Oil and Gold Volatility with Tracy Schuchart @chigrl

[00:00:00.07] - Speaker 1
All right, welcome everybody to Mike Drop Markets Live. Today with us, I have, from Mentor Q, I have Fabio Ruggieri. He has 17 years experience in finance. The bulk of his career was at Bloomberg where he worked in London, New York and had the opportunity to work closely with the largest banks and funds in the world. He then managed business development team. For an alternative. I have from Mento, David, I have Fabio Ruggeri. Data data startup selling data to large quantitative funds. Ryan Darnell is the founder and portfolio manager of Seneca Capital. He has 14 years experience in trading, private equity and risk management. He ran a derivatives trading desk at Deutsche Bank Co, managed private equity and asset hedging portfolio at Trailstone Group and served on the management team of Stonex Commodity Solutions, providing structured lending and working capital in the commodity supply. He holds an AB with honors in economics from Harvard. And with that, welcome. You guys want to talk a little bit about, you know, first, first, let's talk a little bit about Mentor Q. What is it? Why did you guys start this project?

[00:01:17.10] - Speaker 2
Yeah. And thank you, Tracy, for having us. And thank you everybody to take time with us. So my name is Fabian. I'm the CEO and founder of Mentor Q. And before we explain what Mentor Q is, maybe I want to give you a little bit of background about my career. So as you said, I started a Bloomberg where I started discovering the importance of how companies and asset managers are leveraging data. And then I started selling data for a startup that was selling data to large quantitative funds. Right. And I realized our finance was kind of changing where now successful investors are now more and more leveraging data in their investment processes. So I was really selling different type of data to large quantitative funds. And then, you know, Covid came, right? And then obviously we saw what happened after Covid and the gamification of trading. And then that presented like a massive gap because a lot of more participants went into the market, a lot of the retail investors. And obviously we saw like a lot of participation in 2021. And today we're going to talk about options and why they're important. But basically we created Mentor queue because when 2021 happened and when we saw all this volume of flow coming into the market, there was a massive gap between what is available from large institutions, models, data, you know, quantitative factors, and what is actually available for retail.

[00:02:40.09] - Speaker 2
So retail now has access to data, but a lot of people don't know really how to leverage the data on how to use the data. So that's why we created Mentor Q, because we are now developing Quantitative models to kind of mimic the same approach used by large institutions, which is really leverage data in your investment process, simplify complex information. Today we're going to talk about options. So a lot of people think options are very complicated, but we're going to try and simplify that. And then obviously the ultimate goal is really help you make actionable trades in less time with less effort. So that's what we try to do with our models. And what we do is we provide quantitative models and data that were previously just accessible by large institutions and now we provide it to the retail. Retail customers.

[00:03:29.00] - Speaker 1
Excellent. Well, with that, let's get started and kind of dig into the weeds. I know that you guys just started with commodities, so we're oil and gold, which is fabulous for all of commodity traders. So let's, let's get to it.

[00:03:46.01] - Speaker 2
Yeah. And before we go, and I'm gonna give you like a product demo. And today we're going to talk about commodities, we're going to go talk about futures options. But before we go into that, let's look at, you know, some statistics that are very important. Right. So as you can see from this chart, the option volumes are now very dramatically higher than they were in the past. And in 2021, we saw option volume surpassing equity volumes. Right. And the trend, as you can see, is here to stay. So because of the increased volume and because market mechanics that Ryan will go into in more details, even if you are a trader that doesn't look at options or if you are futures traders, you can't ignore the flows that are coming from the option market because understanding this flow will help you then better understand how to define these market reaction zones that we see in the charts that will help you then better select your trades or better manage your risk. So, you know, a lot of people come across the term option and they, you know, they consider them risky, they consider them complicated.

[00:04:47.29] - Speaker 2
So they, they shine away from the power of options. So today we're going to try and change that and we're going to show you how you can leverage options in, in your, in your daily routine. So at Mentor Queue, what we've done, and then we're going to go into the product demo. We, we have, we're using the option data coming from the option chain on various assets, including stocks, ETFs, indices, futures. We're going to talk about futures today, but we're also going to move into crypto soon. And basically like, the goal is really to leverage the option data to help those market reaction zones that will Increase your precision when trading. And again, these indicators that we're going to show you can be used by futures trader, stock traders or option trader. So we're all super excited because this week we launched our gamma levels on futures options and we are the first company to take in the futures option chain and deliver this kind of information for our customers. So, you know, if, if that's okay, Tracy, I'm just gonna go into the product.

[00:05:48.24] - Speaker 1
Absolutely, yeah.

[00:05:50.22] - Speaker 2
So basically what we do is we deliver our, our data and our, our membership through this call. So through Discord, you have access to a series of channels that gives you access to data on specific assets like, you know, spx, qqq. We also have our trading rooms. So we have six professional traders that are now working every day with our community, helping us understand how to read the market with different strategies, going from macro to selling credit spreads on zero DTE's, options to swing trading, and now futures trading. So if we look at the charts and then Ryan is going to go into more details about what some of the charts are. Essentially what we're trying to understand is we're trying to define market positioning every day and how that changes on any asset, stocks, ETFs. And now we're going to go show you the futures. By knowing where the market is positioned on the option side, you're then going to be able to find those reaction zones that we're going to then plot into the chart for your daily trading. So now we're excited to have launch the same information on indices, commodities, metals, like gold.

[00:06:59.09] - Speaker 2
We're going to talk about gold today, fixed income, forex and also soft commodities. So by accessing the chart here, you can access those type of chart that we can explain in a second and then access all our data. You might ask, you know, I, I'm looking at data on specific assets that are not in the list. So that's why we have built a bot that will allow you to access the data on any asset that you care about from stock, ETFs, futures, etc. And then we allow you to have the ability to then go back in time to see our positioning have changed. This is very important, especially if you're looking at earning how the market is reacting to earnings and how they're positioning themselves. And then we can look at, you know, the futures. So we can look at, for example, gold futures or commodity future and so on. So now we can look at where the market is positioned and where those reaction zones are for those assets. Then we have integrated our Data into trading view so that if you are obviously using this platform, you can then access real time information and then make smarter decision by leveraging the data.

[00:08:10.20] - Speaker 2
So in the chart I can. In the bot. Sorry, I can ask my tickers. So I'm gonna look for some of the most ready stocks and then I'm gonna look at commodity. The bot will provide you with a string text that we can go and plot into our indicator here. And now basically we have our data and our gamma levels on the asset that we care about. So here for example, we're looking at the NQ future. As you can see, these are like some of the reaction zones. We're going to go into more details about those in a second. We can do the same on gold. There's actually a very interesting chart from this morning where you know, for example, this level here that we're going to discuss what that means provided like a very interesting reaction here. And then we saw a break to the downside and then we do the same thing on all the other commodities and we're going to show you what futures we're covering. But as you can see, there's really interesting, you know, reaction to the chart and this will help you have a better picture, clearer picture on what you're seeing from a technical standpoint and then also apply a statistical advance advantage to your chart.

[00:09:37.20] - Speaker 2
So now I think, you know, we can go into more details as well, but I'm gonna pass it on to Ryan to go over why options are.

[00:09:47.10] - Speaker 3
Important and before we jump into kind of what some of these charts mean and how to think about these charts. Again, thanks for having us on, Tracy. And I just wanted to let everyone know why I'm so excited about Menthor Q and why we've partnered up. Basically, I spent my career at, you know, big investment banks, hedge funds, and you know, having access to all this data and, and trying to implement it into our various trade strategies. When I went out on my own to start my own startup fund, I saw very quickly just how hard it is to get access to that data and how hard it is to kind of replicate that effort. And so one of my kind of passions, as long as, as well as building out the models that power my funds trading is also kind of making sure that that's more accessible and that markets are more fair. And so I've been working with mentor, Mentor Q to get some of the models that we want to use for our fund and make them available to everyone. So it's, you know, it's a, it's a great partnership. It's mutually reinforcing.

[00:10:44.23] - Speaker 3
We get the data and models that, that's hard even for a fund to access. And it also becomes more available to the broader market. So, you know, I love this term reaction zone. This is what you're looking at here. And the basic idea is that, you know, as a market maker or a trader, if I sell an option to someone I have to, I typically turn around and hedge myself. The way I make money is trading back and forth. I'm not typically taking a lot of positions. And so, you know, if I'm short a call option on, on Nvidia or crude oil, as that starts rallying, I need to typically buy more and more to hedge myself. And so what these charts are identifying is on the right hand side you can kind of see that, that kind of curve, the, the stacked histogram or whatever is showing you basically where there are large concentrations of out of outstanding option positions. And the reason we call these reaction zones is while they can't necessarily predict exactly how it's going to behave when they get there, what they do tell us is the fact that there could be some key behavior that's triggered.

[00:11:56.23] - Speaker 3
So for example, you know, if a market maker is short a lot of call options at say 2400 there, they may need to start buying aggressively. And so if it breaks through that, it's very possible that that momentum will continue to carry it significantly further as, as, as hedgers are effectively forced to buy and you know, the same thing going the other way. And sometimes we see the exact opposite behavior, which is that if a lot of people are long that strike and hedging, they're long the call option, they'll do the opposite, they'll start selling aggressively. And we kind of call that as traders, we call that getting pinned. It's very common, you know, when market makers are long a lot that right towards the expiry of an option, you'll actually see the, the security or future start to trade right around that strike and get kind of stuck there. And so it might have had a lot of momentum going for it and suddenly it just runs into a wall there. And so these are kind of these key reaction zones. And if you're familiar with technical trading, there's a lot of kind of classic concepts like if you break resistance, it becomes the new support.

[00:13:02.23] - Speaker 3
You know, without going into too much detail about that, I mean, I think the key here is that big events happen and these are essential for thinking about managing our risk and also thinking about when we put on a trade even if we're not trading options at all, even if we're just say bullish and want to, want to buy, thinking about, you know, where are we likely to run into a resistance and stop or if we break through, you know, how high could we go?

[00:13:31.25] - Speaker 2
Yeah, and I think. Yeah, thank you, Ryan. To explain kind of like the process and the market mechanics and I think the, the clearer picture to how these reaction zones can pan out is to give like a very clear example, right? And we use Nvidia because obviously everybody's interested in nvid and obviously there's a lot of volume on the option side on Nvidia. So if we look at this chart, this was I think at the end of March, beginning of April, and we can clearly see that there was a strong uptrend that lead almost to a thousand dollars on the price of the stock. And then there was a pullback, right? So if we look at that from a simple technical analysis point of view, we have a pullback. There's a consolidation around the support level and our RSI is below 30. So that could suggest basically a long trade, right. A lot of us probably have done that, but the market kind of like goes down and breaks and we would have lost on that trade. But what if we had access to a clearer picture of what the option market is telling us?

[00:14:33.09] - Speaker 2
And here we see a lot of red bars, which means a lot of put positioning on those strikes. So a lot of people were buying puts and were hedging against the potential, you know, fall in the price of Nvidia. So now we can, you know, look at this data and, okay, understand what the market is doing. And then what if you could then plot that data into your chart. So the same chart that we saw before now has an additional layer of protection, right? So you have the information coming from the option market that is now overlay with your indicators. So here we see like output support, which is this reaction zone that typically stops the price from going lower and provides us with a good opportunity for a potential reversal trade. So in this case, we could have go long at that level and then target probably the next level. And as we can see here, this is exactly what happens. The price kind of stops at that level and goes to the next level, which is the hival level, another very important level coming from the option market. So what if I actually wanted to keep trading Nvidia and actually stay in the position, right.

[00:15:38.13] - Speaker 2
So the next day I could have added the new levels. We update those daily and we are working on intraday data which is going to come in the next two months where you can then understand how the positioning of change over time with the at the end of the day and then reposition yourself for the next day. So in this case, you know you want to belong still on the trade and you can target the next kind of level, which is our core resistance and one day max level for the day. So as, as we can see, we see a strong momentum to the upside. The market breaks those level and gets the one day max level, which is really a volatility measure that will tell you how far can the stock go for the day. And then we're going to show you some back testing as well on that level. But essentially when you're here then now what do you do right? Do you keep going like you keep staying the trade? Do you exit the trade? How do you manage your risk? So what if you knew that from a backtesting standpoint, 90 of the time the price of Nvidia closed below the one day max level for the day, right?

[00:16:39.21] - Speaker 2
So what did you have? If you had a statistical advantage and now you are basically could make smarter decision and see, okay, like I only have 10 chances that the price could break above this level for the day and in fact the price retracts and we see like a small pullback for the day and closes at that level. So here we could have really used like data to potentially make smarter decision and stay in the exit the trade earlier and obviously pocket more profit if we, if we do the same here. Like Ryan explained those reactions on. This is another example on Nvidia from March 25th we see these really key market reaction zones on the cold side which are the core resistance and the Core Resistance Zero DTE, which is really the next weekly expiration $951,000. Right. As we can see the price approaches the 1950 level and then obviously it drops back for a pullback and like a potential start of a reversal trend. So you know, again these levels can help you really understand where the market will react. A certain price point for any asset, future stocks, ETFs and, and soon also crypto.

[00:17:55.01] - Speaker 2
I think then I'll, I'll pass it back to you Ryan to explain.

[00:17:57.20] - Speaker 3
Yeah, and Tracy, if you have any questions or if there's anything you think we need to clarify by, by all means, jump in here. But you know what I love, what I love about this is again it goes back to even if you're not an options trader and even if you don't understand 100% of what each of these lines means. Risk management is what every trader should be thinking about. And I know a lot of average trader doesn't think about that. They're focused on how much they can make. But you know, professional traders pretty much always, you know, think about it as a risk to reward ratio. We say, how much can I gain on my trade versus how much am I putting at risk? I mean, a lot of traders want to always stand to make three times as much as they're risking on a trade. Depends a little bit on your strategy. But even if you're a fundamental trader and you don't really use these lines to try to predict what the market's going to do, this is so important for thinking about how much money you're risking in a day or over the life of your strategy.

[00:18:53.15] - Speaker 3
If you say, hey, I'm going to buy here, you know, you can size your trade accordingly. Say I don't want to risk more than, you know, a thousand dollars or a million dollars regard. Regardless of your size, everybody wants to have some sort of kind of barometer for how much, how much am I risking. And so if you look at kind of where it's trading or where you, where your target entry level is, if you can have the power of knowing, hey, 97 or 87, depending on the security of the time, it's going to stay within this range over a day or a week, then you know, that's so powerful for thinking about, okay, well if I average in, you know, halfway down to this put resistance, then you know, I should be able to make three times that if we, if we go back up to the call resistance. And so that's why this is such an essential metric. And I'm always happy to talk more about risk management.

[00:19:47.29] - Speaker 2
Yeah. And I think so one of our model is really the expected move for the next day. So we provide that indicator at the end of the closing day for every asset. And a lot of people are asking us like, how, you know, how can you predict the price of the next day and how accurate can it be? Right. So here for example, we have a really good example from yesterday as Ryan mentioned, you know, like when those reaction zones are reached, there's like a, like a nice reaction from the market. So this was crude oil example from yesterday. And, and we saw like that the price moved towards the one day minimum level was 6, 7 ticks away and then started really like a massive uptrend to the upside. But if we look at historical information we have backtested this indicator on SPX for four years and on the major stocks for less time. We are, we are gathering more history and we're going to run more backtesting in the next few weeks and that's, we're going to be publishing the website. But essentially when we backtest this is actually gave us results better than we expected.

[00:20:54.11] - Speaker 2
Right. So what we see here is that from 2019 to 2023, the one day expected move indicator, the price of the SPX closed above the one day minimum level on 87 of the time and closed below the one day maximum level on 85% of the time. So then we were testing this for more for spreading trading strategies so iron condors and more complex price strategies. But then we realized that actually there's a lot of directionality on this indicator because as we saw in the previous example when the price during the day reaches the level then that could become a very important signal for either a reversal trade or for a potential, you know like long or short trade depending on the move. We do the same on other assets. So we do, we did the same exercise on stocks and ETFs just to make sure that the model was in line and as you can see the results are in line to what we see before. Again we have a little bit less history than four years but we are working on getting that and developing like all the back testing results on all the levels as well.

[00:22:07.18] - Speaker 2
I don't know here if you have any questions, raises.

[00:22:09.20] - Speaker 1
We had a couple comments from people saying can we see futures not Nvidia or Amazon. So maybe if you can show some of, you know like maybe es, crude oil live, you know what's going on today.

[00:22:26.09] - Speaker 2
So basically these are again so here we can go back on our query bots and the futures that we cover. So we're going to talk about the, the market that we cover we cover now index futures. So here we have yes, nq, rty, then we have commodities so we're going to cover CL and G. So natural gas, metals where we have gold, platinum and silver. Then we have the bond futures so zb, zf, Z and zn. And then we're going to have forex. So the major forex like Australian dollar, jpy, pound, Euro and so on. And then we're also going to have soft commodities like soybean, wheat and corn. So essentially we have channels here that will give you the levels for the future. So these are posted every day, right. So here you can access the data on all the stocks you can access the multi expiration chart so you can look at how the option is positioned for multiple expiration in the future. So we take in the full option chain and we will give you this sort of information. You can look at our matrix. So this is really a table that simplifies the full option chain by giving you the amount of gamma expiring in that expiration as well as the levels for that expiration.

[00:23:51.23] - Speaker 2
So if you are like a trader that is looking at like five days horizon or seven days horizon, then you can also look at here the expected move for that kind of expiration. So that can give you again a volatility measure on where can the price go by the time I'm exiting my trade and how much money can I make on that trade as well as how much money can I risk on that trade. And then obviously we have volumes and open interest. These are very important. And then you have the, the trading view levels that we are gonna have at the bottom. So essentially to put the data into the chart, very simple. We have made it super easy. So we have for example commands that allow you to take in all the, the data for a specific asset. In this case bond. But then we have also list command that you can add to actually add any, any type of future that you're looking for. So here I have. Yes, thank you. Simply copying this text. I can then go back to my indicator on Trading view which you see here. And now the levels are now in the chart.

[00:25:05.04] - Speaker 2
I can also set up alerts so I can actually create alerts on any of these levels. So if that the price during the day reaches one of the levels then I want to be alerted. I don't have time to spend all day monitoring the asset. I can do that there as well. And then simply by changing the ticker then you're really set up in less than 30 seconds. So today for example, this is a massive move. We saw the price of gold touch the, the one day the core resistance and then drop down. And then now, you know, you see that is now like approaching the one, the max. So again using that kind of information to potentially take advantage of these moves as well.

[00:25:47.25] - Speaker 1
And then somebody asked, do you have to get Trading view if you get this product?

[00:25:55.24] - Speaker 2
No, you, you, you, you will have access to an indicator. You don't have to have a premium account, I believe. Yeah. So no, there's no.

[00:26:05.29] - Speaker 1
You could just hand put the levels. Right?

[00:26:08.25] - Speaker 2
Yeah. So basically provide you, if you subscribe, we provide you to a link to the indicator and then you basically would come into our bot in the morning and then request the data that you care about or take the data from one of the channels here. And then you would go into TradingView and then just paste it here. And then you're, you're set for the day. So it really takes probably less than a minute to get set up. And then you are basically live in the market.

[00:26:35.19] - Speaker 1
I think what he was asking is, do I have to get, do I have to pay for trading view if I want your product to.

[00:26:42.06] - Speaker 2
No.

[00:26:43.02] - Speaker 1
No. Okay. Does the, it works on the free version, right?

[00:26:47.23] - Speaker 2
So the, the only thing that you might have is a limit on the number of indicators that the free version allows you to have. So for example, if you want to have our indicator plus rsi Bollinger bands moving average, you might have a limit on how many indicators you can have. I think history, but I'm not sure. But you can have our indicator at no cost for. And then I think we also wanted.

[00:27:18.21] - Speaker 3
To talk briefly about just why adding commodities and futures is so important to your portfolio. For those of you who aren't as familiar with those markets or maybe new to looking at those markets, this is a great one. Just as an example that shows gold, gold performance versus 6040 portfolio. And you can see that nice anti correlation there, that negative correlation. You know, just how you know, gold has performed when, when the 60:40 portfolio has had a, a rocky time. And that's just a great example of why, you know, diversifying your risk is so important, particularly if you have a kind of go to technical or option strategy that you like and if you think it's, you know, kind of got a positive expected value, you want to be playing in as many markets as, as you can where you think it's valid. You know, I think right now is a really interesting time talking about gold specifically. This is one of the few times where this chart might not hold. Exactly. We've seen a really interesting dynamic where, you know, even with the market kind of making and testing new highs and interest rates quite high, we're still seeing gold prices making new highs.

[00:28:31.02] - Speaker 3
And, and you know, that's, that's not kind of the typical dynamic. We've got a few, you know, fundamental issues going on, namely the big central bank buying of gold is driving prices higher. And you know, I think the simple answer right now is is risk management's never been more important. I talked about that earlier, but, you know, it's, it's, it's never been more important than it is today because there's not really a super safe asset that I think we can point to from a portfolio diversification standpoint. Interest rates still have the potential to go higher. So I don't think bonds are yet at the levels where they're kind of a lock to protect your portfol portfolio. You know, gold is high. Crypto has taken a step back, which probably helped gold, but you know, it's still kind of, you know, had a recent rally. And so we have all these asset classes that are kind of testing, you know, highs or, or at least in kind of a strong zone. And so with interest rates high, it's going to be hard to say how all these things are going to perform. So again, just risk management and having access to these kind of tools and thinking about how much do I have at risk across various markets using these min max and kind of support levels is going to be really critical.

[00:29:43.17] - Speaker 3
Now we wanted to kind of pause and, and you know, put it out here. Tracy, questions to you or to any of your. Or any of the kind of viewers. Listeners, if they have kind of more particular questions on, on commodities, kind of macros, things like that.

[00:30:04.00] - Speaker 1
I keep muting myself because the air show is this weekend and practicing right now and it's so loud. So I'm looking through to see what questions do we have? Did you say you're going to have BTC soon? I assume that answer is yes. So yes, Bitcoin is coming.

[00:30:25.18] - Speaker 2
Bitcoin and Ethereum, those are the only real crypto that have a decent amount of volume in options. So yeah, we are working on that for sure.

[00:30:35.19] - Speaker 1
And then Fabio, if the, if the open is in the middle of various levels, how do you know which level will hit first? I assume you don't.

[00:30:46.03] - Speaker 2
Yeah. So as I said, you know, the tool that we develop, you know, are not the crystal balls. Obviously we're not predicting the future. Right. We're showing you how to leverage the data coming from the option market, which is very complex. We are also the first one to now take in futures option data, which is also another key advantage because a lot of, a lot of people use levels on futures by leveraging the underlying asset like the SPX or the ndx. But sometimes the data is not as clean as looking at the futures option chain. And if we give an example on crude oil, there's a lot of ETF that follows oil, but they're not really tracking the actual movement. And also the greater volume are going into the futures option chain. So now we are tracking that. So now you can have Those, those two type of analysis direct into the chart. And the answer is that every level has its own meaning. So we have different documentation on the website, explain what the level means. But, you know, as Ryan mentioned, the most important part for any trader is risk management. So knowing if you are close to a very important level on the put side, on the call side, will then help you make a better decision whether you are covering your, your trade or whether you're going on, on the opposite side.

[00:32:06.12] - Speaker 3
Yeah, I wanted to add as well that I think, you know, these tools are especially useful if you already have an existing viewpoint or trade idea or thesis. That's when it's really nice to kind of marry these two together. Say, hey, I'm bullish. And you know, we're kind of at a resistance level. So maybe I'm going to wait and see if it, you know, we're at call resistance. I'm going to wait and see if it breaks through and then we can kind of get that reaction jump that we look for or, you know, I'm, I'm buying and I'm trying to determine how, how many shares or contracts I want to buy. And so thinking about, you know, my risk taking, the difference between today's price and the lower price, you know, and, and that's kind of the future as well of this partnership. Not to jump ahead. We'll go back into more Q and A. But, you know, one of the reasons that I'm, I'm working with Fabio and his team is because we, we're trying to add new quantitative models all the time that analyze and apply volatility and, and various things about the options market.

[00:33:03.10] - Speaker 3
But the ultimate goal here is not just to get a bunch of lines, but to also get some, you know, summaries with actionable trades. So, hey, puts are relatively cheap compared to calls historically or, you know, over the last five years, things like that, where you can, you know, kind of quickly pull up a couple of trades. And so that's where we're going over the next year is, is trying to actually, you know, take this to the next level where it's, you know, for the technical traders who love this level of detail, fantastic. I think it's really helpful if you're trying to size a trade. But for your average trader who's trying to get into this and they just want to know, okay, so what do I do with this data? And, and that'll be kind of the next goal is, is using these various machine learning models and some simple, you know, if, then logic to kind of convert. Convert what? These analytics and a few new models that we're working on releasing and convert those into again, those, those actionable ideas. Hey, puts are cheaper than calls. So, you know, if you've been bearish, now's a good time, you know, to buy or, or they're relatively cheaper than they have been over the last six months or something.

[00:34:06.02] - Speaker 2
All right, we'll get back if I can add to that. Also, like, options are a good proxy of market sentiment too, because looking at where participants are positioning themselves by buying puts to protect themselves about from like the price to drop or by buying calls, you can also understand like how things are changing over time. And then accessing historical data like we showed you before, you can also understand how things are changing. So if the trend is becoming stronger or if the trend is becoming weaker because a lot of participants are now buying a lot of protection. Right. So that's another good important information for any trader.

[00:34:45.11] - Speaker 1
When I go back to some questions we have. Do gamma levels change intraday?

[00:34:53.11] - Speaker 2
So we are, right now we, we are the data and we are going to release intraday in the next couple of months, in the next product release. But potentially, I mean, Ryan, you can answer this. Yes.

[00:35:07.25] - Speaker 3
Well, they do, but oftentimes we're limited by available data. So, you know, oftentimes the exchanges aren't, aren't going to be publishing update, say open interest. And so, you know, typically we're relying on a nightly open interest and it's the best proxy that we have or, you know, previous days volume traded. I mean, there are probably a few ways with more advanced models that we can make estimates of how that's changing intraday. And you know, as Fabio mentioned, adding intraday data is a key goal. But, you know, in terms of not every model will be able to be updated intraday.

[00:35:45.20] - Speaker 1
And then the next question, do you find some levels more important than others?

[00:35:51.29] - Speaker 2
Yes, absolutely. So we have, and we have all the documentation as well on our website. So we have primary levels. So the, there are mainly five. So you have the put support and the core resistance, which is the ones that we saw in the chart. Then we have the high volume level, which is kind of like a complicated model where we understand the shift in positive to negative gamma. And then you have the one day indicator, which tells you the maximum and minimum volatility for the day. So those are kind of like the primaries. Those are obviously the key reaction zones because that's where the most activity in the option side is. But then we also have the secondary Levels which are the JAX level here and essentially is if we go back to the, to the slide here, you can see how these are. So you can see those big green bars are representing the largest call position. And then we have also, if we scroll down back here, this chart, we also have the same on the put side. So the primary levels are the ones that are plotted here, but then we also have the secondary Jack level.

[00:37:03.23] - Speaker 2
So for example, this 2350 level will be a very important level for Gold as well.

[00:37:12.13] - Speaker 1
Yeah.

[00:37:12.23] - Speaker 3
And Fabio, if you want to go back to that chart that you had on the screen, my other comment would be in terms of most important levels. Well, this might be a little bit of a non answer, but I mean the most important level I'd argue is the one that you know, relates that corresponds to your trade. So I mean if you're going long, you should have a, a very different kind of level in mind versus if you're shorting or if you're going to trade an option on it. And, and so again, I mean if you're, if you're long here, you know, I, I'd be. Well, you know, I'd be particularly concerned about the Jacks three right there because if you're counting on that as support for your trade thesis, I mean we're awfully close to that. Right. And so you're not really giving yourself a lot of space. And so you need to be monitoring that trade say much more closely than you know, if you're using the one day min as your, as your kind of potential loss on a day trademark.

[00:38:14.08] - Speaker 1
And then.

[00:38:15.11] - Speaker 4
What question?

[00:38:18.22] - Speaker 1
What?

[00:38:19.28] - Speaker 4
I have a question. Can I ask a question?

[00:38:25.16] - Speaker 1
Okay.

[00:38:28.27] - Speaker 4
You guys don't have an expected move for zero day. It's all one day. And what's the difference with the free version and the paid version?

[00:38:39.20] - Speaker 2
Yeah, so the one day is actually represented on the zero dt. So we provide the data at close. So the one day move that you would receive, for example today after closing would be respectful for next day's activity. So you know, if you were to use the data from tonight and you are preparing your trading day, then you, the one day minimum that you would get today, all the way up to tomorrow morning will be applicable for tomorrow's trading. So that would mean zero DTE's data as well. And we also have zero DTE option data too. So like those levels are actually very important as well. So we see a lot of, especially like on SPX or like, you know, qqq, the zero DTE levels are very, very relevant. Because of the obviously time to expiration.

[00:39:28.14] - Speaker 5
Can I ask a question as well?

[00:39:30.16] - Speaker 2
Sure. And I think you have another question about the membership, if I'm not mistaken.

[00:39:35.25] - Speaker 4
Yeah, what? Because I, I think I see the levels on the free discord on the paid service. What extra stuff do we get?

[00:39:46.21] - Speaker 2
Well, so on the free one you get access to three assets which are spx, QQQ and vix. And on the page you get access to everything else. So we're going to cover about 900 companies and then all the futures futures data as well. So.

[00:40:00.23] - Speaker 4
Wow, thank you. That's all I need. All I need is spx. But yeah, thanks.

[00:40:09.27] - Speaker 5
Yeah. I have a question as a fundamental question. How do you calculate gamma exposure? How do you assume that the volume that you see in the market high it transform and opening and Internet opening to his position and not disclosing your position since the open ether is known only the following day. So there is a modeling that you use or assumption that, you know, calls are bought by, I don't know, retails and market maker as on the opposite side. Because that's a fundamental question, you know, the validity of your gamma exposure. It's. You don't have open interest till the next day.

[00:40:51.28] - Speaker 2
Well, we, we do with the intraday data. So the open interest typically updates around after midnight. So typically what happens is the provider releases the new open interest probably between anywhere between 12pm eastern to 4am in the morning and that's when brokers update the data around 7am so with the intraday data we are going to have gamma levels changing after the data is published. But also there are also other variables that go into the calculation. So it's not just open interest. There is, you know, the common delta, the implied volatility and all the other metrics. So those change intraday. Right. So although the open interest is updated once late, there are other measures like volumes and you know, gammas and you know, Greeks that update into the day.

[00:41:39.15] - Speaker 5
No, sure, but that's the point. The volume that you see could be closing open interest. I mean there is a, you know, with the new person talking about spx, the explosion of shorter tenor, there's a lot of volume. There's 70 of the volume.

[00:41:54.11] - Speaker 2
Right.

[00:41:55.03] - Speaker 5
So but that volume for the market maker doesn't mean he has exposure, doesn't mean it's, it's a gamma level for him because you know, they're buying, selling and it's good for them. So the question is, is on, on a very short 012, within the first week there's a lot of volume. Expansion of volume.

[00:42:13.17] - Speaker 2
Yeah.

[00:42:14.14] - Speaker 5
Modeling that into a gamma exposure market maker based on this assumption that they are exposed before they have to. By yourself, keep the balance and the delta. You make all your calculation on the delta gamma. But the, the major part is how do you know that the volume that you see will be open position? So open it is not closing.

[00:42:39.29] - Speaker 3
Yeah. So if I can interject here, I mean there's, there's a few assumptions in the model and we're constantly kind of reviewing these models and adding different models and different proxies to kind of make estimates. I mean, obviously even if the open interest doesn't change, we can't know for sure which direction it's going because obviously the market's net gamma is always zero. The question is kind of which side they're hedging. And that's again why we think of them as reaction. That's why I prefer as a market maker the term reaction zone rather than necessarily resistance because you can see the exactly opposite behavior based on the positioning. And there's no way to know, know exactly how that positioning is other than using, you know, so, so we think of the reaction zone is, hey, could be that market makers are really short here, could be that they're really long here. We know that there's a lot of open interest. We know there's a lot of interest at this point, which is why we think one of two things is going to happen. And then, you know, on top of that, we're constantly refining these models, come up with additional proxies to kind of make estimates about that.

[00:43:39.10] - Speaker 3
And then you add in back testing, I think to kind of, you know, get a better sense for a given security.

[00:43:47.05] - Speaker 5
Okay, thank you.

[00:43:53.29] - Speaker 1
Sorry, I had a plane going by. Let's see what else we have. Do you look at dark pool data?

[00:44:04.23] - Speaker 2
Not yet, but we are looking into it.

[00:44:08.06] - Speaker 1
Do you plan to support Nikkei, HSI and dac? So foreign markets?

[00:44:14.14] - Speaker 2
We want to. So yeah, we are very interested in Nikkei for sure about the European futures, especially DAX and the euro stocks. The challenge there is the data. So it's getting access to the data is a bit more challenge than in the US for example.

[00:44:35.15] - Speaker 1
And can the daily data be uploaded automatically to Trading View? I think you have to put that in yourself, but it really takes 30 seconds.

[00:44:45.22] - Speaker 2
Yeah, so we are. So the ultimate goal again with the product is obviously to then develop like a more integrated web application that will have all the data directly available to you when you log in. So the answer is in the Short term it would still take you about 30 seconds to add the data. But in the long term we are.

[00:45:05.21] - Speaker 1
Planning on yes automatically. Yeah, that's cool. Are you, do you have live trading in your trading rooms? I don't know if there's like a live trading.

[00:45:21.23] - Speaker 2
Yeah. So basically we have six trading rooms. We are also going to start doing more live session on Zoom or Discord. But essentially we cover different strategies. Right. So we have a futures trading room where the guys are mostly focused on nq and yes, we then have Iron Condor room where the, the traders are more selling spreads during the day, so zero DTE spreads. And then we have a macro room that looks more like the bond rates, commodities, stuff like that. So we post basically live trades. We post like viewers during the day. We post like how we can read the market based on certain. Obviously the goal is to leverage our data on, on that analysis. So yeah, you do have access to the traders and then also you can actually interact with the tracers directly with the chat.

[00:46:16.09] - Speaker 1
Excellent. And I just want to reiterate that in addition to, you know, just having these podcasts, there is a wealth of information on your website. So you know, definitely go check that out.

[00:46:34.17] - Speaker 2
Yeah, absolutely. We have, if I can show you. Sorry, I don't think I can. But we have about 70 plus guides freely available on the website. So. And they talk about all the levels. They would go into details on how the levels is calculated. You will have access to the back testing, you will have access to case studies. Yeah, so there's plenty of stuff, lots to read.

[00:47:02.23] - Speaker 1
Absolutely. Did we have any other questions from the audience? Let's see. Wait, let's see. Do you look at correlations between stocks? For example, if all of Mag 7 is approaching one day max, does that mean the probability of reversal is higher?

[00:47:27.11] - Speaker 2
Yeah, I mean we do have, so we also have, within our models, we also have some momentum models. So we have our market breadth indicator, we have trend indicators, we have CTA's indicator which are also very important to look at liquidity.

[00:47:46.05] - Speaker 1
So like, you know, I love that. That's one of my favorite features.

[00:47:51.13] - Speaker 2
Yeah, so we have, you know, CTA's levels on the major asset like crude oil, gold, you know, the index. So I think what you want to use the data for is really to confirm the direction. Right. So obviously you can get the levels on all the stocks. You can plot them in the chart and as Ryan was saying, like you know, depending on your view on the direction of the market, then you can use this data to, to confirm if you have a statistical advantage to your trade. So if you look at the CTA's data for example, and you see that all the CTAs are short and now you are long the index future, then obviously you understand that there is a risk that the more liquidity will come out of the market. So obviously you have that all available for you here as well.

[00:48:37.15] - Speaker 3
Yeah, and like another example going back to that previous question that we were discussing as well about like how do we know exactly from this data which way the market's positioning position. It's when you pair up a couple of different things that it really gets richer. So you know, if we know that implied volatility is also higher at the call resistance level than it typically is, you know, at that same point relative to the rest of the implied volatility surface, then you know, it's a pretty good get, pretty good bet that that's the retail buyers that have been coming in and pushing up the price there. And so you know, maybe buying calls there isn't such a great idea.

[00:49:15.09] - Speaker 1
The next question is, do you have any explanation videos? For example, what does ball regime IV HV means and how to read the charts? I think you guys do, don't you have some videos?

[00:49:30.23] - Speaker 2
Yeah, we have, we have everything in our website. So let me see if I can put it up.

[00:49:36.03] - Speaker 3
And we're also working on rolling out some educational series, you know where we kind of talk through, you know, I'll, I'll be joining for a few kind of intro to options trading and thinking about options risk, quantifying options risk as well. So there's already a lot on the website but we're also working on rolling out some new stuff and as new models come and I think the plan is to start to have weekly or, or bi weekly webinars, kind of go into more details about application for a specific example.

[00:50:08.14] - Speaker 2
Yeah, and as you can see.

[00:50:11.16] - Speaker 4
I.

[00:50:11.23] - Speaker 2
Don'T know if you guys can see, you have. So we, we broke it down really on a getting started. So like we created a setup guide on what to use. So when you come, when you first arrive at mentor queue, what should you know about? So here you have a step by step process. Then we have a lot of documentation on futures options. We have here the mentor queue data. So we have wire gamma levels, zero DT levels. What is the option matrix? What are the different levels here? Co resistant, put support when they expected move. We have back testing results here. And then if you scroll down to the bottom you have the different momentum models and CTS model that we have. So we have documentation there. Then you have strategies so you know, like all the different option strategies here and then you also have case studies. So here is really interesting. So sometimes you know, we will look at how to use data on, you know, Nvidia or Okta or like, you know, how to manage risk, you know, short term momentum, things like that. So we'll publish more data on the website for sure.

[00:51:18.16] - Speaker 2
And as Ryan said, we're also going to start doing more live sessions too.

[00:51:27.03] - Speaker 1
Excellent. Let's see if we have any other questions. It looks like we don't have any. Oh, what time, at what time of the day are levels updated?

[00:51:37.29] - Speaker 2
So they would start updating at around 4:15 or 4:18pm after the market close and they're probably done by, so we are actually working on a big infrastructure change. So they'll be done probably in the next couple of hours. So by, by like 7 8pm you will have access to the updated levels. The futures data will come a bit later because of the way open interest is released by the, by the exchange. So there's you know, a bit of delay in there but you get the data before 11pm or 11:30pm at night. So you're ready for the next session.

[00:52:17.19] - Speaker 1
Can you download the CTA data or is it just in chart form right now?

[00:52:23.05] - Speaker 2
Is a chart? Yeah, chart or table.

[00:52:27.12] - Speaker 1
Okay. And do you plan to add commitment of traders data probably really that relevant?

[00:52:37.03] - Speaker 2
Yeah, I mean I think we use the data within part of our models, so yes.

[00:52:43.03] - Speaker 1
Perfect. And let's see what else. I think that looks like it's it. If anybody has any other questions, you can put it in the chat or speak up for whoever's on the call. What, what else do you think is, you know, kind of final something you want to leave with people, you know, as far as, you know, how they can really use this product for the futures market because it's really about futures and you know, and you know, what kind of things are you looking, you know, to add to this that traders can get excited about?

[00:53:33.03] - Speaker 3
Yeah, there's the, you know, the implied volatility. You know, screening is kind of one of the next big steps on, you know, which is starting to again think about the entire surface which tells us, and for those who aren't as familiar, implied volatility is a basic way of, of kind of comparing option prices across different securities underlyings, different times and expirations and so being able to compare it both to other assets or other, you know, time X freeze. And also to itself historically so that we can start to, you know, again make, make sort of more actionable comments like call options are relatively expensive for this underlying or for this, you know, expiration date or you know, compared to the last six months. And then, you know, and then the next step is going on top of that and starting to turn that into like I said, a trade strategy. So you know, buying a put and selling a call now is going to be, you know, it's going to pay X more premium to, to you than it would have historically or you know, it's going to cost less premium than it would have over the last six months.

[00:54:44.22] - Speaker 1
That's valuable information and I think if.

[00:54:47.08] - Speaker 2
I can give maybe some update on what we're doing in terms of roadmap. So we are in the next release. So we just released the futures data this week which are, we're very excited about. In the next release which is probably going to come around July time we're going to have intraday data. We're also developing, like Ryan said, some advanced models on implied volatility. We're also looking to give more context about how to read the data because it's obviously complicated information. So we want to make sure that we can simplify the read of the data for our users. And then also we're going to introduce more like swing trading models for longer time frames. So like you know, we have a lot of investors that are looking at more like longer term horizons. So we are going to build that to and then the last part which will come later would be a real time alerts. So can you tell me when the price of crude is going to approach one of the Labor Day and then receive a notification. So that's also part of the plan.

[00:55:44.05] - Speaker 1
Excellent. And did you have any final words before we meet again?

[00:55:51.27] - Speaker 3
I would just, I would just add that last thing that Fabio said I think was really key about alerts and notifications when these things happen. And the reason for that is, I mean, you know, I think kind of getting philosophical for the last couple minutes here. We're living in this era of big data. There's more and more great tools and more and more data out there and it can be a lot to cut through. So I think the first phase and the phase that menthorq has really excelled at so far is making this data available and then the next step is really then going back down. You know, first it was broadening out the available data and that will continue. But then it's also then starting to get more narrow and and allowing traders to, when they have so many competing sources of information, to allow them to actually get less data. What I mean by that is to cut out the noise from the data so that they're getting that alert when it's actionable, when it's timely, when it's relevant, so that it's not just another feed to effectively ignore. Because we all know we do that.

[00:56:52.22] - Speaker 3
And so that's the next great hurdle, I would say, and that's the hurdle for every trader is, is to figure out, you know, how am I going to sift through all the data that's out there and. And, and only spend time on the things that are actionable.

[00:57:09.05] - Speaker 1
Absolutely. I think that it. That is great advice to leave for everybody. And where can these people bug you? On Twitter. So if they have any questions, you have. Men are Q. I know is at Men Q. And then, Ryan, you want to give your.

[00:57:27.20] - Speaker 3
I'm still new to this whole social media. We're just coming out of the hole, the dark ages now. The company is about three years old, and so we've got our website up there. We're now on Discord, and we'll share more of that in following sessions. But we're still kind of working on our marketing strategy as a startup. So this is kind of our first foray. And that's, again, one of the reasons that we're, you know, love working with Mentor Q, because that's stuff that they're really good at.

[00:57:57.18] - Speaker 1
Excellent. And with that, thank you, everyone. Hope we get to do this again. You guys, this was very fun.

[00:58:04.29] - Speaker 2
And, yeah, thanks for having us, Tracy.

[00:58:08.17] - Speaker 1
Absolutely. See everybody next time.