Vixperation

hi friends,

vixperation is upon us tomorrow, which usually opens a window of weakness on and/or around the event.

Below is a representation of the average & medium returns for the S&P on and during VIXEX & OPEX

There is a dominant sell flow in the market present that is currently being negated by the effects of MOPEX i.e vanna and charm

if prices are unable to trade lower than 4436, I'm inclined we look for higher prices as these forces are evident when bids show up when weakness presents I think what would drive this market higher is a combination of a couple of things

Historically, tomorrow morning is one of vanna’s big mornings & a Fed day which is historically bullish according to CEM.
Because of this, I am guessing there is a good probability of seeing a bid at the open tomorrow, i.e trend up.

However, that is not to say the sell flows seen at yesterday’s close can be much larger than positive charm & vanna flows, thus negating the upward trend.

I believe it makes sense that once the window of weakness opens during and/or after tomorrow and/or vanna & charm go on holiday post MOPEX, the dominant sell flow will show more exacerbated movements as it aligns with the given context & bearish seasonality.

Removal of supportive buy flows automatically tips the scales in favor of sell flows from basic supply & demand mechanics.

Technically, we are still range bound between 4438-4466, so the directional move will come outside of this range when/if imbalance flows dominant on one end.

Keep in mind, I am only short term bullish and believe prices will only find more and more sellers as we continue higher and higher until this narrative changes.

For structure, we do have a gap underneath us from 4420-4435.
This region will serve as an area of interests for prices to revisit when the order flow permits it.

Prices tried twice today to look under 4436 but all attempts mean reverted back into the 4440-4460 range, especially with the volatility from Biden’s speech.
This type of price action is relatively important IMO because it demonstrates the lack of sell-flow imbalance to cause heavier volatility like how we saw last week & has characteristics of digestive tones.

Let me explain.

When headline fud first came out, the market was much more susceptible to volatility and the swings were bigger whereas today saw a good amount of mean-reversion back into a desired value area and the ranges aren’t as wide.

Market is you would say is “getting more familiar with these headlines" & the jabs at it grow weaker and weaker as time passes.

Weekly profile glance, you can see we are at the tail end of the value area high and where prices cross above 4464 is where prices re-enter the prior week’s value area low.

This is a sticky area because of the heavy supply above at 4460-4500.

Daily profile shows a P-shape profile which signifies short covering as seen by the single prints overnight from PPI uncertainty removal.

My friend Adam Sex thinks this may be distribution which does fit the theme as these rallies have been used as exit liquidity since 2022.

I think it is likely not that black & white but a combination of both exit liquidity & MOPEX flows, whichever dominant one prevails leads the direction.

Cumulative delta nuance, uptrend all day while prices remained range bound between 4440-4460.
Whether this is accumulative or a byproduct of MOPEX is up to where prices lay at tomorrow’s open.

Couple other of observations

10YR has a triple top formation, I would like to see this move towards and/or under 2 for stronger investor confidence.

NQ was leading today towards the close & continues to lead during GLOBEX.

TLDR

From what I can gather, we see higher prices temporarily & the window of weakness is to be opened on and/or after tomorrow’s vixperation.

Tomorrow morning is a big vanna morning, unless the sell flow is much more dominant than vanna’s flow, then we likely go bid at the open.

My pivot is 4444, 4436 under opens the door to 4420 where I think price will find a bid.

Target lies between 4480-4495 if we go bid up > 4468
or back down to 4420 under 4436
(looking for an average of +30pt move from this range)

For higher prices, I need to see a couple of things

1) bid over 4468
2) vxx trending lower, towards 20
3) confidence in buyers i.e reloading bid, buying dips
4) TSLA > 922
5) 10yr making attempts at 2 or lower

For lower prices, I need to see a couple of things

1) confident sell under 4436, no buyers reloading, sellers reloading heavy on offers
2) TSLA under 913 and then challenging 900
3) VXX above 22
4) 10yr makes a run over 2.072

We remain range bound from 4440-4466 until proven otherwise.

I expect more sellers to show face as prices climb higher.

I believe it makes sense that once the window of weakness opens during and/or after tomorrow and/or vanna & charm go on holiday post MOPEX, the dominant sell flow will show more exacerbated movements as it aligns with the given context & bearish seasonality.

Removal of supportive buy flows automatically tips the scales in favor of sell flows from basic supply & demand mechanics.

Cheers