MenthorQ Models for SPX 0DTEs Trading

[00:00:14.29] - Speaker 1
The next type of training trading style. So the next trader Type is really 0 DTES XPX traders. Right. This is a very big part of, of our user base and we're going to talk about one of the hottest trends in trading today, which is selling Iron Condors on spx. Right.

[00:00:38.09] - Speaker 1
Why is this so popular? Because for some traders this feels like a dream. So you can actually have daily income from selling premium. You can do quick scalps with huge leverage and there's multiple opportunities throughout the day. But the reality is that 0 DTES is a double hedge sword and most traders you know, are getting chopped out and are getting, they blow up their account because they underestimate what zero these options are and the risk.

[00:01:07.07] - Speaker 1
Right. Very, very important. So if you sell Iron Condor or, or if you trade zero D is you both run in the same issues. USA's Iron Condor is actually thinking that because we only have a certain amount of hours left to the, to the expiration of the option that's actually selling premium is pretty safe until one move wipes out weeks of income. For 0dd traders that are looking for breakouts or reversal, they normally trade into gamma walls.

[00:01:41.11] - Speaker 1
And basically what happens if that, if the move doesn't go in your way, if you don't, if you don't see the breakout, your premium just loses value very, very fast. Again. You are also one of the biggest challenges that you are trading blind and you are not looking at the real forces that are shaping the SPX intraday flow and positioning. Right. So you're focusing on charts and you're not looking at what's underneath, which is gamma flows, volatility changes and so on.

[00:02:10.19] - Speaker 1
And that's why a lot of zero DDS traders, they have maybe a few months of great setup and then they lose in a couple of days because they underestimate volatility. Right. And this is what we actually can provide. So we actually have intraday gamma levels and end of day. So we have both end of day and intraday.

[00:02:30.12] - Speaker 1
So we can show you where the SPX will pin, stall or break. You can actually use our Q score and this can tell you if today is safe, fragile or maybe dangerous. And then you saw some of our volatility models and then you can actually look at those to understand if it's a good time to trade Condors or trade SPX using a context. Right. So let's make a very, very quick example.

[00:03:00.19] - Speaker 1
So you are an SPX Iron Condor seller and you sell Iron Condor every day. The market has been calm, volatility has been low. And you know, you've seen an income like a steady income coming from premium. But then you wake up one morning and you are seeing that dealers are moving into negative gamma. The volatility score is now at 5, which is a high volatility regime.

[00:03:24.29] - Speaker 1
And then implied volatility is also growing. So again, you think it's just another day and then you just want to sell your condor and take your premium. But again, one headline could actually cause the SPX to actually rip through your short strikes and, and weeks of income are gone in a single session. So we can provide you with some of these tools so you can actually understand what's happening before you actually place your trades so you can actually be more aligned with what's going on in the market. We also have intraday snapshot that update 14 times per day, so you can actually use that data as well.

[00:04:00.17] - Speaker 1
The other scenario, it's 11am and everything looks bullish. SPX looks great. You buy zero ET scores, you. You're expecting a breakout. But then you see a big gamma wall ahead.

[00:04:14.08] - Speaker 1
And actually dealers are actually hedging around these levels. And also if you use our intraday gamma models, you also see an increase in negative gamma. Right. So what happens is that SPX does not break, is chopping sideways, and your calls actually go to zero because of the time decay. So you could actually use some of these models to understand when to get out of this trade, if it's not successful, and and when to get in and how to react.

[00:04:41.02] - Speaker 1
Another very good example is Friday opex. We talk about this all the time. Is typically the biggest zero DTE day of the week. Most traders sell Condors because they think that OSPX always pins on Fridays. Right?

[00:04:57.29] - Speaker 1
Always pins around this level. Right. But then what do you see? You start seeing that dealer positioning is changing, negative gamma is piling up, and also the volatility surface changes. So you see that the pinning effect might weaken.

[00:05:12.28] - Speaker 1
And instead, instead of selling into those narrow strike, you might want to increase your range, reduce your size, and use a better risk management. Right. So the idea behind it is really that you can actually use data to have a successful Strategy at selling 0DTES. 0DTs does not have to be a casino. And with the right data, you can actually structure it and it can become an opportunity for you.

[00:05:41.27] - Speaker 1
So now let's go over some of the things that we provide for you guys and then, and then I'm gonna also answer some questions. All right?

[00:06:03.06] - Speaker 1
All right. So first within, within our dashboard and we're going to look at spx. We provide you with all expirations. So we provide you with our net gamma exposures and our gamma levels. Those are really the largest strike where we see the biggest market reactions.

[00:06:19.19] - Speaker 1
But we also provide you with the 0dt is data. So this is a very, very important thing. And you can access zero DTs levels on Mentor queue via our dashboard, via our integrations. We're going to show you that in a second. Then we can also look at our one day expected move indicators.

[00:06:38.21] - Speaker 1
So if you look at SPX today, a very important data point is really how big of the move can we expect and what's the one day expected move for spx? And this is our proprietary model. So today we were here at 6553 for the, for the lower move and then we were here at 6500, 6659. Right. Why is that important?

[00:07:08.13] - Speaker 1
And we're now going to go into what is it into our backtesting. So within your academy and within our wiki section you can actually find our back testing results. So we can go into our gamma levels and we can look at the success rate of the 1D max and one day minimum. So if we look at SPX we are looking at four years of history. The success was about 87% for the one day minimum.

[00:07:38.21] - Speaker 1
So the price the next day on 87% of the days closed above the one the minimum and the price for the next day close below the one day max on 85% of the days. Right. Stayed within the range on 73% of the cases. That's why if you are trying to sell Iron Condors or if you are doing zero de, you need to actively manage the structure. You cannot just leave it there sitting and hoping that the market will not close within those ranges.

[00:08:07.10] - Speaker 1
Then let's go back to our dashboard. We can use the matrix for many, many different things. So for example, here we can see how much Gamma and how much Delta and how much open interest is expiring at each of the different expiration. So we have a big opex we mentioned on Friday. 38% of gamma is expiring, 32% of DAX and 23% of open interest.

[00:08:33.28] - Speaker 1
If you then look at for example the Vix. Let's see if I have the Vix. Again we were showing that today is Vix expiration and about 78% of negative gamma has expired on Vix. So again when you go into some of these days you need to pay attention to this data because There are good chances that the market could actually move very very fast.

[00:08:59.25] - Speaker 1
Then I also look at our screeners. So what I do normally in the morning, let's go back to here. I always look at the asset that I've seen the highest positive change in gamma. So for today these are the assets that have shown the highest positive change in gamma. So whether it's stock ETF or index.

[00:09:23.12] - Speaker 1
And we can also see the highest negative change in gamma here, have a screener for that. So coming into today we see that SPY and spx. So a big decrease in positive gamma here or a big increase in negative gamma. Sorry and QQQ as well. So again this can be very helpful and we can go and see again if we look at SPX for example also how this has changed here.

[00:09:52.26] - Speaker 1
So you can see the amount of gamma that's been removed or added. So we've seen an increase in negative gamma here for this expiration. So very, very important. Overall we've seen an increase in negative comma by 332 million for SPX.

[00:10:10.10] - Speaker 1
The other thing that we always want to look for is then can I go and look at intraday positioning? Right, so let's go into SPX intraday data and let's see what's happening today. So first you have the net JAX0DTE. So this is showing you the biggest levels for the 00DT's options only. So again if you're trading SPX Iron Condor, you want to look at that.

[00:10:38.04] - Speaker 1
This is showing you how this has changed. But the more important one are the JAX difference as we were showing before. So let's go back to, to the beginning of day and let's see what happens. We have 14 snapshots per day every 30 minutes. And then basically you can kind of see things are happening.

[00:10:58.09] - Speaker 1
So we open with a very strong positive gamma increase compared to the previous day. We then go into a very big negative gamma environment until 11. We're still 11:30. So we can go in the chart, we can see how this moved here. So here we are 10, we are at 11.

[00:11:20.11] - Speaker 1
We're still in a strong positive negative gamma or negative move. And then things start changing at around 12, between 11:30 and 12. So now we are here, things start changing. So the market is coming down. We are also approaching a big put support level.

[00:11:35.11] - Speaker 1
So now kind of like we're seeing a change in, in the trend. So here you're seeing like again we went here and then now we are waiting and see what's going on. So yeah, we're now chopping sideways right here.

[00:11:52.07] - Speaker 1
Yeah. So the key here is again, those gamma levels, those position and interval flow can really be a good tool for users who want to be selling or buying SPX0 DTS options.