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Most Of The Move Happens Overnight.
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Chapters8 segments · tap to seek
ticker lesson
Breakdown
0:00lesson
S&P price patterns part two — options pricing
- Intraday data source for S&P 500
- Followup to price patterns at all-time highs
- Options pricing cyclic patterns
- Focus on post-2023 period
1:38lesson
Intraday volatility mechanics after all-time highs
- 72% of daily volatility from open to close
- Day zero volatility gap up
- 43% overnight, 57% intraday
- Market sentiment impacts statistics
3:30lesson
IVR and volatility compression after all-time highs
- SPX IVR lowest on day zero
- IVR normalizes over days/months
- Implied volatility exceeds realized
- Market conditions affect behavior
5:31lesson
Implied vs realized volatility in equities
- Implied volatility as forecast for range
- Realized volatility often exceeds implied
- Red flags for selling premium
- Dynamic expected range forecasts
7:18lesson
Expected range and volatility dynamics
- Implied volatility as estimate for price range
- Expected range captures end-of-period price
- Daily checks for neutral premium positions
- Dynamic range forecasts
9:07lesson
Tail risk and session analysis
- Worst 5% of sessions filter
- Day zero filtered by 52-week high
- Tail risk increases on day one
- Longer time horizons increase risk
10:55lesson
Takeaways on IVR and volatility ratios
- SPX IVR lowest on day zero
- Implied-to-realized ratio 2.8x
- Gap closes within a month
- Cycles around 3 weeks
12:43lesson
Trading strategies and market updates
- Calendar spreads for snow
- Long gold with crab trade
- Closed Dell positions
- Snow calendar added
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