 Hello everyone, welcome to Options with Doug, streaming live daily on Bookmap Discord and the Bookmap YouTube channel at 1.30 pm Eastern Time. Before I get started, I need to go through the disclosures. General disclosure, all Bookmap limited materials, information, and presentations are for educational purposes only and should not be considered specific investment advice nor recommendations. First disclosure, trading futures, equities, and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. The focus of my presentation and the focus of the options-dog chat channel in Discord is options, order flow, the impact of options markets on stocks and futures, and the influence of market maker hedging flow on price action. I have a two-step process for trading and the first is planning, and I use positional analysis. I look at how traders and market makers are positioned in the options market and how those positions change from day to day to develop a thesis regarding the expected trading range and volatility for the day as well as a directional bias. The second step in my process is execution. I look at real-time order flow in Bookmap and real-time market maker hedging flow in SpotGammaHero to confirm my thesis and for setups for entries and exits. Just to be clear, I will be talking about setups today. Those setups can be taken any number of ways. For example, the S&P 500, you can trade that with futures, spy shares, spy options, or SPX options, or ES futures. And questions and comments are welcome, and I will be watching the options-dog chat channel in Discord and the chat and YouTube for your questions and comments, so please feel free to post whatever questions and comments you have. All right, let's get started. My agenda for today, first of all, I'm going to go over news items for today as well as the rest of the week, as well as economic data and events. And then I'm going to go through my positional analysis. Then I'll highlight a few setups that were key to the price action today, the markets. And then finally, we'll take a look at the live markets. So we'll do that, take a look at the live markets in about the last half of the presentation. All right, so first of all, today, there was some economic data that came out today, retail sales at 8.30 a.m. Eastern time. And it looks like this month over month was lower than forecast, but better than the previous reading. And then tomorrow, that's VIX expiration. I believe that's at 9 a.m. Eastern time. And then finally, on Friday, options expiration, the big monthly options expiration. And the last time I checked, Fed Chair Jerome Powell was speaking at 11 a.m. on Friday, and then all during the week, there are a number of Fed speakers every day. All right, let's take a look at positional analysis now. Let's start with the SAP 500. And this is book map showing, again, the SAP 500 futures, ES futures. And before I take a closer look at this chart, let's take a look at a larger time frame. I'm going to take a look at a thinkorswim chart for SPX. This is starting around the beginning of April, when the SPX shifted to a positive gamma environment. Market makers position shifted to mostly positive since the beginning of April. And again, this is a one-hour chart, thinkorswim, showing some key levels here all based on the options market. So first of all, I'm showing the lower and upper edge of the expected move for the week, shown with the dash purple lines. And then the dashed blue lines, light blue lines, are showing the upper and lower edge of the expected move for the day. And then there are some key spot gamma levels, some gamma levels. These are provided by spot gamma to spot gamma subscribers. And I want to highlight a few of these levels. The first is the SPX 4000 level, and that is the put wall. That's a strike with the largest net negative gamma that can be expected to act as support. And then here is the 4110 volatility trigger. And that's spot gamma's proprietary gamma flip level. Below that level, market makers position on the gamma curve is negative. In a negative gamma environment, they have to trade with price to hedge their delta exposure. And in a positive gamma environment like SPX is trading now, market makers position on the gamma curve is positive, and they have to trade against price to hedge their delta exposure. And then note the absolute gamma strike for SPX did move up. Yesterday it was at 4,000, and now it is at 4150. So it moved from 4,000 to 4150. That's the strike with the largest absolute gamma. And then finally, the call wall at 4,200. That's the strike with the largest absolute positive gamma, or net positive gamma. So the put wall, floor, volatility trigger, gamma flip level, the absolute gamma strike at 4150, and then the call wall at 4,200. So those are the primary key daily levels. Now let's take a look at another SPX chart from Thinkorswim just for today. So this is showing SPX just for today in a one day, one minute chart. And just to point out some levels that are in play for today, first of all, down below price here, there's the lower edge of the expected move for the day. And price did not quite reach down. And when we look at NASDAQ, it'll be another story. NASDAQ is trading up toward, last time I looked just right around, that's upper edge of the expected move for the day. And then also there's the volatility trigger, again at 4110. And the zero gamma level just above that at 4112. Let's take a look at book map now. And I've got two columns of notes with levels here. This one on the right, these are spot gamma levels. Again, provided to spot gamma subscribers for a variety of platforms here. They are provided to book map users in the form of cloud notes. In the range of price today, there are no SPX levels that they're showing. The things, the keys for today were really spy levels. So here, this is the spy 411 level that did act as support a couple of times. And then the spy 412, absolute gamma strike, also the volatility trigger, that did act as resistance multiple times. And what this has done today is set up great range day fade trades. Sell the spy 412 level just above the ES4140. And then buy the spy 411 level just around 4130. Multiple fade trades up and down, again based on these two spy levels. And we'll talk more about setups in a few minutes. And let's take a look at NASDAQ. And NASDAQ, an entirely different story. Let's just take a quick look at QQQ levels. Then we'll get back to this chart. So for QQQ, the spot gamma levels, shown in the range on the chart here, here's the 325, large gamma 2, and also the comma combo, combining NDX and QQQ, L4 level, and then the call wall up above at 330. And price action has been entirely different in the NASDAQ today, much more of a trend day in the NASDAQ and a range day in the SAP 500. Let's go back to the NASDAQ chart now. And here's the upper edge of the expected move for the day, shown with a light blue line. And it looks like that has been the stopping point for the move higher so far today. Let's just take a look at one other thing just to give us a better idea of what's going on today. This is thinkorswim. This is a heat map for the SAP 500. And this is showing what stocks are driving price today. It's just a handful of stocks. Basically, Microsoft, NVIDIA, Google, and Tesla. And when we take a look at setups, we'll see that call buyers are driving these stocks. So it's just amazing that call buyers in four stocks seem to be having such a large influence on the entire stock market. All right, so that is the SAP 500. We can take a look at the NASDAQ. There's the same stocks, Microsoft, Google, NVIDIA, Tesla. Also AMD has a little bit more, a little bit larger influence on NASDAQ than the SAP 500. All right, so we'll talk about setups in just a few minutes. So the next thing that I want to talk about is shifts in levels. And while I'm doing that, I'm going to go take a look at the absolute gamma levels. This is from SpotGamma. I'm going to start with SPX. And for SPX, there was one shift higher in levels, like I mentioned yesterday. 4,000 was the put wall and the absolute gamma strike. So 4,000 remains the put wall. What this chart is showing is positive gamma or call gamma above the zero line with the orange bars and negative gamma or put gamma below the zero line with the blue bars. So there's the 4,000 strike. That's the strike with the largest absolute net, negative gamma. That's the put wall. And then 4,150 is the absolute gamma strike, the strike with the largest absolute gamma. And then the call wall remains at 4,200, the strike with the largest absolute positive gamma. That can be expected to act as resistance, 4,000 as support, and 4,150 as a magnet for price, especially going into expiration on Friday. That's SPX. And let's take a look at SPI. And we'll talk about shifts and levels. So for SPI, the volatility trigger did shift higher from 4,10 yesterday to 4,12. And the call wall shifted higher from 4,15 to 4,20. So here's the put wall at 4,100, the strike with the largest net, negative gamma, the support level. And then the absolute gamma strike remains at 4,12. And that's pretty obvious, the strike with the largest absolute gamma. And then the call wall has now moved up to 4,20. So there's the ceiling resistance level for SPI at 4,20, support level floor at 4,100. And then the concentration of gamma and potential pinning level, magnet for price into Friday at the 4,12 strike. All right, that's SPI. And for NDX, there were no shifts and levels. So let's take a quick look at the gamma levels for NDX. And I need to do a refresh. Hello, Hector. Good afternoon. Glad you're here. So here's NDX. And note the call wall and absolute gamma striker at 12,975, not shown on this chart. And concentrations of gamma at 13,200,300, 350, and 500, and mostly call gamma. And finally QQQ. I'm going to zoom in on this. So for QQQ, the volatility trigger did shift higher slightly from 323 to 324. The put wall moved lower to 300. So here's the put wall at 300. Support level. And then the absolute gamma strike shifted higher to 325. And then finally the call wall remains at 330. And while we're on this page, I want to take a look at the Vana model. This time I'm going to take a look at the Vana model for QQQ. Give me just a moment. I'm going to see where QQQ is trading right now. QQQ is trading at about 328.6. So that's about where QQQ is trading now. Where I'm holding my cursor, that vertical line. So what this chart is showing is how market makers delta notional, their delta exposure, changes with price. Shown on the horizontal axis. Delta notional shown on the vertical axis. And, excuse me, price shown on the horizontal axis. And there are two curves on this chart. The first, light gray, shows how market makers delta notional changes with changes in price only. And what this is showing is as price increases, their delta notional will increase. And they'll have to sell futures to hedge their delta exposure. And that's typical on a positive gamma environment. And then the second curve adds implied volatility to the equation. So it's showing the change in market makers delta notional changes in price and implied volatility. And that is the van effect, the change in delta with a change in implied volatility. And what this chart is showing is around this level, we're actually starting right here at this intersection. Market makers will have less delta notional to hedge than predicted by the delta only line. Then on the other hand, as price decreases, they will have more delta notional to hedge. So as price is moving lower and implied volatility increases, they will have to sell futures to hedge their delta exposure. All right, so let's take a look at the current level. So around 328, so around here, what this is showing as price has been moving up today, market makers could actually buy back short hedges. So that was providing a bit of a tailwind to price up to around the 330 level. And then at that point, market makers will need to start selling futures in Q futures, which moves the same as QQQ. So market makers will have to start selling futures to hedge their delta exposure, and that should slow down price. And that may be what's happening now as price has made it up to the upper edge of the expected move for the day for NQ. All right, let's take a look at one other thing here on this chart. I'm just going to go to spy, back to spy, and look at this expiration concentration graph. This is for spy, and this is showing buy expiration. So this bar where I'm holding my cursor now, that's the Friday, May 519 expiration. And this is delta notional. So this is showing the orange bar, is showing this is a call weighted expiration. So a lot of this call gamma will expire on Friday, and that could release some of the call gamma that is kind of containing the market in this positive gamma environment. So something to watch out for beginning next Monday after expiration. All right, let's take a look at one other thing. This is the spot gamma index that I like to highlight every day. This is showing market makers position on the gamma curve with a proprietary gamma index for SPX, spy, NDX, and QQQ. The main thing that I watch here is the number for SPX. It seems to change the most from day to day, and this number is positive. Showing market makers position on the gamma curve is positive, and again in a positive gamma environment, they're trading against price to hedge their delta exposure. And spy at slightly negative, no change really from yesterday, and then for QQQ also slightly positive and moved up slightly from yesterday. So this number did move up pretty substantially from yesterday for SPX and slightly for QQQ. Okay, so that is the positional analysis. Now let's highlight some setups, and then we'll take a look at the live market. So I'm going to go back to... Actually first, let's go to... I'm going to go to spot gamma hero here. I'm going to zoom in a bit on this chart. What this chart is showing is price with a white line. The purple line is the hero signal. That's hedging impact of real-time options, showing options trades for pretty much all the S&P 500 complex. SPX, spy, and EES futures. So this is options trades and market maker hedging activity. A combined signal for puts and calls for all these instruments. And let's zoom all the way out. So right now this total number is negative, minus 675 million. So net-net traders are taking negative delta positions in all of these instruments. SPX, spy, and EES futures. Let's just take a quick look at the individual components. There's SPX. That's slightly positive. At 278 million. The next component, spy. And that's negative. Just about the same absolute number, 882 minus 882. And then the tiebreaker here, S&P 500 futures, at about negative 80 million. So let's go back to the total number there. All right, so let's zoom in on this now and take a look at a couple of setups. So remember when I showed the EES futures, and I pointed out some good range day fade trades around the spy 411 and spy 412. So let's just take a look at a couple of those. Zoom in a little bit more. So here, for SPX, first of all, there was a divergent short. And what I'm looking at is right here, this move lower in hero, and then price follows just a couple of minutes later. So that's at 945. And then there was, I would say really not much of a long setup here. And more of a confirmation short here. And that was at around 1010. And we'll keep track of these times. And then a divergence long at around 1015, and et cetera, et cetera. All right, so let's go take a look at book map now. So we've got a divergent short, then a confirmation short, and then a divergence long. And just keep in mind when I'm trading, I have two screens on this computer. So I'm watching hero on one screen and book map on the other screen. I'm only presenting on one screen, so I have to jump back and forth. So that's what I'm going to do now. I'm going to go back to book map, and we'll go back to the SP500. Yes. Hello JC, glad you're here live. So let's zoom in on this morning session. So remember the first trade that we noted was a divergent short at 945. I'm going to zoom in a little bit more. Let's go from 930 to 11. So here's the short. First short at 945. So a little bit, maybe not as quite as obvious as some other reversals, but definitely a shift in order flow. You can see the aggressive sellers coming in there as traders were taking negative delta positions. That led to a quick drop lower and confirmed down here in the sub chart that sell stop orders helped to fuel the move lower as well as sell iceberg orders that large traders use to hide their size. So that was the first short. Again, a divergent short. Then here's the second setup. Let me just... So there's the first short. Here's the second short at the 412. SPY 412 absolute gamma strike volatility trigger. Again confirmed by order flow and hedging flow. And order flow shifts bearish. Green dots up to pink dots down. And again the same shift shown in the sub chart. Now note this time that large traders were buying the move down. So they were coming in with iceberg orders. And note that's shown by this light blue line here. And also note the large iceberg order. Iceberg orders that is 4,378 contracts in 15 executions. And along with options traders that helps to move price higher either an entry here or here back up to the 412 level. So there is the divergent short. Confirmation short. And divergence long. And et cetera, et cetera. Up and down around that paid trades from 412 to 411 back and forth. And JEC notes the 412 SPY level was mentioned in the SPOT gamma AM founders note as a key level. Highly concentrated gamma at that level. High concentration of gamma. So right now the SMB 500 remains in that zone 411 to 412. And note most of the session volume profile here. Most of the volume today concentrated in that level. Alright so that is the SMB 500. Now let's take a look at NASDAQ. And definitely a tale of two markets here. So first of all let's go take a look at HERO for NASDAQ. And similar to the SMB 500 this is a combined signal of NDX and QQQ. And note the total negative 731 million. Notional value. Alright so in YouTube a rash asks what is the difference between VIX one day and HERO signal. There may be a relationship but what VIX is showing is just, and there's actually a, you would have to look for that. Read the white paper and you know this is a new thing, the VIX one day. But basically tied to the implied volatility of zero DTE options. And maybe later in the day incorporating more of the next day one day options. HERO signal is something that is proprietary to SPOT gamma. Something that they came up with. It's H-I-R-O. Stands for hedging impact of real time options. And what SPOT gamma is doing is looking at these various instruments, looking at options trades. And they have refined their algorithms to show the most important options trades and market maker hedging activity in terms of delta notional. So for example for this NASDAQ signal what this is showing is that traders for these two instruments, NDX and QQQ, they are buying calls but not nearly as aggressively as they are buying puts. So this notional value is a positive 90 million that's for call buyers in the NASDAQ versus minus 804 million for put buyers. So options trades for the NASDAQ are not having a strong influence on price today. And that does happen. And it may be this selling pressure along with what I show before that shift in the Vana model for QQQ from sloping down from left to right to flattening out indicating market makers. There's no longer at this point for price, there's no longer much of a tailwind for market makers having to buy back short hedges. Right, so Arash, I hope that answers your question. I encourage you to go to the Spot Gamma website, go to the free resources and there's a lot of information on HERO there that will provide a further explanation. All right, so let's take a look now at, go back to book map, take a look at NASDAQ and this is, to me this is really interesting that this upper edge of the expected move that I put on my chart yesterday has acted as the, basically the ceiling, the upper edge of price today, the upper range as well as the NDX, 13,500 level, that is a large Gamma 1 level, the highest level of Gamma in the ranked 1 to 5, 1 being the most important. And again remember we looked at the Vantemodel that now at this point above the 328 level that price that the Vantemodel was starting to flatten out and as price, if price continues up to the 328, 330 level, the call wall then that market makers will have to start selling futures to hedge their delta exposure. So anyway it's a tale of two indices today and HERO is providing, I thought, much better clues for price action for the S&B 500 than NASDAQ. And note one other thing here is the rising yellow line, this is showing stop orders. So this move higher has been fueled by my stop orders and also iceberg shown by the rising blue line which is a little bit unusual but traders, large traders were buying on the way up with iceberg orders. Usually they sell strength and buy weakness with iceberg orders. So a stop fueled rally with larger traders coming in with iceberg orders helping to fuel the move higher. And these appear to be just a few larger trades here and here but net overall positive even though cumulative volume delta is negative. Alright let's highlight a few setups and then we'll take a look at the live market in more detail. So the setups that I want to look at, remember let's just go back to the thinkorswim heat map, Microsoft or Google, Microsoft, NVIDIA and Tesla. Alright so we're going to look at those stocks. So first of all let's go to Google, very solid steady uptrend to Google and 120 is the call wall and the key gamma strike. We'll take a look at HERO for Google and there that is showing call buyers driving price action higher. So if you're looking to go long a stock this is definitely what you want to look for as traders buy calls, market makers sell the calls and they have to buy stock to hedge their delta exposure. And note the 120 call wall key gamma strike. Let's just take a look at one other thing for Google. This is the spot gamma equity hub. Let's go back to, let's go to Google and now Google has been bullish for a while. I'll just point out this is the equity hub history showing how these key daily levels changed from day to day for the last 10 days and note the steady increase in the key gamma strike from 105 to 110 to 115 to now 120 and this is bullish. Traders are accepting higher prices, they're looking for higher prices and they're positioning themselves in the options market for higher prices. And one other thing to point out and we'll talk more about this on Friday is this is a monthly expiration and note that 35% gamma is expiring on Friday that number will probably increase by Friday and that is Friday 519 the top gamma expiry and let's take a look at this composite view and this green is showing that above 115 this is where Google price action is dominated by calls. Alright so let's take a look at the next stop and that's Microsoft. Again call buyers are in charge although there's a pretty equal distribution at this point in time positive 80 million for call buyers negative 75 million for put buyers. Let's just zoom in a little bit on the morning and around up until about noon there was a much bigger difference positive 83 million for call buyers versus minus 32 million for put buyers. Let's go take a look at the bookbump and note the 315 level that's the call wall up above we'll go to bookbump, go to Microsoft around on this straight shot up in the morning and then consolidation a pretty big pullback down to just above the 311 level and then here's the 315 call wall above so we know that Google is a possible call gamma unwind candidate for Friday and Microsoft is too. All these stocks that I'm going to talk about are all call gamma unwind potential candidates. Alright the next is Nvidia and for Nvidia 290 is the key gamma strike in price shot up it didn't spend much time there kept going higher let's go take a look at hero and again we can see that call buyers are in charge orange line positive 171 million versus blue line minus 33 34 million call buyers driving price higher alright JC I'll answer the question just a minute let me get through one more stock so there is Nvidia and then finally let's take a look at Tesla again call buyers are in charge driving price action orange line 106 million positive versus put line minus 38 million negative we'll take a look at the chart there's Tesla quick move up around just after 10 a.m. and then chop around the 168 to the 169 level and note that 170 is the key gamma strike alright so JC asked for the benefit of newer members what is the call gamma unwind so let's go back and take a look at equity hub and we have this on this is Google so these what traders do is they will buy calls that expire at the end of the week for stocks they're typically doing that every week and for Google we can see that again let me just rank this by next gamma expiry so all these stocks are candidates anything over 30% of this will change by Friday we're just on Tuesday now so this will most likely these numbers will increase going into Friday and what this means is that these calls that traders have been buying expire at the end of the week and so those calls will start to lose value as the end of the week approaches so remember when traders buy calls market makers are selling calls and they have to buy stock to hedge their delta exposure and then as time passes those calls start to lose value and that's the charm effect the charm effect is the change in delta so those calls will start to lose delta market makers will be able to their delta notional will decrease and they can start to sell some of their long stock edges now that may not work sometimes it doesn't work if traders continue to buy calls on Friday then this won't work but if they're not then it's a good bet that that charm effect those calls losing value market makers can sell their long stock edges and that tends to push a stock down so that's the call gamma unwind pretty reliable strategy so we will definitely spend more time with that on Friday but something to keep in mind again I'll be looking at my watch list and note all of these are 519 Friday and this will also apply to the S&P 500 and NASDAQ as well call gamma expiring potentially releasing some more volatility for next week and hopefully some consolidation so there's Nvidia Netflix not so much I'm looking at this composite view chart and looking at the green versus red so the green area is an area of call domination so for AMD above 100 and it's put dominated below that level so there's Google and 115 is the pivot level put domination below 115 call domination above so again we'll be looking for these calls to start losing value as expiration approaches and market makers again will be able to sell some of their long stock edges and that should produce reliable short setups unless again traders continue to buy calls into Friday afternoon let's take a look at the current market and the S&P 500 futures continue trading in this narrow range let's just take a look and see what options traders are doing right now going to go back to the total signal for the S&P 500 and it looks like this continues to lead price lower and higher let's go back and take a look at book map so note that as S&P 500 approaches this 411 level that some larger traders are coming in with iceberg orders it's hard to see there may need to zoom in it looks like some of those orders may have been canceled but this rising light blue line does show that there are some executions there so we know that let's go back to hero so we know that there are some large traders buying with iceberg orders we know the support level so far today has been pretty reliable at 411 so you have if you're very very patient and looking for a long setup that seems to be the next play on deck for the S&P 500 potential reversal higher at around 411 let's just go back and take a look at hero again zoom in a little bit more so this is definitely showing that options traders are options traders are taking positive delta positions make sure I'm zoomed out all the way they may be letting up a little bit all the trend since about 208 has been higher for hero so I'm reading JEC's comments here and discord so JEC notes the way SpotGama makes assumptions regarding market makers positioning for equities is different than indices and that is correct so for indices S&P 500 Nasdaq SpotGama assumes that market makers position or actually traders positions are short puts are long puts and short calls so market makers have the other side of that and their short puts and long calls hence the in the call dominated region and the market makers position is positive gamma on the other hand for equities SpotGama assumes that traders are long puts and or long calls and market makers are short puts and short calls so for inequity options market makers are always negative gamma so that's the difference between an individual stock inequity versus an index let's take a look at Nasdaq see if there are any clues from hero so the only thing we can take away from this is that so far the trend for hero for the entire day has been pretty much steady down traders taking negative delta positions overall let's just see if we can get a better idea of what they're doing so again they're buying calls but the put buyers are winning positive 72 million versus minus 842 million for puts let's go to bookbump actually let's go back to go back to ES and note now this is showing execution for these icebergs the E 1552 executions 5 separate trades so larger traders as well as options traders are looking to fade this move potentially at the 411 level let's go back to Nasdaq so the bigger move today was up to the upper edge of the expected move for the day and now it appears to be potentially unwinding cumulative volume delta sloping down so the long trade was obviously in the morning up to the upper edge of the expected move and then the short trade was at that level just after 1pm eastern time and then a second opportunity for a short at 2pm so if you are looking for a short at Nasdaq I would definitely look for a move higher some sort of pullback move higher before taking a short and then for ES it looks like potential long setting up again at the 411 level although the large cap stocks driving price action could have a say on that so right now it looks like Nasdaq may want to move lower my time is up let's just take a quick look at the stocks that have been driving so Google order flow shifting bearish call wall may at 120 may be doing its job and now microsoft may be rolling over and in video as well so RJ says hero may get its way in the Nasdaq the put buyers may finally be right there's Tesla began moving down around 2pm as well interesting day tail of two markets today call buyers and a handful of stocks driving price action I'm not sure I've ever seen that before but dissecting analyzing the options market really revealed as well as order flow and book back really revealed what was driving price action today alright I want to thank you everyone for watching thanks for your questions and comments thank you JEC and RJ and I will see you tomorrow remember tomorrow morning is fix expiration alright thanks again I will see you tomorrow bye