ESH1 Trade on Jan 4, 2021 15:55 from Marius: Tradervue User Stock Trades.

US markets with a gap-up into the new year but quickly retraced and sold into with election run-off headlines taking place on Tuesday. Globally markets look strong and risk appetite is seen all across the board. One example is in the cryptocurrency space where BTC is trading north of 30k as of this writing. VIX also opened higher implying possible option hedging activities.

Fundamental Analysis

With elections for the Senate and a possibility of the the Democrats regaining control this pushes their agenda(s) with more favor of passing. One of these is corporate tax increases. Which effects companies earnings that ties into valuations. Although there are more aspects into this, I'm only listing on what I have learned thus far.

SPY Snapshot Overview

Noting the ETF funds flow for the past year. Expected to see more inflow here. Noting the top holdings of AAPL, MSFT, AMZN, FB. Possible rotation back into large caps in the future.

Markets Overview

Noting the strength in global markets as this current selloff could just be a US equites theme because of the fundamental election event.

Top Buys/Sells Ratio

Adding additional overall market data to build an alternate internal breadth/supply demand perspective. Still testing this as I'm already using traditional breadth metrics with ADD and TICK. This is providing specific securities on retail/institution orders. I see this as a healthy ration overall in the current development. If we seeing more sell side ratio's accompanying the declines then that would raised more concern for the downside.

Quantitative Analysis

Intraday Fundamentals

RVOL 1.498
AVOL 1.266M
ATR 51.71
Short Float 18.60% (SPY Koyfin data)
Shs Float 888.18M
Inst Own -
Market Cap 332.34B

Options Statistics + Tape Reading

SI 8.129
IV 27.20%
IVP 14%
P/C 2.027
VWAP 3703.747

Noting the higher amounts of Puts traded today. SI is also higher which if reflective of the VIX and options hedging. Still with lower relative IV for the year. Puts mostly traded at the BID implying urgency of writing positions. Of that 75% were at 0-20 delta.

For the tape I'm noting the large put buys around 3000 and late cash equites session call selling at 3850+. Seeing that the put buying could be hedging/protective earlier in the day but towards end of day call selling implying bearish sentiment possibly stabilizing.

No level 2 reading or recording today.

Options Positioning

OI 973
VOL 1,006
Delta -.02
Theta -.83
Vega .16
Gamma .00
Prob T 4.18%
Prob ITM 2.11%
MMM +/- 65.255
IV Series 25.59%

3400 traded with higher liquidity today and R/R parameters for the trade was evaluated and more risk adverse as the set-up was not an A+ setup and based as a shorter-term/mid-week income/finance trade to open the week.

Technical Analysis

More of the daily volume being done on the BID, potentially on a bearish lean but noting the L-MTF price action against HFT levels. IV is relatively lower comparing recent past but has been low and can be due for an increase.

4h hour timeframe and noting the VPOC areas and previous levels. 3400 is also an area high level from the prior year before the selloff in Feb/March. Seeing if price compresses in the current VPOC area just below 3700 which is where the trade was entered. 3800 is in orange as that was an initial trade idea to position and risk off of for a bearish short position. Switched playbooks on the set-up after watching and analysis for a bullish short position.

Trade/Risk Management

Had placed some closing orders on the second day as price cleared the 3700 level but didn't get filled. Position was kept on and another separate trade for the week was initiated. Checked in on the position and price action during the counting of the Georgia elections. Price traded below 3700 and in prior's day range. NQ seemed to be sell off the most but RTY breaking out on the mid-high time frames. There wasn't that much volume in the options chain during this time but the models are still calculating more the favorably for the position.

Had a level 2 and time & sales + any news on the feed to see if I can spot anything notable. May need to run this during cash equity hours to compare. Also noting more volume being done on the ASK for the day.

Trade Review

Trade closed and executed as planned. Grading overall as an A. Used an appropriate size on the position going into a specific news event that would drive markets as a whole. This was the best option as a mid-week trade instead of an individual stock play. In the future consider larger size and can manage by scaling in and or out if parameters are reached. These market trades continue to show favorable edge, especially in times where there may not be notable company specific fundamental catalysts such as in earnings season.