Weekend Wrap-up: Spy and QQQ Analysis
Data Review
In this weekend's analysis, we'll be reviewing the Open Interest (OI) and Order Flow (OF) data for SPY and QQQ.
OI and OF Insights
The OI data shows some decent levels, with 420 and 428 being notable. The OF data tapped the 428 level, indicating potential support.
Backtest and Greeks Analysis
Dealer Greeks have shrunk, indicating potential shorting opportunities. However, we need to wait for larger bars to form before entering trades.
Price Distribution Analysis
This week's price distribution analysis shows:
- Monday: Choppy day with a round-trippy pattern, potentially fading the first move
- Tuesday: More choppy action with some indecision, no clear direction
- Wednesday: Slightly more bullish, but with decent sized tails indicating uncertainty
- Thursday: Interesting data with bigger bars forming, indicating potential bullish momentum
- Friday: Slightly more bearish, with a 10-day outlook showing increased bearishness
Week Ahead Insights
- 6-day through 6-week charts: Bearish positions with dealer OI being bullish, indicating potential downtrend or controlled selling
- Friday (6-9): Slightly more bearish, with a potential downtrend day or controlled selling
Important Notes
- Dealer Greeks and backtest analysis require waiting for larger bars to form
- Price distribution analysis is subject to change and requires daily monitoring
- OI and OF data can indicate support and resistance levels, but should be used in conjunction with other analysis
Expiry Filter Review
- The expiry filter for next week shows the biggest poll at 425
- Another sizable bar is at 429, which was close to being reached today
- There is a smaller bar at 433, which could be a repel if price reaches it
Repels and Supports
- 420 is the biggest positive bar, which could repel upwards if price gets above it
- Supports are present at 420, but they're not strong supports
- If price goes underneath 420, it could repel downwards
- Above 420, price could repel upwards
- There is a level at 415, which is an interesting area, as price has dipped to this level before and has been supported, leading to a ramp up in price
Gamma and Support
- The gamma levels are currently at the top, with smaller bars above
- The largest bars are in the range of 417-429
- The cues show the same levels, with a lot of geck going down, which could be considered support
- The analyst notes that it's "crazy" to see how muddy it is in this area, with many dark pools and varying levels of support
Future Price Movement
- The analyst suggests that it's possible to see a pullback to 425, 423, or 429 early in the week
- If price decides to decline, there may not be a clear area of support until it reaches 405-400
Volatility Event and Market Analysis
- A volatility event can cause sudden and drastic changes in the market, both up and down
- Looking at the data for SPY going into next week, it's evident that the market is building up and has been back-tested to be very short above its current level
- Tech has been running strongly lately, and it's likely that some money will leave Tech and flow into other sectors
QQQ Analysis
- QQQ has less open interest compared to SPY
- The Tech sector has been running hard recently, and it's possible to see some money leave Tech and flow into other sectors
- QQQ is building up and has been back-tested to be very short above its current level
Dealer Greeks
- The author likes to pay attention to dealer Greeks, especially in QQQ
- However, they don't use this as often as they do in cues, as they don't trade QQQ as frequently
- The author was expecting a bearish position to materialize on Friday, but it didn't
- The dealer Greeks are showing a bull-bear-bull-bear pattern in small increments, which can change
Price Distribution
- The price distribution for Monday to Friday shows a bullish trend, with each day looking more bullish than the previous one
- This is a non-confluence point for the author, as they don't see a clear-cut signal for the market
Gamma and Expired Filter
- The author is checking the gamma and expired filter for QQQ on the 6-9 scale
- The gamma is showing a lot of bars down, with the biggest exposure currently at 343
- The expired filter has some repels in the positive levels at 3.50, 3.47, and 347, with the largest positive bar at 355
- The gamma goes all the way up to 361, with the largest bar still being down at 343
Conclusion
- The author is waiting to see how the data lines up before making a decision on a trade
- They prefer to see clear-cut signals and are not convinced by a non-confluence point like the current price distribution
- The author will continue to pay attention to the market and adjust their strategy accordingly