-up was in play here however the market was still strong with all the recent high flying IPO's (DASH + ABNB). Investors still taking on risk and open minded in either direction for this market play and thesis going into next week and year end. Ranged set-up going forward 12400-12250. This will be key into next week. ES_F was showing weakness but RTY_F + YM_F showing relative strength and buyers. Still in process and will probably a clearer direction in into next week.

Grade A in this trade with overall quick execution and active management. I probably would have added to the position on the back side short set-up but I was already in full size. Not sure how I would managed the trade better in this specific execution development. Still need to work on executing narrower levels while managing risks. Also to keep in mind to pay attention to the models and the quantitive data as it has proved me wrong in 2 recent occasions with one review I'm updating on the previous trade this week. I think I need more sample sizing here because of the increased risk but keeping in mind to further grow the trading business.