ESH1 Trade on Feb 23, 2021 15:50 from Marius: Tradervue User Stock Trades.

Markets saw some notable profit taking and selling opening into the new week. There were some areas of the market still outperforming ie. XLE and XLF. Markets were broadly met with aggressive buying at the open today and at the close.

Fundamental Analysis

Markets were back in play with earnings still in full swing. Positive economic data coming out continuing the support the re-opening trade. More notable fundamental driven event this week was Powell testifying for the Federal Reserve on current plans. They are still very supportive of the economy and providing the liquidity for the economic recovery and markets. More notably mentioning the recent rise in yields in response to inflation projections was more temporary and still far from target. This is a concern within the market as yields increase and investors and portfolio managers planning/re-allocating capital.

Quantitative Analysis

Intraday Fundamentals

RVOL 1.46
AVOL 1.455M
ATR 54.31
Short Float 17.56%* (Koyfin SPY data)
Shs Float 871.48M*
Inst Own -
Market Cap 337.24B*

Options Statistics + Tape Reading

SI 6.481
IV 21.79%
IVP 3%
P/C 1.15
VWAP 3850.101

Liquidity seems sufficient here but I have been trading more in play stock names around earnings so there is a different order flow dynamic here. This is also a market play trade so the market is moving more than average. This is still part of my of my playbook which currently shows good stats.

Options Positioning

OI 567
VOL 1550
Delta -.03
Theta -.56
Vega .18
Gamma .00
Prob T 5.46%
Prob ITM 2.74%
MMM +/- 32.312
IV Series 15.12%

Good positioning here and keeping in mind last months close call when I entered too earlier and saw notable fluctuations overnight. Still a mid size position with risk. Will keep in mind in the future that I may be able to enter, adjust, and or add a similar position overnight after the cash equities close.

Technical Analysis

Bullish daily candle stick reversal. Buyers in control at the open and close intraday. More volume done at the ASK on the underlying and call options side implying directional strength. IV also trending lower with the markets grinding up.

Noting the buyers taking aggressive control at YTD AVWAP which is also above a key VPO. This is at 3820 MTF inflection level. Sellers and supply at 3890 which is around MTD AVWAP with a key VPOC area.

Trade/Risk Management & Review

Trade closed OTM as planned. Overnight liquidity was briefly reviewed and noting that there will be some pockets of drawdowns but with additional ability for adjustments and or trading during this time.

I used the the risk parameters and processes that have been shown to produce edge in my prior booking. Will be considering other 1DTE and 0DTE trades in the indexes vs. futures contracts to manage the overnight fluctuations. Thinking that this will provide better capital efficiency and alpha with risk controlled on spreads. In the past I would only use a single leg for scalps and or weekly plays.

Overall grade here would be an A for trade planning, management, and execution. The trade was in my playbook and risk is better managed. Need to figure out how to manage capital more efficiently and be able to pull more profits in these types of trades. I think there is more potential here reviewing the data in my book thus far.