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The Market prepares for CPI Data

A bit of Macro updates as we get into CPI day today.

Oil Market

The Energy Information Administration (EIA) disclosed an unexpected increase in crude oil inventories, amounting to 1.34 million barrels. This rise was attributed to a decrease in exports and reduced processing by refineries in the previous week.

Additionally, for the first time in three weeks, there was an increase in stockpiles in the Gulf region. This could be linked to refiners restocking inventories that had been reduced to dodge year-end taxes in the previous year.

This restocking activity has had a positive impact on the physical prices of West Texas Intermediate (WTI) for January delivery, and this trend might persist in the upcoming weeks.

Treasury Option activity

An investor in the iShares 20+ Year Treasury Bond ETF (TLT) seems to have executed a strategic trade involving options.

He purchased 10,000 contracts of a call option with a strike price of $98.50, set to expire on January 19. Simultaneously, they sold an equal number of call options with a strike price of $102, expiring on March 15.

This trade suggests an anticipation of a decline in bond yields over the coming week. CPI According to a Bloomberg survey, economists anticipate that the core consumer-price index, which excludes food and energy costs, will reflect a decrease to 3.8% for the 12-month period ending in December.

Finally shortly we will be releasing a new Macro Trading Room within our Premium Membership to help you analyze data to make more data driven trading and risk management choices.

Q-Levels

Lastly let’s look at the levels for yesterday on SPX. The price showed momentum at the break of our GEX Level and bounced back at the hit of the 1D Exp Move Max.

Levels

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The start of 2024 in the Market

The start of the year has been bumpy to say the least. It was the worst for the last two decades.

Market 2024

The job report last week gave the bond market some gas, and the aggressive rate cuts that the market rallied on last month hit a wall of worry. 

job report

CTAs Positioning

The SPX jumped back into negative gamma, and price action pushed CTAs to reduce the length that had been injecting liquidity into the market in December 2023. If you don’t know what positive or negative gamma is, please read our guide.

Screenshot 2024 01 06 at 3.51.40 PM

You can find the CTAs Model in our Premium Membership. More on the CTAs Model here.

Volatility Control Funds

In the long short volatility ETF world, we continued to see Long ETF continue to build volumes. That means, ETF investors have been going long volatility.

Screenshot 2024 01 06 at 3.53.39 PM

You can find the Volatility Models in our Premium Membership. More on the Volatility Barometer here.

Discord Membership Update

The Discord community continues to grow, and the Trade Structuring channel has been working very well, and we’ve had incredible feedback. Every morning two of our professional traders help you read our data/models, and help with set ups. 

This channel has really helped increase the interaction in the other channels where other traders ask questions, exchange ideas and help each other out. It is really an incredible community, and it is beyond what we had hoped for when we created Discord. 

Because of the success of the Trade Structuring channel, we are working with another professional trader to create a Macro channel. Details will be coming shortly. But we are excited and it will be another incredible addition for our Premium Users.

Options Screeners

The screeners have now been out for a couple of weeks. The community seems to find them really helpful, and are shared and commented in the channels daily. But how can one use the screeners?

Here you find a guide we dedicated to it.

But here are some ideas on the process we can use. As a retail, you really have all the tools you need for your morning set.

Step 1: The Screener

The first thing one can do is to download the preferred screener. Let’s take a look at the Put Support 0DTE. We see all assets whose price is close to the Put Support level.

Screenshot 2024 01 06 at 3.59.40 PM

The Put Support 0DTE is the 0DTE level with most Put activity. In general this key level can act as a magnet and a rejection level when price hits it. 

Step 2: Analysing the Data

Next, once the investor has chosen the asset, it can look at our models to see what the positioning for that chart looks like. You want to use the screeners as a starting point. But then you need to do the work. The screener has picked up SPX, let’s use this asset in our example.

The first thing you can do is to look at the Net Gex by different expiration dates. This will show you the Net Gex for 0DTE, Weekly and Monthly expiry. Use this shortcut in the Query Bot: /netgex_multiexpiry.

Screenshot 2024 01 06 at 4.02.18 PM

The Net GEX is showing that as the screener pointed out, there is a lot of negative gamma around current spot price. A lot of Put Gamma.

This is only one chart, you have a lot more charts and models for your study in the Query Bot. Check here for more analysis.

Step 3 Visualization on TradingView

Next, we can plot the levels on Tradingview. You can get the SPX levels either via our free daily report, or by using the Query Bot. This is the shortcut: /levels_tw.

SPX 2024 01 06 16 04 14

Here you can visualise spot price and all the key levels including the 0DTE Put Support Level as it appears on your screeners. It is an easy visualisation for those that use TradingView.

Step 4: The Strategy

The last part is to choose the strategy. Let’s say that after your study you believe that spot will most likely bounche once it hits the Put Support 0DTE.

You think that based on what you are seeing in the option chain, Net Gex and Open Interest the price can move away from that level. One of the strategies that you could look at is a Bull Put Spread. 

We have a dedicated section on Strategies within our Guides.

bull put spread

You can find all our Models within our Premium Membership.

Market Positioning after OpEx

This was another crazy week in the markets with CPI and the Fed in the spotlight. Not only that, we also had a big option expiry on Friday. As we had been pointing out in our trading channels last week was particularly important, because the outcome of the first two events were key to see whether the market had support to run into year end. 

CPI came close to expectation, and helped create support above spot. What was more surprising was Powell, who came in more dovish than expected. That really gave gas to the market. Question at this point is whether that was premature. 

As Cem Karsan has been pointing out, while it looks premature, it could have been expected as we get into the presidential race in 2024. In the macro world we are already seeing the risk of effects as credit spreads drop, especially junk spreads. 

Twitter Feed

Either way we saw huge support into this market, and with positive seasonality, flows are looking supporting into mid January when we will have VIX expiration. Via the NetGex chart you can see how call gamma has been increasing. 

This chart is updated post OpEx, and it clearly shows that the market and the flows are now supportive into year end. The thesis for the Santa rally holds more than ever – if nothing major geopolitically happens in the interim. Look how call gamma accumulated around that 4800 strike. 

Even the Call Resistance level moved up from 4700 to 4800 a very bullish sign from a positioning point of view.

net GEX Post

So OpEx unpinned that 4700 and let the market run. We wrote a thread about OpEx, how to think about pinning and unpinning. Worth reading and bookmarking for the next time, because these even become more and more important as option flows in markets increase. Here are some interesting content coming from our Twitter:

The 1D Exp Move Indicator

Systematics funds, CTAs and algo are becoming more and more active in these markets. Same goes for the use of options. What this means is that flows are becoming more and more important to follow, but also that some of the market moves can be more predictable if we understand some of the key levels that become support and resistance. We are not talking about technical analysis but levels with heavy option positioning. 

One of the key indicators that we use is our proprietary 1D Expected Move. What we do is calculate a projected/expected move for indexes and stocks for the next day based on current positioning. While you cannot expect the index to be accurate 100% of the time (it does not predict unexpected events), it can help you narrow down for you the expected move of spot price. 

This provides you with a price band. That band can be used in different ways depending on your strategy and risk management. The 1D Move provides a Minimum and Maximum price range.

Let’s look at an example from last week to see how one could have used it. Let’s look at the QQQ. Below we have the price action on the day. In this case the trader could have used the 1D Expected Move to enter into a spread trade. We always prefer option spread to directional only because those help you manage your downside risk. But you decide your risk levels, and can use the levels as you like. 

In this case, we could have used the 1D expected move as a support level. Better to wait for the initial bounce before structuring your spread. The moment the spot hit and bounced off the 1D expected move, the trader could have sold a Put Spread. Depending on your risk appetite, you could have sold a put around the Call Resistance level or slightly above and bought a put at a lower strike. 

That would have allowed you to collect premium on the put spread. As the price bounced to the upside you could have closed the spread and collect all or part of the premium.

Another way could have been using a Directional Strategy like Buying an ATM or slightly OTM Call when the price touched the 1D Exp Move Level.

QQQ

We have backtested our 1D Expected Move indicator here. Please read more about it:

You can find more ways of using our levels at this link. We give more practical examples of how to use the levels:

Join our Premium Membership if you are looking to learn how to trade options and leverage our models.

Iron Condor. How to turn a red into a green day

This post comes from our Trade Structuring Channel where our Traders share their research and findings before the market opens. You can access the Channel within the Premium Membership via Discord.

IC Trade

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Today we will look at how to manage a 0DTE SPX Iron Condor while the market pulls back and goes against you and the most important lesson for traders: Manage your Risk. 

Despite the risk the team was still able to close the day with a $2160 profit and in green despite the market going against the trade.

An Iron Condor Strategy benefits from low volatility and the passage of time. The goal is to set levels on the Call and Put side and pocket premium if the price does not reach those levels. We have an article dedicated to the Iron Condor Strategy.

Now let’s do the analysis. The trade date is December 6th 2023.

Premarket Analysis

The Iron Condor strikes  were decided before the market opened at 4620/4640 for the calls. In this case we wanted to sell the 4620 strike and buy the 4640 strike. On the put side we wanted to sell the 4555 and buy the 4535 strike. With an Iron Condor you can execute the structure in one trade or break it down and Sell a Put Spread and a Call Spread separately. We prefer this as it allows us to better manage our two sides during the day.

We sold the Put Spread for 40 cents and the Call Spread at 60 cents, at the market open. After getting filled, we set a Buy To Close Order (BTC) to 0.15 cents on each of the spreads, as per our practice. The key to success is not to pocket the full premium but to limit the risk and reduce the Time in Trade (TIT).

We were bullish pre market and data was good, narrative-wise, which made us more wary of our Call Spreads rather than the Put Spreads. 

We start the day always by monitoring the Menthor Q Levels.

qlevels day

9.30 EST. The Market Opens

So once the trade got filled, the market started dumping. At this point, this benefited the Call Spreads, which were closed and had a Time in Trade (TIT) of about 30 minutes (see screenshots below). In this case we sold our calls at 60 cents and closed at 15 cents with a net premium of 45 cents or 75% of premium on the call side.

fill

Now that we are out on the Call side, ideally, we would want the market to pull back and even rally to have the same positive outcome for the puts, but the market kept going down.

pull back

At this point in the trade, we start thinking about our short strike, 4555, which is the day’s 0DTE put support. A trader could have waited for a lower strike to fill, of course, but getting filled isn’t always as easy as it sounds. In any case, we now found ourselves sweating this second side of the position. 

What do we do? Do we take the Loss? Do we not worry about it because we’re far from the level?

The first thing we like to do is look at targeting. We want to see where the Market Maker is pushing the price. For example, if we have ample evidence throughout the day that they “only want” 4570, say, it shouldn’t theoretically be an issue and we just wait it out, let the market do its thing and wait for theta and wait until we get filled out.

But what if we start seeing targeting at or below our strike? 

That would put us at risk of losses. In an Iron Condor the maximum risk is the spread between the strike sold and the strike bought. In our example our spread was 20 points (4555-4535) which equals to a $2000 loss per contract.

In this screenshot, taken intraday, we can see the 4555 Put – our short strike, in a 1 min chart, showing volume of buyers/sellers. 

So what we see here is roughly two big volatility signatures that amounted to about 3K contracts. Not very good for our position, because we don’t want the Market Maker to go there, of course. This is what we mean by targeting.

volumes

Source: TastyTrades

12.00 PM. So what now?

In this case, if we clocked around 3K contracts, we want to see the same signature on a dump to indicate that they are jumping out of those contracts. What we also want to see is whether they are rolling down or closing this put at a profit and then getting into lower strikes, for continuation which would be very negative for our put spread.

In this screenshot, right before lunch, we started getting some relief. We were still “far” from the 4555 strike, but we can’t be complacent, of course. With a new Low of Day set just before, and with targeting awfully close to 4555, we didn’t like this trade anymore and started thinking of exit strategies. 

The question was also to the upside: were we seeing targeting to the upside? Perhaps a buyer would come in to sweep up, say, 4575 in large numbers and we’d rally and trap the bears? That can always happen as well. We started looking at 4575c, 4570c, etc. — the usual intraday detective work. We did not find anything bullish though, which upheld our intraday bearish thesis.

retest zone

The Power Hour

Another thing to worry about is power hour. 

Experience told us that if this turned into a trend day, a bearish trend day, we now want to use any parachute we have to get out of that position. Remember, we’re already very green on the call spread, which offset put spread loss, provided the market gives you a solid respectable out, which it did. Market, if you know how it rolls, always gives you a parachute to get out before getting “rekt” – a common term for 0DTE retail traders who don’t know when to call it quits.

In this screenshot above, we rallied up a bit. Now we know targeting was against us, either at our strike or below. The Put Spread we originally sold for 40 cents was now at break even (after spending a long time showing red, VERY much red – we were waiting for price to settle after trending move to see what that would bring, hopefully/potentially some relief to upside to limit losses etc.). 

So we decided to take the parachute and enjoy our green day (thanks to the call spread). This is where we exited.

exit

This is the fill at break even.

break even

Market Drops

Soon after we got out of the position, the market started dumping hard, as expected. Not only did it violate our original 4555p, but it went right to 4550p (back to the scene of the big gamma crime, yes, again), but it even closed under it by a point.

market dip

This was the final profit for the day after many hours of fear.

pnl

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Menthor Q Project Update: December 2023

When we embarked on the journey to build Menthor Q we wanted to create the platform that is currently not available in the market. 

The plan of this project was based on our experience in the markets combined with our quant background. 

Every trader wants actionable information, easy to understand in a user friendly format. The issue we all have today is that to be able to access all the relevant information one has to access different platforms. 

Starting from the option chain, there are many platforms out there, all of them have some information but not the full picture. So you are stuck jumping around and having to subscribe to different providers. 

The same applies to institutional traders. A trader on Wall Street uses the likes of Bloomberg for data, builds his own models but is also looking at different subs the entire time. Then if you want to look at momentum or systematics it becomes another issue. You have to once again jump around to find the right subscription. 

One of the benefits that our team has is the mixed background. This is allowing us to understand how to build the All-in Q-App.  

We are trying to create one platform where you can access your options, momentum, futures and systematic data. There are obviously challenges in building something like this. 

Getting the right data, having the right database and data feed. But not only, while there is a core team, to be able to scale, one has to be able to attract the right talent. To date, while we have had some challenges, we have been able to stay on track and build around the core team with strong support on the development side. 

As we continue to grow, please continue to reach out if you think you have the skills to help us grow especially on the development side.

Apart from the development of the back end, in parallel we have continued to build models. While we would like to have more models, we also know that if we start releasing models without support, traders will get lost. We have noticed that current models as well as the usability of Discord is not always straightforward. 

So while we continue to build models, we are also actively looking for ways to make the usability of the models and Discord easier for everyone. 

The Trade Structuring Channel

These are the challenges that our users have raised:

  • How to use Discord: as we said many times, until we have the Q app up and going, Discord is the best channel to release models. While there is a free option and a free chat, the value is really found in the Premium section.
Premium

The channels are very straight forward. Every morning data is added to the different channels. The one that is different is the Query Bot. But it is also the channel that gives you more value, because that is where you can download all our models for the assets you trade. 

When we rebuilt the website we dedicated a section to the Query Bot. You can find it here. There is also a video, it is three minutes, but they are worth it. How to use Discord Bots

We then have a second challenge…

  • Understanding the models. Once our users find our models, the next challenge is knowing what to do with them. This is not only a problem for the user but also for us. Because before we can release more complex models like volatility surfaces or quick delta, it is necessary that our users understand what we have now, and how to use them.

We have created a new Website to help our users better leverage our data. This is what you can find on the site

  • Free Material: the Guides section of the new website has a ton of free information . This will really get you up and running. Read our Guides
  • Academy: we created our course which is more advanced, you really dig deeper in volatility, the greeks and start thinking about trade structuring with options. Access the Academy 
  • Trade Structuring Channel. Finally the new channel on Discord. We will have a new dedicated resource that will post every day a new trade. But the process as we have explained in previous newsletters is one where we help you understand the data and then structure/risk manage a trade based on what our models are telling you.

The new channel will be run by Paul. We had the pleasure of getting to know Paul with time. He has been one of our subscribers from the beginning. We got to know him, and appreciated his experience in trading and his attitude and willingness to always share ideas and explain to other members how he decides to put up a trade.

Paul began investing in the late 1970s, actively trading during the mid-90s Bull Market and experimenting with derivatives. He managed a balanced portfolio around 2000, which shielded from major losses. Post-retirement, he started focusing on options trading, studying the “McMillan Bible” and Options Greeks, and transitioned to selling premiums and concentrating on SPX and other indices from 2017. 

He delved into Gamma and market structure in 2020. With over 40 years experience he will be a new great addition to the Menthor Q Team. We look forward to start this journey.

New Development: Momentum Indicator for TradingView

Before we wrap up for the week. We know that a lot of you like to use momentum indicators. Honestly, we do too, we like to combine them with our option charts for confirmation of what we are seeing. 

All the momentum charts will be available in Discord as soon as we finish with the database and the backend of Menthor Q. We think we should be able to wrap this up in the next month or so. That was honestly the hardest part of the project. But promise we are getting there.

Back to the new indicator. We created a code that can be used with our Gamma Levels and integrates key indicators within Technical Analysis for your Trading. The new tool combines the three indicators

  • Support and Resistance Levels
  • Dynamic Fibonacci Retracements
  • Volume Profile

We have already created a support page. More details here. Menthor Q Momentum Indicator 

The indicator will be available for Premium Subscribers.

Momentum Indicator

You can access all our Premium Models and Indicators within the Premium Membership.

How to prepare for Salesforce (CRM) Earnings Release

Salesforce (CRM) is due to report earnings after close today. In this article we want to look at Market Trends, Positioning and Sentiment ahead of earnings.

Salesforce is projected to see a moderate sales growth of 11% in constant currency across various quarters, a slowdown compared to the previous year. 

The company’s current remaining performance obligations are expected to rise similarly, reflecting a deceleration in customer acquisition and spending. Despite this, adjusted earnings per share (EPS) are set to surge significantly, driven by an expanding operating margin. 

Key cloud products, like the Marketing and Commerce Cloud, are expected to register steady gains. Long-term, Salesforce aims to boost sales by 11-13% in constant currency, supported by increased pricing and customer spending, while maintaining a strong focus on margin improvements and cost efficiency. 

The company’s strategy includes a notable emphasis on generative AI initiatives, though significant contributions to sales from these are not expected in the short term. Compared to industry peers, Salesforce’s profitability and margin improvements are especially highlighted, positioning it favorably in the software application market despite near-term economic challenges.

Here we can see Analyst Estimates on Revenue and EPS.

Screenshot 2023 11 29 at 8.20.40 AM

Source: Yahoo! Finance

Key Highlights from August 30, 2023 Earnings Call

Let’s look at some key highlights from their latest Earning Call from August 30, 2023. This is what emerged in that event.

  • Profitable Growth Focus: Salesforce emphasized its transformation toward profitable growth, highlighted by a significant rise in non-GAAP operating margin to 31.6%.
  • Strategic Restructuring: The company has undergone restructuring for both short and long-term benefits, focusing on productivity and operational excellence.
  • Core Innovations and AI Emphasis: Salesforce is prioritizing innovations in its core offerings, including enhancements to Data Cloud and Einstein, and integrating AI across its CRM platform.
  • Financial Performance: Reported Q2 revenue of $8.6 billion, an 11% increase year over year, and a substantial rise in operating cash flow to $808 million.
  • Data Cloud Growth: The Data Cloud is showing strong growth and integration with Salesforce’s suite of applications, underlining its importance in the company’s strategy.
  • AI as a Growth Driver: AI is seen as a key factor in driving future growth, with new AI capabilities being integrated across Salesforce products.
  • Shareholder Focus: Continued emphasis on shareholder value, demonstrated through significant share repurchases and disciplined capital allocation.
  • Adapting to Macro Environment: Despite economic challenges, Salesforce maintains a robust growth strategy, leveraging AI and data to enhance customer success.

Market Positioning using Options Data

Now let’s look at Investors Positioning coming from the Options data from November 28th, 2023.First let’s look at the Net GEX Chart. Here we can see the Sticky Strikes. The Call Resistance Level is at $230, while the Put Support is at $200. We also see large activity on call options around the $240 and $250 strikes.

Screenshot 2023 11 29 at 9.21.19 AM

If we look at the Liquidity Snapshot we can see that we are in Positive Gamma. You can read how Market Makers hedge in Positive and Negative Gamma.

Screenshot 2023 11 29 at 9.27.07 AM

Then we can look at Volumes and Open Interest. We can see large Call Open Interest on the $230 and $240 Strike. The Open Interest Put/Call Ratio is 1.18.

Screenshot 2023 11 29 at 9.29.18 AM

Finally the Option Matrix. What we want to see here is the importance of key expiration dates. We see that almost 11% of Expiring GEX is for the 12/01/23 expiration while 36.8% of GEX will expire on 12/15/2023. These are key dates to monitor as an investor.

Screenshot 2023 11 29 at 9.31.55 AM

If you want to access this data on Stocks, Indices and ETFs you can try our Premium Membership.

Project Update – November 2023

We have finally released our new website: MENTHORQ.COM, and have already received positive feedback from the community. 

We are trying to simplify your journey and allow you to find information as soon as possible. All of the most important information are located under the Resources Section. 

Screenshot 2023 11 25 at 7.39.20 AM

Under the News Flow you will find all our new daily content as well as the weekly newsletter that you are currently reading. This will help you to stay up to speed without daily content, and our weekly education material as well as updates on the project. The next important section is the Guides.

On the left hand side of the guides you will find an index column that will help you navigate through all of our content. You will find educational material if you are getting started, but also more advanced one. Please let us know if the simplified navigation helps you find the content you need.

Screenshot 2023 11 25 at 7.43.52 AM

What is next? 

By the 15th of December we will be ready with our Option Screeners. Stocks Screeners allow investors to filter and search for specific stocks or securities that meet predefined criteria. 

These criteria can be based on various factors, including fundamental, technical, and other quantitative parameters.  With the Menthor Q Screeners you can now receive a daily list of stocks matching quantitative parameters. By leveraging our quantitative models you can now find the most relevant assets and enhance your research.

The screeners will be a great tool, because every morning you will have stocks, index and ETFs screened based on certain parameters. This is what our screeners will be based on:

  • Key Greek Levels screeners: here you will find different screeners that filter based on the key gamma levels from our models. An example, will be the filter Call Resistance + High Positive Net Gex. This type of screener will help you find stocks that have more potential to see a roll higher of the Call Resistance level, hence find assets that have more potential for breakout.
  • Volatility Screeners: as we know volatility is mean reverting. We will use IV rank, Low/High Gex volatility ratios and so on. The objective is to find assets that allow you to sell options or assets where a potential volatility breakout is possible.
  • Gamma Levels: we want to look at assets by monitoring gamma and delta. GEX and DEX become the key parameters here. Here we look at the changes in Net Gex, DEX and Open Interest to identify areas of change in the option chain. We also monitor GEX and open interest close to expiry. Again this way we can identify possible volatility or market moves. 
  • Volume and Open Interest: here we monitor unusual activity with aim to track market outliers

Here you can find an example of how these screeners will work. They will be found in their own section in the BOT. 

Options Screeners

Trade Structuring Channel

Finally, next week we will be finalizing the new Trade Structuring Channel in Discord. This is going to become another key tool. It will help you to read better our models, put them into context and use them to structure a trade. We will have a key dedicated member of the team to run the channel. 

Questions can be asked within the channel. We are very excited about this new features, because it should really help speed up your learning and understanding of our model. 

That has been one of the key requests that you have made since the inception, a way to simplify what we have offering. On that note, we are also finalising all of the answers that you have sent us in the last six months. 

We have created a file with questions from students that took the course and premium users. The file is already 40 pages long, and we think it will be another additional education tool to help you. 

The file will be available for free to anyone that bought the course and our premium subscribers. This will be sent out to you the first week of December. 

The Menthor Q Team

TradingView Integration

Set up the Menthor Q Levels Indicator for TradingView

Watch our Demo on how to leverage the Menthor Q Levels Indicator for your trading.

Free Daily Report

By signing up to our mailing list you will receive the report via email as well as being able to access the data on our Free Discord Server.

What can you find in the Free Daily Report?

  • Daily Note
  • Actionable Data on SPX, QQQ and VIX
  • TradingView Indicator
  • Simplified Options Data
  • Access to our Free Discord Server

How to use Q-Models on Oil and Commodity

Oil has been on an incredible run in the last month. A series of things have led that rally, but most and foremost is the energy translation. Whether one agrees on it or not, the energy translation has created a supply shortage. 

As funding becomes harder for conventional oil, upstream producers have been incentivised to reduce capex and favor dividends. On top of that, we have had the Ukrainian crisis and OPEC+ cutting production. 

Today we will talk about oil’s latest price action, to show that Friday’s adjustment was getting set up. We had been talking about oil for a week or so, and had raised the fact that Oil was very stretched. 

In the next few weeks we will release our Options Screeners that will be able to help you better filter Stocks, ETFs and Indices based on the option chain data. Those will be the V1 version of our screeners. 

We will then go on and layer in momentum features to get confirmation of what we are seeing in the option chain. Eventually, we will also have macro inputs and AI. As usual, as we build we will create supporting material to help you understand it. The screeners will be at no additional cost for Premium Members.

Positioning on Oil

The first thing we started to look at was the oil positioning, specifically we took this chart from Bloomberg where one could see how stretched money managers long/short funds were.

image 2 6

Q-Models on Oil via our Discord Bots

Using our Query Bot you can go one step forward and download all our models. We created a Guide to learn how to use the Bots. Here you can find the list of Bots Commands.

Right now you can use $USO, the biggest Oil ETF. While not perfect it is helpful. Option positioning on commodity futures is coming up soon. There are different features that you can use. 

To start you can take a look at the one day expected move, that will show you based on volatility how we expect next day price movement. This is the query you can use: /mainchart. 

A good way to screen for a stretched asset is to compare the 1D Exp Move against the Call Resistance Level. Generally the call resistance level works like a bounce level as calls get monetized and market makers close their length that helps them delta hedge. 

This pull back is not necessarily bearish, but more like a technical adjustment. Best way to compare is to download our levels on TradingView. This is the query in the Query Bot: /levels_tw ticker.

Next we compared what we were seeing on Bloomberg with our own models. We took the Brent CTAs. Here you can clearly see that we were very stretched. Remember CTAs add liquidity once certain price levels are triggered, they do not drive that movement. In our Bot we upload everyday all our CTA Models.

image 2 5

Technical Move on Oil

Then we looked at some Technicals. While we rely mainly on option positioning, we like to layer in Technicals and Momentum analysis. For that we already have models ready to be released to our users. Those should be used for confirmation. More on that coming soon. 

As we could see from this chart, the RSI was extremely stretched. 

image 2 4

Friday, we saw the technical pull back that we were expecting. Again, all of these moves are going to be a lot clearer when we have options on futures. Will be there shortly!