ES

Kind_Initiative_7567

Oil up ES also up, nice

lordbell21

ES 7150 breached, good luck Bears. Sidelined w/ popcorn

lordbell21

ES 7150 support, as expected. Bears need to break it.

lordbell21

Bears need ES 7150 to break, it's no surprise overnight bounced there

Content_Inspector778

One month dip means one month rally for /ES.

Significant_Speed854

8:58pm, Axios posts an article. Check the volume on ES and CL at 8:58 pm you fucking idiot.

FatFluffyFish

ES Futes literally giant green dongs

LinearSpectrum2026

Did you mean oil futures? Those are barely 2% up. ES futures also very mildly 0.27% down.

pkg4133

Check symbols ES00 and ND00

Imaginary_Tear_2328

Futures ( ES ) is set to open -55 points at 7140.50 due to the delayed talks in Pakistan

Imaginary_Tear_2328

Futures ( ES ) is set to open -55 points at 7140.50 due to the delayed talks in Pakistan

Imaginary_Tear_2328

Futures ( ES ) is set to open -55 points at 7140.50 due to the delayed talks in Pakistan

Imaginary_Tear_2328

Futures ( ES ) is set to open -55 points at 7140.50 due to the delayed talks in Pakistan

Imaginary_Tear_2328

Futures ( ES ) is set to open -55 points at 7140.50 due the delayed talks in Pakistan

Imaginary_Tear_2328

Futures ( ES ) is set to open -55 points at 7140.50 due the delayed talks in Pakistan

Imaginary_Tear_2328

I just heard /ES going to be down -55 pts at open (7145.50) due to the cancelled meeting

Tarheels53

They generally hedge delta with the current quarterly ES. Yes VS Pro is useful for longer term SPX trades…each morning I discuss my views on SPX volatility and provide trade ideas….in VS3D you can see positioning out 6 months and we are working on some metrics that will help for longer term SPX trading. Com me check it out!

Turbulent-Stomach725

Thanks for having this. 1. With all the different expiry and strikes of SPX options MM have on their books, how do they dynamically hedge the variety of SPX contracts- only with the current month ES, or includes longer term ES in the mix as well? 2. Curious to know if Volsig is useful for longer term SPX trades (say 3-6mths out period); I suppose that the heatmaps would be of less use for such trades? Would the MM positioning be useful for such trades as well?

Substantial-Town4106

Are single stock names hedged differently to ES/SPX? And if you had the data for single stock names hedging flows, would you say it could have more or less edge than SPX flows?

BajeelAtTannirbhavi

Without doubt without question Volsignals is the best . honestly Volsignals is in a completely different league. The quality gap between him and every other options educator out there is actually insane.... it’s not even close. Mind you I haven't signed up for his service yet as I live in a timezone(Aus) not conducive for ES(SPX) trading. Anyway that'll change next weekend and I'm signing up in a hurry. Real institutional-level insight broken down in a way that actually clicks.The way he explains concepts, the depth of the material, the live examples ....night and day difference.

Winter-Extension-366

OI = the OCC I don't believe you should be paying anybody for Open Interest- it's literally a stale dataset published after the day's settlement and the source of truth (the OCC) has a nice enough website and publishes it for free for any listed series. So if you just want OI, start there- you can almost certainly use something like Claude Code or Gemini to scrape and build you a visualizer. "the Greeks" = broad net Assuming you're looking for dealer hedging flows, here's what matters in the end: 1. POSITIONS "Garbage in -> garbage out" This one shouldn't need much explaining- but somehow a lot of data providers still get away with selling noise to people and pointing to mirages as evidence of efficacy. YOU NEED TO HAVE CORRECT POSITIONS IN ORDER TO GET CORRECT GREEKS OLD WAY = Naive GEX "Market makers are short all the puts and long all the calls" This approach is antiquated and does not represent the actual inventory held by hedgers. Avoid services that construct positions this way. Everything downstream of an incorrect position- including the logic behind whatever trading decision you ultimately commit your capital to- would be technically incorrect. DDOI = Inference "Market makers need edge, so trades near the ask price must be customer-buys, and trades near the bid price must be customer-sells" This looks good on paper but doesn't hold up in reality for many reasons, some of which depend on the product in question. In the SPX for example- I'm a floor trader and IB yells out a bid for a 30 day out 200-point wide put spread with some delta to it- it's a bid for size, and everyone in the area rushes to get on the ticket (sell the spread to the broker). The trade happens and futures sell-off as the majority of traders are still somehow hitting the market with their hedge. The broker continues to fill the trade, allocating 500 and 1k lots to all MMs in range until it's filled. Now, a clerk routes the trade to each TPH on the ticket, and here is when it's going to show up in time and sales (hit the tape). Put spread price is set when announced. Leg prices make sense against the exact level futures were trading when the bid was announced and the spread traded. Customer bought the spread. Market makers hedge and sell... futures sell off slightly during the action. Now, trade hits the tape with a REFERENCE that indicates where the market was when the trade appeared in the data. But market makers sold enough futures to move ES lower by a few ticks. This is key- because the leg prices that come through on the trade are snapshots of the bid/ask at the new futures level in effect after hedging has moved the market lower. But the option leg prices are fixed and may still be aligned with the quotes in effect before the selloff. You wind up getting a bad read- it LOOKS LIKE this giant put spread buy order was a sell on both legs. This is because the trade leg prices were fixed against a higher futures market (pre-hedging), but the print on the tape hits when the market's already sold off a bit and quotes on puts have shifted up too. Leg prices fixed. Reference quotes = higher bid/ask on both legs... both legs "BELOW BID" The data provider assigns this trade as SELL, SELL when it was really SELL, BUY BEST WAY = exchange tells you directly if the volumes were bought or sold in a certain time interval, allowing you to iterate through all of the interval series in order to construct a 'POSITION' This is what we do and I would not personally use any service that does ANYTHING else When Volland claims his positions are more accurate than anything else out there (but he uses inference), the claim just makes no sense. How can an inference be more accurate than the exchange's affirmation of direction-by-entity-type? Bit wordy but hopefully that clarifies the most important differentiating factors

Significant_Speed854

Always my fear when pressing sell on ES or long on CL

zaepoo

ES

SighRamp

that pop was ES/SPY finally got over major resistance which has held the market back a bit

SighRamp

if ES holds over 7185.75 which finally broke take off for SPY begins

SighRamp

if ES holds over 7185.75 which finally broke take off begins

SighRamp

11:44 was finally the time ES got over major resistance 7185.75 and caused NQ to spike up hence the QQQ spike. If this level holds for ES we are going up much much more since up to this point the ES/SPY has been slightly pressing on the breaks during the spike up this week.

SighRamp

ES 7185 was the key resistance level and broke if holds buckle up for massive upswing

SighRamp

ES has been lagging the NQ when ES gets it together you are then going to really see a spike. Pedal to the metal rocket fuel launch.

ClevelandSteamer81

Bought long ES 7150 looking for 7160 before I went to sleep last night. Woke up to see I missed it by 3 ticks and then my SL hit at 6140. Was annoyed I missed out and said hell with it and bought another 7150. Nailed the 7160 this time. Then got back in on pull back to 7160 and hit 7170. Hopefully I can sleep now I’m green again. https://preview.redd.it/y57qcwkth4xg1.jpeg?width=1096&format=pjpg&auto=webp&s=69507f0a25a58458d32c731296187d3a6b5fa0ae

VeryMercurial

I’m looking at NQ which is well in the green. Duh. I do see ES red though. I’m regarded so my bad.

genjiskillerbum

What's ES?

Routine-Agent-160

ES is red. I repeat, ES is red.

lordbell21

Someone desperately needs ES to open at 7150

RkBaby

ES 🚀

DeezCodeNutz

ES trying to un-ghey itself but failing

ModeForJoe

WTF was that 50bp flash crash on ES from 8:00 to 8:10? Somebody take a big short pos on ES? or long position on CL? Barron!? B A R R O N !!!?!1!?

lordbell21

What caused that $6 dip in ES?

mixtape312

Now they're dropping fake headlines to exit their ES longs. Can't make this shit up.

Rude_Assistance_4386

Can you sell SPX AH, or just /ES?

dataCollector42069

CTAs trade commodities lol (or ES future and options)

Hot-Pop-3250

im short ES, let him cook

SocraticGoats

Captains Log: Stardate 5826 - The ES opens at 9.4 quadrillion, as the 3,800th anniversary of the last red daily candle ever witnessed by man is celebrated. The war between the Zorgs and the Trump Federation nears a boiling point as the strait of Hormuz has been blocked yet again by Zorg Warp Shuttles.

dontslambro

ES futures have finished higher than their open 15 days in a row.

LegendsLiveForever

Looking for a Day trading partner! I have an amazing system. It captures about 40-60 points minimum, but that's only on ES, never mind thousands of other stocks a day. It shows up like 3-9 times a day, some are small plays, some are massive plays. Today I doubled my money on SPX 0dte contracts, from $500 to roughly $1,000. My partner and I split up, due to differences. Normally he would take a shift from 12:00pm to 1:30pm, then I would take the 1:30pm to 3:00pm shift. We would look for plays in our systems. Then we would call each other on google meet, when the criteria was on a certain step, so we could both take the trade. I don't need someone experienced, but that would be a plus. Traits I really need are disciplined, hungry to learn, and has a decent attention span (obviously, since we're day traders).

lordbell21

ES bear flag is almost complete, wonder if they'll follow through

WillTheGreat

JPM you can find info through ticker JHEQX, which is their hedge equity funds. It’s a systematic quarterly roll on SPX. So we can find out pretty quick what they bought and sold with some math, 685 was the beginning of the gamma squeeze because the exposure there was huge. The gamma kept biuilding at the next legs, 695, 700, 702, 708, 710. Each one of those legs had massive exposure so when each level got taken out the market kept surging to the next magnet. Then you have quarterly ES expiration last Friday, you had massive short interest building since the start of the war. Everything compounded into a massive short/gamma squeeze. It wasn’t like the move to 710 was fully expected, but the levels to watch were established early on. So if you knew the levels, you can monitor volume and flow rate into options. So when each level broke you can almost safely assume the next strike will act as a magnet because of the large exposures there too.

Due_Marsupial_969

I'm a few days late, but just wanna say that you did good. I don't use VTI, but ES and MES. Getting out with a scratch or breakeven when something doesn't feel right is a good trade. I've done very well in the last 2 months, but I've gotten out with as little as $168 on some trades only to watch the market rip. Better safe than sorry. I went against my gut and reality and stayed in after shorting the market with a few contracts. Now I'm over 100 points down and holding. Whether the US resume the killings again or not, this is a bad trade because I shouldn't have stayed waiting for a downward move.

lordbell21

ES has to break through 7100 or else bears have no chance

ProjectENIS

Futures seems like it, maybe the market is just forward looking. End of ceasefire now means potential for new ceasefire later. No more talks now means potential for renewed communications later. I'm not sure if i'm being sarcastic, but as long as ES is above 7080, I'm just going long

Gaxicola

Bears downvoting lol. Look for an ES gap that hasn’t filled to the upside? Even the last gap down we had over the weekend filled to the upside lol. Learn how to read a chart 📈

Gaxicola

If you think this ES gap won’t get filled to the upside you’re delusional. 📈

AliceNullptr

Will start to buy below /ES 6900

Significant_Speed854

I'm playing futures right now. Going to keep buying each dip on ES/MES

FlatwormBig5514

Already a 30pt recovery on ES. Never seen anything like it.

LimitIntelligent9946

Unreal… ES is now only 66bps down instead of 100bps for the worst possible outcome that could happen this weekend. Market is in looney town and truly unconcerned with reality 🤡

SeaEnvironmental756

The smart ones did half hour ago with /ES options 

jonneh

*RISK OFF* > Silver -2.4% > > Gold -1.3% > > ES -0.7% > > NQ -0.7% > > CL +5.9%

Loan-Pickle

You can use Yahoo Finance too. Just add =F to the ticker. For example SPX Futures would be ES=F.

MarginCalledManager

ES about to gap down 60 points lol

AnyPortInAHurricane

down 300 ES sorry for your .....

WillTheGreat

Extreme gamma exposure at SPX 7000 level is the proof. Meaning that will serve as the magnet for the stock market, considering how big that exposure is it means any move below 7000 will see heavy selling from dealers to cover the puts. Dealers bought those 7000 at a $82 premium, but because they're ITM the risk for dealers is they will have to buy to cover if the market keeps going up. These assumptions are based on large flow of money. CTA inflows is based on factual data and historical trends, large momentum based hedge funds buying the market in rapid succession in historical proportion leads to consolidation for the upcoming weeks. Any good trader should've acknowledged the potential for a massive rally by the massive gamma exposure. The capitulation started at 6850 because that's the top of the $37b institutional collar sandwich (6850/6550). Meaning a break below 6550 would lead to massive selling (which happened, SPX dropped 200 bp in 2 days), and a move above 6850 would result in capitulation because dealers need to cover...which means buying calls and ES futures to hedge. Right now there's approx. $30b+ collar at the 7000 level split between May and June. When the collar is ITM means whichever institution placed that bet is looking for a downside reversal in the market. Given the size of the position, 7000 is your magnet. Consolidating around that level. The market will likely swing 2-3% around that magnet given the gamma exposure. The level to watch on the downside is 6850. That leaves the puts ITM and above the premium, meaning there will be heavy downside risk as dealers reposition to cover. It's not about being smart, if learning how to position yourself to maximize your returns by understand where money is going. Which levels need to be defended by institutional buyers and sellers.

WillTheGreat

> Where is the proof for each of them? or you based them from your own eyeball observation? Then if ultimately all you can say is there will be volatility, then where is the thought leadership? Even my the grandma selling pancakes can tell me there is volatility. So what are you trying to predict? That there will be movements? Wow. Incredible. Extreme gamma exposure at SPX 7000 level is the proof. Meaning that will serve as the magnet for the stock market, considering how big that exposure is it means any move below 7000 will see heavy selling from dealers to cover the puts. Dealers bought those 7000 at a $82 premium, but because they're ITM the risk for dealers is they will have to buy to cover if the market keeps going up. These assumptions are based on large flow of money. CTA inflows is based on factual data and historical trends, large momentum based hedge funds buying the market in rapid succession in historical proportion leads to consolidation for the upcoming weeks. Any good trader should've acknowledged the potential for a massive rally by the massive gamma exposure. The capitulation started at 6850 because that's the top of the $37b institutional collar sandwich (6850/6550). Meaning a break below 6550 would lead to massive selling (which happened, SPX dropped 200 bp in 2 days), and a move above 6850 would result in capitulation because dealers need to cover...which means buying calls and ES futures to hedge. Right now there's approx. $30b+ collar at the 7000 level split between May and June. When the collar is ITM means whichever institution placed that bet is looking for a downside reversal in the market. Given the size of the position, 7000 is your magnet. Consolidating around that level. The market will likely swing 2-3% around that magnet given the gamma exposure. The level to watch on the downside is 6850. That leaves the puts ITM and above the premium, meaning there will be heavy downside risk as dealers reposition to cover. It's not about being smart, if learning how to position yourself to maximize your returns by understand where money is going. Which levels need to be defended by institutional buyers and sellers.

jackalcane

sure, no need to marry yourself to the notion of buying and holding shares once you understand portfolio beta weighted delta 500 spy shares is the same position as one /ES future is the same position as 5 ATM short SPX puts and long calls

Dangerous-Career5793

Tease the bomb dropping again if Iran doesn't comply by Wednesday, market drops on (not real) possibility of that happening.   Congressman and Trump"s slender man looking kid load up on oil and ES futures five minutes before the midnight Tuesday all clear speech where everything is peachy again.   This is the TACO trade all over again, except the interval between TACO trades is getting shorter.  

WillTheGreat

So there was a $86b inflow by CTAs last week. Another institution opened a collar similar to JPM’s collar at 7000 (37k short call, 30k puts). Historically that kind of inflow leads to consolidation, but given the collar I think the upcoming weeks will be a super volatile consolidation meaning swings of 2-3%. ES has support right around 6950, which is around a 2.5% drop. However once consolidation ends historically when the market has that kind of inflow, the market tends to rally 2.2-2.6% in the following Month and 8% by the EOY. IMO the supply shocks to oil is very real, however, it seems like oil is being artificially suppressed by strategic releases and possibly leveraged shorting of crude by some countries. So I think the economy can buffer for that meaning nothing will really change in the short term, but if we’re buffering for that now, we’re kicking the can down the road until that buffer ends and the supply shocks catches up to the economy. I can see the market still maintaining strong growth with some heavy volatility into 1H 2027.

Ok-Piano8789

mar 30 bought ES on my phone at the wall st bull statue

Bubbly-Fly-205

/ES rallied 600 points fast from month long bull flag breakout.

Beret888

Options don't have a "carry cost" they have time and volatility and moniness(delta) embedded in the option. Futures have those as well but in addition the carry which is they risk free rate. Go look at ES youd be looking at the June contract. Take the price count the days to expiry (the 3rd Friday in june) multiply that by the risk free rate and you will get the spread between SPX and ES Thats the carry you notice as we get close to expiry the future ES price and the SPX price get closer together. The converge at the cash open on the 3rd Friday in June which is the expiry

_cynicaloptimist

You can short SPY or VOO directly. You can do the same with MES or ES futures.

RenkoSniper

I do a very similar thing on FESX, wich is a perfected way from trading ES for years. Gamma levels, and zero Gamma line for the regime. Then I'll compute vanna and and charm, wich give me a daily bias, I'll also see if vstoxx is in contango. Positions are made via a weekly plan that gets tweaked daily, so by friday I'll have 3 to 5 open positions that max each other out. I now do everything by hand, would be cool to read the PDF. Look into my profile for more info or if you'd like a brainstorm session.

ShotBandicoot7

Leverage the 10k to the tits with short SP500 futures. ES is your way. Stop-loss such that you pull the trigger at 10k drawdown.

OldHamburger7923

Sell futures, /ES. You'll make $50 per point the market drops. Costs like $5 each

Special-Age6210

Oil and /ES Puts/short Calls since Jan Was +50 %ytd late March .. negative 60% now

trsx5

We all have our nemesis ticker. Mine is $SNDK and /ES

1098duc_w_the_termi

ES is gonna get pinned to 7150. Last 30 min of trading are a waste of time

PROMlSED

Thinking longer term 1-2 OTM puts and an /ES hedge is the play…maybe

WillTheGreat

This rally was kinda expected or at least most traders following acknowledged existed once SPX blew throw JPM’s hedge collar sandwich at 6850. The gamma exposure skyrocketed, meaning dealers had to keep buying calls and buying ES to cover. The next level was 7000, and the gamma exposure massive there too and it blew past that resistance and from there it was 7025 after 7025 it was just an empty void. Short capitulation happened at 6850. I completely expect the broader market to pullback through earning season once gamma is re-established. The rally was a bit of an anomaly, the supply shock and geopolitics is not completely certain, will definitely have impact to guidance for Q3 Compound it with short covering and that’s how you got your squeeze leading up to opex(today).

trsx5

Look at the daily chart on /ES - you just have to laugh.

dontslambro

ES futures have moved 5% green all week. wild

SocraticGoats

A week? ES has had 13 green days in a row if you ignore those few hours of trading on good friday.

TopTrey9

I mean with the way we’re grinding up. It’s going to take a news story or a tweet to crater the market. And of course that’s gonna happen in a microsecond literally within a one minute candle on ES…

daedalus_dance

RSI2 on ES1 E-Mini Futures (S&P 500) is 99.46 according to my chart. I would short here but it'll be pumped.

Boys4Ever

All futures Rising /BZ indicates rising oil prices. Early indicator of inflation and economic stress. Dropping /6E means dollar rising which indicates rising cost of financing similar to increasing rates. TOS has dollar futures, but I cannot get mine to display so I use Euro as it runs inverse. Rising /10Y indicates yields rising. When it hits 5 time to panic. Rising /VX means growing fear. North of 19 early stress. 25-30 stress and above panic. Rising /ES and /NQ bullish behavior. Can also add Russel 2000 and DOW for confirmation but these two are what I follow. I copy paste my panel to ChatGPT and ask for an analysis based on momentum trend as well as shift in sentiment. Ultimately, I decide but nothing wrong with getting assistance. Every CFO I've worked for worked this way.

Toe_Shanks

Kind of answered your own question there. These are not Euro style like SPX so if they're itm then yes there is an inherent risk of early assignment, but not a guarantee. If you close them out before settlement, then also yes, you won't have anything to worry about. Since the start of Iran CL has been carrying a fair amount of volatility and extrinsic value until the final moments and it only stops trading 30min before close. GC though stops trading at 1:30et so opening a trade in the morning, especially a bwb, isn't going to leave much juice to squeeze whether a credit or debit. Pennies in front of a steamroller, or fuzz off a grape as he said lol. Another thing to remember, which isn't going to apply directly here but you'll still notice. Is that the pricing on spreads is different enough between options on futures and their etf/index counterpart that it sometimes makes a strategy that works on one incompatible with the other. ES/SPX, RTY/RUT, NQ/NDX for example have a more obvious skew in their pricing because of the Euro vs American expirations. CL/USO are more loosely correlated than GC/GLD, but it still may work in your case. CL tracks WTI, it doesn't hold WTI, and it doesn't track the whole thing. USO tracks WTI by holding the front month contract, not pysical oil itself, and not the whole timeline. This causes some drag and further separates the resulting move that one might see versus the other as time goes on. Think of WTI as the whole curve, USO only tracks a slice of it at the front. So for a single or two day hedge you should be fine, but anything on a longer timeframe then USO won't provide quite as tight of a hedge as you think it will. GC/GLD is the opposite story. GLD holds bullion, not the contract, so it's a much tighter correlation without the drag that USO has and would provide a better hedge. Think of CL/USO as a derivative of a derivative, and GC/GLD as spot for spot. But with the points I made above, the GC/GLD trade you're wanting to take may not be as profitable as you think it will be because of how little time will be left once you open it. If you want to branch out to trading options on futures in the same way you have been trading, go for it. But the same strategy you're using on SPX/SPY might not work for CL/USO, GC/GLD, NQ/NDX/QQQ, RTY/RUT/IWM. But you currently have a strategy that's working. As Steve Clark said, "Do more of what works and less of what doesn't"

OurNewestMember

1. learn the settlement characteristics. Some options are physically settled, some financially. This also affects how close to expiration you can carry positions (see next point) 2. Learn the delivery basics. Mainly, what your broker does around that time. Many retail brokers won't let you take physical delivery, so the flow is like this: trade futures options, options are exercised or assigned (possibly early) and then the resulting futures position (sometimes only a few hours old) must be liquidated by you, or your broker will call you and tell you to close out or they will do it for you. Ie, If you're running a volatility strategy, you need to know any non-obvious dates or limits that might affect, say, your gamma positioning (eg, due to delivery rules on the underlying that will affect what you can do with the options) 3. You should definitely understand rates and also carry in general. Do you know how to find the comparable strikes between ES and SPY, for example? Do you know how to trade or avoid the dividend? 4. US taxes can get confusing for things like "mixed straddles", fyi 5. The basics: are you trading American style or European? AM or PM expiration? When does the spot/cash market stop trading? (And therefore liquidity dries up). Etc 6. Margin. Obviously futures margin is separate from securities margin. And it's risk-based. The carry on the margin/debits is a struggle for many people. Daily cash sweeps are not great, but it sounds like you want to avoid holding outrights anyway 7. More basics. 18 month options on USO have the same underlying ticker as the 0 DTE options. Not the case for CL options. Don't screw up your calculations for strikes and carry when working over any duration Anyway, nothing inherently stops you. But often hedging like this mainly adds complication (not always, though). If you want to open an options spread in CL and hedge with USO, it's possible. Not great, but it can work. IIRC, CL options are American style, so early assignment is on the table (which shouldn't be a huge deal, but carrying the outright can be a pain) -- similar to USO options anyway.

Accurate-Exchange298

Great post — deep ITM calendars on SPX are genuinely underexplored and your analysis is already more rigorous than most. Let me add some color on each risk you raised, plus a couple you didn't mention. **On bid-ask spreads** You're right that deep ITM SPX options can have wide markets, but the real killer is *slippage on the diagonal exit*. When you close, you're simultaneously buying back the short and selling the long. In a fast-moving tape, the two legs can move against you independently before your combo order fills. Always use the native SPX combo order on CBOE — never leg in or out. Mid-price on the spread itself is usually achievable in normal conditions; getting cute trying to improve each leg separately will cost you. **On vega risk — this is your most important consideration** Here's the math that matters: deep ITM calls have delta approaching 1.0, which means their vega approaches *zero*. At 30-40% ITM, both legs are essentially trading like synthetic stock. The vega differential you're worried about is real but shrinks dramatically the deeper ITM you go. The sweet spot for your strategy is actually *extreme* depth — 40-50% ITM — where both legs are nearly pure delta and vega barely registers. Paradoxically, the shallower end of your range (30% ITM) carries more vega risk than the deeper end. **On gamma at expiry** Your mitigation (close at 30+ DTE) is correct, and I'd actually tighten that to 45 DTE given how gamma accelerates on SPX. The other thing to know: SPX settles AM on expiration Friday, which means you lose the ability to close the short leg on Thursday afternoon if something weird happens overnight. Roll or close by Thursday close — never hold to AM settlement on a position this size. **On closing-side bid-ask eating profit** Yes, and it's worse than the opening side because you're now a *motivated seller* of the long. The market knows time is running out. Budget 0.3-0.5% of SPX notional for round-trip slippage in your return models — if the trade still works after that haircut, you're good. **On IV and deep ITM** This is where your intuition is mostly right but the nuance matters. For extremely deep ITM (delta 0.90+), IV changes have minimal impact on option price because intrinsic value dominates. Your real exposure is to the *difference* in vega between the two strikes, not absolute IV. Since the 18-month leg has more vega than the 12-month leg, a sharp IV *drop* (like post-earnings calm or a volatility crush) slightly hurts you — the long loses more time premium than the short. A sharp IV *rise* slightly helps. But at true 40-50% ITM depth, these effects are small enough to largely ignore. **Two risks you didn't mention** *Early assignment on the short leg* — SPX is European-settled so this literally cannot happen. This is one of the strongest structural reasons to use SPX over SPY or ES options for this strategy. No assignment risk, period. *Margin/capital treatment* — Depending on your broker, a deep ITM debit calendar may be margined as a naked short position on the short leg until the system recognizes the hedge. Call your broker before putting this on at size. TastyTrade and IBKR are generally good at recognizing the structure; some retail platforms are not. **Your volatility bet angle** Completely valid. Deep ITM calendars as a low-cost long-vega play when VIX is crushed (sub-15) is a legitimate institutional strategy. The position is essentially long the vol term structure spread — if front-month IV rises more than back-month, you win twice. Just be aware the *timing* of that vol expansion matters; you can be right and still bleed theta waiting. **Bottom line on your return target** 12-15% annualized on a structure with \~40% downside barrier is genuinely compelling relative to IG bonds. The main execution risk is slippage; the main structural risk is a fast vol crush on the closing leg. Both are manageable with disciplined entry sizing and a hard rule to close at 45 DTE. The strategy is sound — your analysis got the key risks right.

Then-Restaurant6376

Fuck all that shit I say run it 9:45 that's the 1st 15 min 🕯 it closes green 5k on atm /just itm calls spy,spx,/ES spx hold till close after it moves your way throw on a trailing stop at 10% ish or just stare at ir all day ready to mkt close if it slows down or watch the $VOLD on a split screen if it falls close its been pumping 5 min before close tho so if you play cash settled index you can just let it close and tis over woulda made bank today or do that other gay quitter thing or put it back in VOO and keep adding shit you were happy doing that so what you made a mistake you tried something new and it went badly o well this shit isn't a crisis you need counseling for i was addicted to herion for 10 years that's a fucken crisis every day but bro you'll get it back way faster stable investing in your voo then just pulling out you know that you got your ass kicked so what at least you fought dont change schools cuz you lost one fight that will only fuck you up more have some heart give it time if you want to fuck with options then only use what you can loose 500 1000 you know hits you can take if you loose dont add till your long term port is up to where it was when you first pulled also dont take my advice I was addicted to HERION for 10 years I know nothing about addiction LOL I am learning options too I have a system I fallow tho I started badly but I only han 1000 or so to start now I have 700 ish its been three months soon as I stopped thinking about money and started thinking about my plan it started working if a trade is moving against me I close at a small loss ASAP or not moving in 2 days no maybe it'll turn shit its kinda boring and grindy like leveling up on some rpg's but it works find a group who knows wtf they are doing learn from taking their trades dont guess idk I just hate to see ppl quit something that can make their life better and damm that shit hurts your pride to just give up and watch others make it look easy you can do it if you want but you gotta get some discipline thats what I think 🤔 peace and God's luck my friend

PabloooG

Volume bars on ES and NQ. Maybe! It’s all just hunches and analysis that we use to create our individual thesis

USSZim

Yeah, I joke but that was exactly the plan. Sold half to cover the position, then sold at Friday's highs because I was 50/50 on whether it would continue or consolidate for a few days after that. The puts were based on the top wicking forming at 7000 ES (the futures derivative of SPX), so I was only giving it 3 points from my entry as a stop. If it made new highs from where I entered, I likely would have stopped out at 1 on the contracts, a 30% loss.

Napster-mp3

Buy an ES-335

Ok-Piano8789

wanted to wait until tomorrow morning but i cant, short ES 7012

Ok-Piano8789

some of u are calling me a retarded ber, may i remind you i literally went to the bull statue at the lows the purchased ES futures on my phone, and you were invited! [https://www.reddit.com/r/wallstreetbets/comments/1s7580i/comment/od829gq/?context=3](https://www.reddit.com/r/wallstreetbets/comments/1s7580i/comment/od829gq/?context=3)

silverfutes

Hey, don’t look now, but ES futures are above 7k.

zestykite

ES over 7k. Everyone. Clap. NOW

dontslambro

ES futures are up 3.5% since yesterdays open. NQ is 4.27%

lordbell21

Next leg up once ES punches through 7k

WillTheGreat

It means dealers have to buy /ES futures to cover the top of the bread

-IQ200

I feel like a hard slap at ES 7000 is due for reality check.

LynoaFox

Sry I was looking at ES.. so you still have 0.3% of SPY going up left but then what... I am curious. I am mostly in cash now, I don't believe this shit.