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SKEW

Put Call Ratio/Volatility Skew CurveIn most mature markets, options can be a major indication on price direction, or at least the markets expectations of future market direction. One way of looking at this could be through the Call/Put Ratio. The ratio is a simple measure of how many call options are being traded relative to put options. As you can see from the chart above (www.sk3w.co) the peak of this ratio was ~16 on 2/2/2019, with another peak on 12/6/2018 of ~9.5. When looking at these dates respectively on the BTC price chart below, these heavy Call buying days were precursors to a $800 rally over a 22-day period, and a $1,000 rally over an 8-day period. As you can see from the Call/Put Ratio chart, today the ratio is roughly around the average of 1.95. Another good way of looking at options to get an indication on future price direction would be through the Volatility Smile or Volatile Skew. This skew will show the sentiment on the demand to buy or sell calls vs. puts. When a market has positive call skew, the calls will have a more expensive ‘implied vol’, and when the market has positive put skew, the puts will have the more expensive ‘implied vol’. Below is the Volatility Skew Curve for March, June, and September BTC options. While analyzing this chart over the last week after this volatile price action, we have not seen a major shift one way or the other in regards to this skew. If BTC were to be exiting this BEAR market, we would expect to see Call Skew form within this chart. If you are of the opinion BTC will rally, then buying call volatility would be a smart play. If the $4,200 RESISTANCE that has formed in BTC breaks to the upside, we would expect calls to go bid and see call skew form in the chart. As for now, through this analysis, we seem to be stuck in this $3,200-$4,200 range and therefore remain BEARISH. The ‘trend is our friend’, and will stick to this outlook until forced to do otherwise. To see our full article with all charts and figures attached, please check out: medium.com
COINBASE:BTCUSD
by BitOoda_LLC
SPY: Potential market bottom during consolidation phaseI think we may have seen the bottom in $SPY, judging by the action in the last couple days. The market had reached the peak of a weekly signal, and after time ran out for the projected advance started a steep correction until now. Sentiment has peaked apparently, and we could be seeing a turn around in bonds, oil, and $VIX. Keep in mind we might be consolidating, and moving sideways all year, which is what long term (2 month bars) Time@Mode signals imply, and which also aligns with fundamentals here overall. Despite this, the market is supported, and a larger decline is not likely to happen. I hold larger positions in metals, and miners, with some exposure to oil, Euro and $SPY here. Cheers, Ivan Labrie.
AMEX:SPYLong
by IvanLabrie
2
Weekly commentaryI'd like to discuss some very interesting market signals that I've spotted, as a result of tracking the US equities, FX, Commodities and Cryptocurrency markets on a daily basis. Many times people ask me about specific markets, or, decide to focus on one market they like. This is not the optimal way to approach trading in my opinion, since a market can be in a rout for a long time, with prices stuck in a sideways range, or, simply in a bear market, without too much liquidity or interest from investors. The latter is the worst kind of market action, as far as efficiency of trading signals goes, and I will explain why in video publication I will share the link for soon. We're looking at the #SPX chart here, I find it very interesting when there are big declines in this market, since more often than not, we can catch very interesting opportunities on the long side in US equities. But we also need to be prepared to anticipate tops, and extended declines or sideways action, which normally come after sentiment turns around. Most of the time, since the last financial crisis the world endured, sentiment tends to be bearish among the public and specialists, normally turning less bearish or bullish near local market tops, which can be followed by corrections or consolidation patterns of different duration. I'll publish a link to a video publication in related ideas very soon, stay tuned. Hope you all have a great weekend, Cheers. Ivan Labrie.
FX:SPX500
by IvanLabrie
3
SEXY TANTRIC SYMMETRY ENDS BEFORE SWITCHING TO HOT NEW POSITION This is a deliberately simple chart. This distorted and skewed symmetry from recent months seems to be coming to an end soon. It is by no means a reliable precedent but the last time symmetry from the March high ended we set our medium-term bottom down in the mid-6's and travelled to knock on the 10K ceiling- some swingers more than doubled their money just by holding ETH or BCH for a month. This is an interesting and bizarre pattern to look at because finding the middle of it (ironically, the middle was around 6/6) seems to dictate where something will eventually shift and change by tracing the patterns to its end. Is it completely meaningless? I don't know. I tend to think that the February bottom was too quick / merely a test, the April bottom was barely enough accumulation and if this does end up being a bottom soon it may give us sideways action lasting longer than we expected... which could also lead to failure and capitulation instead of another prolonged rally. I'm sharing this only because I see it.. not because it gives me direction. No advice here! Just some fun ideas as everyone is now wanting to turn bullish. I do believe we deserve more accumulation in the 4-7K range before any sort of legitimate bull run can occur but don't assume we're going to get it. I am very open to to seeing this becoming a bottom. Is there anything better than a swinger showing you his or her bottom? ;)
BITFINEX:BTCUSD
by AriaDayman
S&P500 SPY YEAR-END OPTIONS GRAPHEDWith the S&P500 ($SPY) at 215.04 last as of Friday, October 7, 2016, you can see the price of various options. I started at 215 which is "at the money" and the prices above that are the call options, since those are "out of the money". I made the call options green, since they are for upside price action. I then graphed the put options prices from 215 and down and made them red, since they are for downside price action. What you can see is that it costs a lot more to protect against a market decline than it does for a rally. In fact, if you had $1.65-$1.70 to spend on a CALL option, you could get one that was 3.2% out of the money. But if you bought a PUT option instead, you'd have to get one that was 9.3% out of the money, which is ALMOST 3 TIMES FURTHER OUT OF THE MONEY. Basically speaking you'd have to monitor this every day to see what was a "normal" amount of skew, or price difference between puts and calls that are out of the money. But I think you can see that this is a pretty extreme reading at first glance. The fact that they are different in price is more of a function of how people use options and who initiates the trade to price the option. Let's walk through the basics: A put buyer enters an order to buy a put, which gives a put seller the chance to sell. Once the transaction has occurred, the "put seller" generally would prefer to neutralize the position by either selling short a fractional amount of the index, or go out and purchase other put options to hedge off the risk. So after awhile, a market for options that looks like this would imply that a lot of hedging has taken place and nervous longs and bearish speculators have already built their positions and are protected against a market decline. What I would also expect out of an extreme reading like we have now, is that any sharp decline would find a bottom quickly because the hedges are already in place. This is not to say that we can't have any declines, but you wouldn't expect to see a cascading decline or a massive collapse with this much hedging already in place. It looks to me that the market will more likely edge higher to the 220-225 area into year end as a much more likely possibility to the 198-206 area. The odds are better than 2:1 that this is true, from the way that I see it. Have a great weekend and hope to continue doing this analysis each weekend until it shows a bearish signal. I'll be in KEY HIDDEN LEVELS chat room during the week if you have any questions or feel free, of course, to post questions here. All the best, Tim
AMEX:SPYLong
by timwest
29
Black Swan Risk Canary, CBOE Skew Index Similar to VIX, the price of S&P 500 tail risk is calculated from the prices of S&P 500 out-of-the-money options. SKEW typically ranges from 100 to 150. A SKEW value of 100 means that the perceived distribution of S&P 500 log-returns is normal, and the probability of outlier returns is therefore negligible. As SKEW rises above 100, the left tail of the S&P 500 distribution acquires more weight, and the probabilities of outlier returns become more significant. One can estimate these probabilities from the value of SKEW. Since an increase in perceived tail risk increases the relative demand for low strike puts, increases in SKEW also correspond to an overall steepening of the curve of implied volatilities, familiar to option traders as the skew.
S
by QuantitativeExhaustion
23