SPX Put Spread Collar Delta/Gamma Indicator

24 февр. 2023 г.

This put spread indicator uses a crude formula to calculate IV for the options but they are guesstimated fairly well.

I still have some testing before I want to share this indicator so please keep the link private.

You may use it in your trading view ideas but would be considerate to reference me as the source.

---- Updates on how to use indicator along with an FAQ will be coming soon ----------

The backstory behind this indicator started in 2021 when I was intrigued by what was moving markets so aggressively higher everyday.

Eventually, I found many analysts and quants talking about a quarterly hedged equity fund from JPM that was expiring and caused a pinning effect in markets sometimes weeks to months ahead of time.

After watching the expiry and market dance around pin strikes over weeks and months out I knew I had to create a way to visualize this information in a way everyone could understand without needing to know a lot about the options strategy itself.

I eventually developed a way to visualize the options strategy and started tracking the delta and gamma effects on the market.

for a complete idea reference for the indicator, see this TV idea

See this idea for some frequently asked questions

If you have more questions, please don't hesitate to ask in comments or message me directly.

---- SETTING UP THE INDICATOR -----

This Indicator is for tracking the delta and gamma of a put spread collar on SPX.

Summary of Inputs

Monthly Offset : [0,1,2] is the quarterly cycle the strategy will back render.

Number of Contracts : is to be used in future updates to track notional value GEX and VEX.

Short Call Percent: The short call percent above spot price when options roll.

Long Put Percent: The long put percent below spot price when options roll.

Short Put Percent: The short put percent below spot price when options roll.

Use Input Strikes: Should the indicator use input strikes you enter.

This feature on / off will either use the strikes you enter below it for the current expiry OR if you choose off, it will guesstimate them based on the percent inputs above.
Whenever you want to find the strikes, you can turn this input off, and it will show you aprox where to look in CBOE options chain for SPX to find the open interest of the contracts.

Reset Price: This is the spot price at the time the new options contract is purchased (you need a live options flow feed to know this). The indicator uses the daily close for historic backfill.

Short Call: The strike price of the short call found in CBOE SPX options open interest

Long Put: The strike price of the long put found in CBOE SPX options open interest

Short Put: The strike price of the short put found in CBOE SPX options open interest

Show Strikes: an option to toggle on/off the options strike lines.

Show Resets: an option to toggle on/off showing the strategy reset lines.

Show Reset Delta: an option to toggle on/off the delta the option contracts expired at. 0 or 1, [short call, long put, short put]

Show Current Delta: an option to toggle on/off the delta the current contracts delta. 0 or 1, [short call, long put, short put] (0.1 is 10 delta)


----- Finding the right strikes and contracts --------

if you do a google search on JHEQX, JHQDX and JHQTX you will find the JPM website with many more details about these hedged equity funds.

After adding the indicator to your chart for the first time you need to calibrate the current strikes for each Indicator manually.

I do it each reset and will be publishing new strikes in the future on my website along with my own version of this monitor that will attempt to measure magnitude and momentum of these trades and many others.

The first thing is to calibrate the indicator to one of the 3 quarterly expirations

Fund - Monthly Offset -
JHEQX - 0 - JAN 1 to LTD in MAR, APR 1 to LTD in JUN, JUL 1 to LTD SEPT, OCT1 to LTD DEC
JHQDX - 1 - FEB 1 to LTD in APR, MAY 1 to LTD in JUL, AUG 1 to LTD OCT, NOV1 to LTD JAN
JHQTX - 2 - MAR 1 to LTD in MAY, JUN 1 to LTD in AUG, SEP 1 to LTD in NOV, DEC1 to LTD FEB

I hope I got that right. I will update the indictor dropdown with these values as you need to add and track using 3 separate indicators.

first indicator, set it 0, fill in the values for current strikes and set preferred visual effects.
second indicator, set it to 1, fill in the values
third indicator, set it to 2, fill in the values

Reset Date, Open Interest and strikes of each reset found using
cboe.com/delayed_quotes/spx/quote_table

0 - JHEQX
contracts ~40,000
reset price 3810.67
short call 4065
long put 3630
short put 3060

1 - JHQDX
contracts ~10,000
reset price 4050
short call 4290
long put 3855
short put 3250

2- JHQTX
contracts: ~6, 500
reset price 4080.11
short call 4320
long put 3855 (maybe 3800)
short put 3250

------

Here is an example of how I get the data from CBOE options quotes



I'm going to do one final update by next week that will have some more improvements.

--- ROLL DAY FOR JHQTX -----

You have to wait until the next day before you can update the HEF values from CBOE to the new strikes.
Open the settings and uncheck to use % values


And head over on to CBOE options quotes

And match up the % from the strike and you should find... these for May 31st


contracts 6300

reset price is 3976
to get the reset price I use the hourly spx and grab the 2:30pm close because I noticed in history it usually comes in around that time.

short call 4190
long put 3755
short put 3170

update the values in the settings and check use values then voila...


--- JHEQX Apr 1 to June 30 Roll -----

Lot of interest and great feedback about the indicator.

contracts: ~40,000
roll price: 4089.21

short call 4320
long put 3885
short put 3280