3/14 Daily Market Note: 0DTE Puts are now soaring 1000-1500% intraday, a potential sign of what is to come.
Semiconductors are an overwhelming force in the market
Note: Data from 0DTE Option Markets is from Interactive Brokers.
Hey Folks -
Given today’s incredibly volatile market session context, I’m going to make yesterday’s note public where we alluded to big swings incoming.
We had a few conclusions yesterday:
That negative Orderflow delta was a prelude to a larger move (we saw that today).
That Option buying would be more favorable than Option selling in the coming sessions after the post-CPI digestion session.
After PPI data came in hot today, I observed a muted response. Unless Semiconductors were going to stage a breakout or breakdown, my initial thinking was that today was going to be a range-bound session based on my pre-market note.
However, Semiconductors indeed staged a large breakdown with NVDA/AMD being the driving force that capped any attempt at recovering the opening flush from PPI data.
In my opinion, the market is becoming much more sensitive to economic data points.
I draw this inference from the fact that 0DTE Put options are making larger and sharper moves from even modest declines in the index they track. This may be potentially due to the fact that the VIX is starting to appear more resilient than in the past.
I’ll use 3 exhibits to demonstrate this.
Exhibit 1: Daily Chart of VIX now emerging in a choppy uptrend
Exhibit 2: Volatility crush at end of the day saved stocks from further meltdown.
Exhibit 3: 0DTE Out of Money ES Put option making large moves even when the index decline in less than 1%.
Below, I will share further Orderflow data and provide more thinking on what the current context means for strategy & execution. I will also discuss my observation of 0DTE options and what this suggests for the market’s near-term context.