Santa's Bringing Coal - SPY Short / ES Signaling

16 Nov 2023

Entered into a short position today on SPY based off of a 4h signal on ES from ELMo (a strategy that I developed).

LHH (liquidity metric) daily is rapidly falling and 4h is low already. ELMo (entropy/momentum) daily is very extended and starting to level off, and 4h is already looking bearish coinciding with the short entry signal.

Looking for 4480 ES as a first stop checkin, then there's some volume hot spots around 4300 and 4150 if we really see some good volatility.

Most of my position has theta out to March/April, though I have a good sized set of puts for next Friday that I opened when SPY was at 450.

I'll either stop out at breakeven, or ride this down until ELMo starts telling me to close it out. I'll add more to the longer expiries if I get a daily short signal in the next few days.




Positions:
SPY 3/15/24 450P
SPY 11/24/23 450P
SPXS 4/19/24 15C
SPXS shares

16 Nov 2023

Nota

Weeklies stopped out with small profit, may reopen later.

Longer duration still holding on for a while. I'm going to be less strict with those.

17 Nov 2023

Dagangan aktif

Cut the options, total loss was around $200 off the full position. Keeping the SPXS shares for now

I think we get maybe one last gasp up into next week. 4h ELMo is bordering on crossing back up already, I don't like the setup for leveraged shorts anymore.

Will add back when conditions permit or I get another short entry setup

17 Nov 2023

Nota

They're just aggressively ramping NDX calls today.

Glad I trimmed. Next week should be interesting after all the opex and vixex shenanigans finish shaking loose.

20 Nov 2023

Nota

4h strategy signaled to cover at 02:00, but I've already pruned most of the initial position before that.

I still have the SPXS so I will keep this post open and update if/when I close out or reenter the puts. SPXS stop loss is at -5% (shares only).

21 Nov 2023

Nota

Got a couple of SPY 1/19/24 450P today

27 Nov 2023

Dagangan aktif

Added to the SPY puts and grabbed some more SPXS shares, RTY throwing a fresh short entry and the others still are favorable.

28 Nov 2023

Nota

RTY threw another short signal

29 Nov 2023

Nota

GDP print goes brr

Very close to kissing the stop loss line but haven't yet. Will update if I stop out.

29 Nov 2023

Dagangan aktif

Trimmed 1/3, figure we might try to bounce here again

29 Nov 2023

Nota

LHH is in the dumpster for ES RTY and NQ, might get fun soon

29 Nov 2023

Nota

Here's an example of what I'm looking for from LHH before entering a larger short. You can see when it's at a local minimum it acts as a hint towards future volatility.

Currently, it is very extended to the downside.

Going to be playing intraday in short-the-rip mode for a while with the cash I freed up today.

30 Nov 2023

Dagangan aktif

Trimmed a little more, out 1/2.

Still shorting rips, probably going to add back before end of day.

30 Nov 2023

Nota

There's a TON of puts getting sold and not all super short term stuff either. I'm gonna wait for a day or two and see if those do anything.

If we go above 458/4600 I'm out of the short fully and may start looking to follow the trend up. Here's the bull argument where we do see end of year flows that push us up near ATH. It's not impossible.

1 Dis 2023

Dagangan ditutup secara manual

I bailed this morning around 456, flows are pointing to ES 4600 and SPY 458 today, not gonna fight it.

1 Dis 2023

Dagangan aktif

Back in with SPY puts this afternoon