It's time to bring sth. new to the selected group of 'REFLECTIONISTAS' a.k.a my readers.
This time around we will look at optionskews and their symmetries. Below you will find de-trended Option premium term curves for puts and calls. We usually pick a strike that is close ITM-in the money- (proxy for ATM) and compare the option premiums along the future expirations. We do the same for Puts and Calls. In a perfect , read theoretically efficient market the Vola (and thus the premia) should look alike for puts and calls. Only if some big players bets one side in size will we see differences in premias. For visual reasons we decided to adjust & de-trend the data in order to highlight these speculative positions. Sometimes the differences are bigger than others => read stronger signals.
Dependent on the usage of the underlying as a direct speculation vehicle or as a simple hedging tool the 'Call'-bias (green line on top of the red line) has to be interpreted as bullish (spec. vehicle) or as bearish (hedging vehicle).
Below you find the analysis for the SPYDER which has clearly been a hedging vehicle and thus lets us interpret 'Put'-biases as bullish (and vice versa).
Each term curve is a snapshot of a certain pivot point in the market that relates to the pivotchart at the end (be guided by the numbers).
As of Dec. 19 we don't see any strong conviction towards a Santa rally and therefore will treat Santa with caution.
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