黑吃黑，谁最黑？

cougar

十一月OE 周时按盘面感觉牛军当时已大获全胜，盆丰钵满。
http://www.hutong9.net/forum.php ... 039&pid=2918350

按当时年底option 市场的setup 觉得牛牛会歇歇手，或许后面还会有个圣诞行情。但是贫穷限制了俺的想象力，这周末忽然发现这北伐的牛军好像准备回马枪杀和他们抱团取暖的共产党——hedge fund啦，顿时心里也咯噔了一下。

先来看看上周五十二月(12/17) SPY put option 的OI (call OI 和 put 比就是豆芽菜）：
450p  115k
445p  85k
400p  59k
430p  142k
420p  106k
410p  105k
400p   118k
如果下周SPY跌破450，那么理论上这115K的put就需要short SPX future for delta hedge，大盘就会急跌。如果雪球真的滚落到下一个价位，那么新的85k delta hedge就又被起动了……雪球越滚越大。当然各点位的OI每天都会变化，上面任何一个点位都是大户对决区，而且随时都有可能暴力跃起。这波应该是黑吃黑，拳头硬的胜者最黑。

再来看看VIX 十二月(12/22) 的option。注意OE 日，也就是说十二月的四巫日有VIX 的future 和option 保护。
30c  149k
35c  130k
40c  138k
60c  212k
22——15p OI 都在110-232k 之间。
显然大户中有人已经上看VIX 60，至少是保护吧。当然假如下周大盘反转向上，从OI put 来看VIX 有可能在OE前会跌回22—15之间。
把SPY和 VIX两者结合起来看，似乎圣诞前市场大概率会非常精彩，但决对不会是散户所为。圣诞行情有没有已经不重要了，毕竟2018年股市十二月一直跌到12/24，圣诞前的最后一天，节后暴力反弹。

随波逐流，见好就收。赚不赚钱不重要，但至少也要玩个心跳！

最后推荐一个专门做空木头姐ARKK的ETF，SARK，上市两个月上涨～27%。ARKK近期为什么跌？原因不言而喻，大户抱团，所向无敌。相信泡沫的美女帅哥可以关注研究一下。

Maylin

支持“黑吃黑，谁更黑”。。我们小散就碰运气站对地方就赚了。。Arkk 真是被揍的很惨。。枪打出头鸟。。

snailittle

I am not sure if the delta squeeze for calls applies equally to puts.

Most of the puts may be hedges of existing long positions.  How do we know that they have to short due to delta hedge?  Not necessarily.
The total put listed below accounts for only less than 10% of existing shares for SPY (see below), so it can be all hedges.

In summary, the delta squeeze does apply to calls when outstanding calls far exceeding number of shares.  Delta squeeze does not always apply to puts, especially when the outstanding volumes are small compared to the shares standing

SPY totaling 915million shares, market cap 414B       

SPY puts       

Put        position                                 position in K        Corrs SPY values        %market cap
450p          115k                                 115                5278500000                0.01
445p          85k                                 85                3901500000                0.01
400p          59k                                 59                2708100000                0.01
430p          142k                                 142                6517800000                0.02
420p          106k                                 106                4865400000                0.01
410p          105k                                 105                4819500000                0.01
400p          118k                                 118                5416200000                0.01
Total          730k                                 730                33507000000                0.08

tcm328pan

cougar

snailittle 发表于 2021-12-6 07:38 PM
I am not sure if the delta squeeze for calls applies equally to puts.

Most of the puts may be hed ...

You are talking about wrong side. For option buyer, either buy call or put, it does not need to hedge his/her position. If buyer loses all premium of the position, it is only small money, no big deal. Delta hedge is normally going with sellers, call or put. The sellers are usually MM or small dealers, or some hedge fund managers. They are professionals and hedge each step for the positions.

For example, if they sell a SPY put with 0.20 delta they have to short 20 shares of SPY at the same time. If SPY drops and delta goes to 0.50, they should short another 30 shares to make the option position delta neutral. So on......that is the rule. If market drops big after close they may need to short future for hedge. The rule is number one.

Someone may say I sell some put and do not need to hedge my position because SPY will go up. Well, that is OK, but also indicates he is not MM or a professional dealer. However someday he will need to hold his underwear very tight.

Maylin

今天印证了资本的威力。。小散只是一粒尘埃。。

snailittle

cougar 发表于 2021-12-7 12:17 AM
You are talking about wrong side. For option buyer, either buy call or put, it does not need to he ...

谢谢指教，Most put writing may not accompany short positions, if I recall correctly as most of them are naked puts.

Since put holders are usually MM and retailers rarely hold such risky short positions in large quantity, is it ok to say that if there are lots of open interests for puts (high put/call ratio), it usually indicates that the market probably won't go down further in large magnitudes?

cougar

snailittle 发表于 2021-12-7 08:04 PM
谢谢指教，Most put writing may not accompany short positions, if I recall correctly as most of the ...

There is no relationship between delta hedge and P/C ratio, as I know.

noname6688

so today rally kill all those 450P buyer ?

cougar

noname6688 发表于 2021-12-8 12:53 AM
so today rally kill all those 450P buyer ?

Not really, depends on if they are pure speculator or combination strategy traders. For example, if it is a butterfly position, does not hurt.

noname6688

先来看看上周五十二月(12/17) SPY put option 的OI (call OI 和 put 比就是豆芽菜）：
450p  115k
445p  85k
400p  59k
430p  142k
420p  106k
410p  105k
400p   118k

以上是明天看跌？这些OI还在吗？还是CLOSED？

cougar

noname6688 发表于 2021-12-16 06:43 PM
先来看看上周五十二月(12/17) SPY put option 的OI (call OI 和 put 比就是豆芽菜）：
450p  115k
445p   ...

不用close, 明天价格就都归零了。今年大户的最后一波trade明天早上开盘见分晓，几乎所有现金指数option交易交割价开盘定价。这波牛軍又是大获全胜。当然明早的$SET要是开在4700那就是perfect，就看大户今晚下半夜会不会再努力一把。

Maylin

明早上闹钟把自己叫醒。。吃瓜看戏啦……

cougar

周五四巫日据说有4.3万亿刀的future and option 到期了结了，其中70%以上和SP500指数和ETF有关。按常规随着四巫日的结束前文说的VIX保护也应该除去。但是按周五交易后的VIX OI看去保护并不明显，似乎预示着周一周二OE前大户仍可能会有上下翻滚的最后决斗。先涨后跌（SPX先跌后涨）是双杀，否则煮熟的鸭子飞半只。希望有好戏看。

cougar

cougar 发表于 2021-12-19 07:55 PM
周五四巫日据说有4.3万亿刀的future and option 到期了结了，其中70%以上和SP500指数和ETF有关。按常规随着 ...

虽然明天早上才能知道最后VIX future and option settlement 结果，但现在可以肯定是双杀了。黑吃黑的完美收官。大家节日愉快！