And from this distribution of returns, we can derive a mean and median expected return, as well as a volatility forecast. We don't want you to pay more up-front just to get a stupid 10% discount. Let us know. The data is exclusively on this platform. Nor is it difficult to understand why rising and falling volatility would impact the meaning of the other predictors in the case of both AAPL and SPY. Then we're going to demonstrate this using only data that is freely available. For example, if you'd run a linear regression, or even a fancy quantile regression, on the relationship between AAPL's price path and subsequent returns, you would never find a relationship between flat price and subsequent returns. Typically, the purpose of a white paper is to advocate that a certain position is the best way to go or that a certain solution is best for a particular problem. Price (P) Movement in price is usually denominated in dollars, points, or percent. We don't want you to pay more up-front just to get a stupid 10% discount. Pay for what you want, month-to-month (take the summer off!). The Weather Maps The Step-forward The Charts The Sheets (and the API) The Research Page I. The current combination of weak put flows and large customer vanna exposure are fragile. Red line is the VIX-implied mean absolute deviation (MAD). They describe how each of the coordinate pairs of our data have historically influenced subsequent 1-week returns in any given security, and then tells us (by drawing a yellow circle) what the coordinates are right now. Site is running on IP address 54.91.50.26, host name ec2-54-91-50-26.compute-1.amazonaws.com (Ashburn United States) ping response time 4ms Excellent ping.Current Global rank is 158,436, category rank is 3,849 . Cisco - Networking and your competitive edge white paper. AFA 2008 New Orleans Meetings Paper. The negative feedback loop began to unwind in the opposite direction as the previous week on Monday before the election. Pay for what you want, month-to-month (take the summer off!). It works on high-AUM money managers just as well as it works on retail punters. Cisco is a well-known name, but the domain it works in is not. Finally, you need to add the elements to ending your white paper. In other words, it does what data is supposed to do. Squeezemetrics.com is a Investing website . Observe how the upper third of the map has a bold blotch of both blue and red, one to the left, and one to the right. Last step: Let's feed all of these coordinates into a machine (affectionately named Jim) and derive the full historical distribution of returns implied by the data. SqueezeMetrics @SqueezeMetrics 24 Nov Blue line is the mean 1-month return associated with DIX. The Dark Index (DIX) is a dollar-weighted measure of the Dark Pool Indicator (DPI) of the S&P 500 components. If price and returns are length and height, then volatility is depth. cHl#.<2f|oi7wz,V'Gy:^lx8is?L0j3*BRyT|s{xX(F&UX$CC9~ho y:qM8g1d_ <> ifw eBPBgmC9WON5 You frequently see the words "industry standard," or "professional-grade." 8. In the example someone posted of making 91k in 5 years on /ES looks great when you post 91k but they didn't see you will need almost 2.5 mil in buying power to do each trade. I have the highest volume equity ETFs as defaults, but one could easily select FAANGM and a few other mega caps and make a FAANGM DIX index by changing the tickers in the settings. And so, to be quite clear, that's not what this stuff is. This is what our data looks like: These are "weather maps." Vtq+Niy~#V`nVIgyCg$[Of? And whether for the sake of your self-image (aspiration), or for the sake of your clients (justification), you don't want to be considered "an amateur." This is a very powerful sales pitch. 16 Ratings. ", This is a very powerful sales pitch. 2~/O09)|g G'*/b'V =eZYR/EQbhf7L9ZU#v&5 ^:UptsW8Bo^J-heB^z6kt: When it is used for commercial . m)Tpv5lkvBd70&}q.mbA6+9K\J.l|9P?slLP83t8s'p(d$&j"K752o@sJc+n6P* _h&FcS>%Zhg[PvD9lJULOKD2[CI|S2$X{":KtWAu$ie;kzt{{]$R;0$7^az5Z)22@ . Very tidy. First, we're going to tell you why a short sale in a U.S. exchange-traded stock is actually a meaningful indicator of buying activity. I am sure it is a simple solution, I just have not taken the time to figure it out. It works on high-AUM money managers just as well as it works on retail punters. VIX started to fall and stock prices to rise and dealers could start to unwind their high levels of hedging by . 0.00% Neutral Ratings. Copying SqueezeMetrics's trades since 2015 and holding each position for 1 Year would result in 62.50% of your transactions generating a profit, with an average return of -1.7% per rating. You may have heard of certain datasets that were not mentioned above. E.g., with VIX at 20, a 0.5 MAD return would be +4.6%. The Move prover, a formal verifier for smart contracts written in the Move language, provides additional . This is interesting, because it means that if you were to analyze the dark pool data alone, you would find very little predictive information; but by simply adding the "volatility" dimension and visualizing it this way, you suddenly see two distinct, and powerful, historical signals in the SPY ETF. (February 23, 2007). Code: This will not work, as is, on any other chart besides a 3 year/Daily Chart (which displays 755 bars). The code was generated with Python-Pandas. No "annual" billing. We would like to show you a description here but the site won't allow us. }"B"rhQnSXP{!u;d7l8Chtc7=_(,6oCeGw@G+73H?&~o9YWk@N|Ze|3(L1[-wG5. The implication is that all the real professionals have this data, and if you don't, then you're not a real professional. a. Pack all this up into a few non-industry-standard charts, PDFs, and spreadsheets, and that's what you're buying here. Yet the data itself hardly ever gets used to do anything except confirm the . None of these data points exist in isolation, so let's not treat them as if they do. Perspective! The Four Axes There are four predictors that form the basis of all of our data (a) price, (b) volatility, (c) gamma, and (d) dark let's address each of them in turn. I had time to look more into this and backtest it and its not good news. nextSignals on Twitter: "1/n CATEGORY: What would it take to crash the . A white paper is an informational document issued by a company or not-for-profit organization to promote or highlight the features of a solution, product, or service that it offers or plans to. x^_N (Um !-` ?o#(Q$cZ$e.v)/n~y%Nv?Y/K8yzg0xbmNa2e.x\R6qLnAsrYay8AA Y^r_O `zWcojl'}$lm//8=>NW#?)"dnrP]}c8vAR0#~sn^ Viewing the data pair-wise and in this weather map format is essential to understanding how a security is impacted by a combination of factors. In this technical white paper, Samsung makes a case for using its 5G products in your business's private network. On the S&P overall, is a put/call ratio of <1 bullish, as compared to equities who can be bullish in the .5 to .7 range? This is the SPX DIX from Squeezemetrics. The result is a distribution of returns that takes into account not only each data point, but also all of their complex interrelationships. I did experiment with using short entries after my original post and it was even more profitable than the long only strategy. In the world of marketing, a white paper is a long-form piece of content, similar to an eBook. Since this white paper uses a lot of abbreviations, it includes a handy key in the table of contents. For what it is, this is very reasonably priced. If anyone knows the solution, PM With this script you can select 10 tickers and see the aggregated DIX for them. Statement 5 - Low GEX Bullish Verdict: True. After banging my head for a while, I think it is $5,535m worth of shares moving . Look at the volatility, dark map (middle one on the bottom). It's curious we didn't see this in Statement 4. Kai Volatility's Cem Karsan Unpacks Implications Of Fed Taper, Shift To Fiscal Policy . What Options May Have To Do With The S&P 500's Weakness And Why The Sell-Off Is Orderly. One improvement item that I have not gotten around to doing is . Conversely, in the gamma, dark relationship (bottom-right panel), we don't see reliable predictions for negative returns, but we do see extremely positive returns (blue blob) in the top/top-right, which indicates high call gamma combined with high dark pool short volume is exceptionally bullish. This domain provided by godaddy.com at 2015-11-09T21:41:06Z (6 Years, 229 Days ago), expired at 2022-11-09T21:41:06Z (0 Years, 136 Days left). 2 0 obj SqueezeMetrics is a subscription service. It will disagree with you more often than it agrees with you, and it will probably annoy you sometimes, but if you allow it, it will provide an entirely new angle from which to view the way a stock trades. If you really need to pay by ACH or wire, rather than by credit card, then we'll bill you annually with an emailed invoice ($8640). Includes MAs/EMAs/regression built in. GEX is an interesting one. I suggest reading the short white paper about it here which is also the source page for the Dark Pools Index. For example, in the price, volatility relationship (top-left panel), flat price movement (x=0.0) and rising volatility (y=0.5) predict poor 1-week returns going forward (red blob). The Purpose of a White Paper. We won't fill out your compliance department's silly questionnaires. And it's not as if the evidence hasn't been there. A paper by Squeezemetrics dives deep into the significance of changes in option deltas. How do you determine bought or sold? But no, there's no discount. A white paper is an in-depth report or guide about a specific topic and the problems that surround it. Above 1.0, VIX was cheap. j-h1r{cQW . Private Networks Vol.1: Transforming Private Networks with Samsung 5g (Samsung) White Paper Example. Which, when looking at the plot of GXV by SPX, makes perfect sense. 32 * sqrt (1/365) * sqrt (2/) = 1.34 Today's S&P range has been 5.00%. And whether for the sake of your self-image (aspiration), or for the sake of your clients (justification), you don't want to be considered "an amateur. You'll get auto-billed once a month, and a receipt will be sent to your inbox. Cisco develops and provides networking hardware, data security services, telecommunications equipment, and other high-technology services and products. Log in You'll get auto-billed once a month, and a receipt will be sent to your inbox. 62.50% Bullish Ratings. Use high-quality photos with a consistent style. %PDF-1.4 Oct 13 VIX at 32 is more or less implying 1.34% average daily moves. % Rather than satisfying Aspiration, or providing Justification, this data is meant to actually give you Perspective. Depth! Most financial data is either sold as Aspiration or Justification. SqueezeMetrics. This is the "DIX" for the current ticker. The data enables the user to say, "I am a professional, I have the data, and I did my due diligence.". SqueezeMetrics Research * CBOE (see References) ** Like low VIX, high GEX predicts low volatility. For those new to the DIX, it stands for Dark Pools Index and is a measure of the activity within dark pools trading. I calculated the flip point with the data on Thursday of July 2, 2020 and I got the flip point of 380. When we first introduced the GEX white paper, we noted that "15 VIX" doesn't have much practical forecasting value. Very similar to the normalized result. But if you were able to add the "volatility" dimension, you would see very clearly that volatility is the determining factor in whether recent 0% returns are bullish or bearish going forward. The squeezemetrics site releases the data a couple hours after close on each trading day. Nearby SPX ATM IVs are all under 10%." 37.50% Bearish Ratings. It may drop soon afterwards, but it also could drag out until May since puts are so oversold, so I'm avoiding April expiration . Consider another similar example: These are the weather maps for the SPY ETF. I cannot get the full DIX because I hit the variable limit and have not found a workaround. and under those conditions, the risk of a crash nextSignals You have to realize that this is a very small sample size though. Very high relative percentages (45% [DIX]) of dollar-weighted short volume are associated with mean 60-market-day returns of 5.3%, as compared to a mean of 2.8% across the whole dataset. Publishing this to see if others know of a workaround. Interesting, a clear skew positive. GEX read today was 5,535,217,748. So please don't ask us about discounts. Since the machine can "see" in multiple dimensions, it can search for only those historical returns that are nearest, in every dimension (including time), to the current data coordinates. Monday's DIX will not show on here until Tuesday for example. Selectable Ticker DIX. SPX is 4540. Returns are normalized to VIX to isolate signal. kjV{ x/jeeQv#:'byZQ6l Measuring DIX. Squeezemetrics on twitter gave an explanatory tweet I thought I would share here. I have two questions since this was a lot to unwrap. It stands for Gamma Exposure and Squeeze metrics explains it as a +/- 1% price move = to shares coming into the market in the opposite direction (when GEX is positive), same direction when GEX is negative. And so, with that disclaimer, let's give you a sense of what we mean. You have to research your topic from credible sources and use formal writing to write your post, ensuring that you are speaking in the appropriate language for your client. I have the highest volume equity ETFs as defaults, but one could easily select FAANGM and a few other mega caps and make a FAANGM DIX index by changing the tickers in the settings. Nor will we negotiate soft-dollar arrangements with your broker. Maybe SqueezeMetrics knows what they're talking about with their suggested normalization. Below 1.0, VIX was expensive. the post-election rally. uffMi @!nNt`x!DcR= U8yU%Iwh3 5b`9 sT(4$XC1/66j(,+>22tgwm(.,+E%4a;y?1U xiqu 2/n to induce an extreme price decline, substantially raise IVol, and take price down to a level where large numbers of short puts reside in the order book . Average difference ranges between -0.6% and +4.7%, midpoint +2.1%. That's a big deal. Transfer over the most recent 755 days of data into the sheet I created and it will update and display correctly. 1. This multidimensional perspective simply cannot be reflected in any two-dimensional way. Yet the data itself hardly ever gets used to do anything except confirm the user's priors, or to justify a decision that was going to be made regardless. This means that when dark pool short volume is high, this can either be really bullish, or really bearishdepending entirely on whether volatility has been rising or falling recently. Allen M. and White, Joshua S., Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? The cost of the subscription reflects the value of the data and the costs that go into maintaining and improving the offering. With this script you can select 10 tickers and see the aggregated DIX for them. The above maps are for Apple (AAPL). If you want it, buy it. The combination of these technologies will provide a fundamental building block to bring web3 to the masses: First, the Aptos blockchain natively integrates and internally uses the Move language for fast and secure transaction execution. "15 vol" never happens. At a glance, you can see that positive (blue) and negative (red) returns tend to cluster. All the numbers and charts on this website are for amateurs. Corporations use white papers to sell information or new products as solutions that would serve their customers' needs. the demand for liquidity may far exceed what dealers can satiate . 68 131 813 . Finally, we're going Either way, the market is on propped up on stilts if/when SPY closes above 413.50. The motivation of market participants, and the mechanical reaction of the market, depends greatly on the trend of volatility. Don't worrythe Yacht Club is part of the Data subscription, and that includes the Sunday note, etc. SPX monthly expiration is this Friday and that should put the dealers mostly out of play for price action for the two weeks following. stream . One issue that I have not taken the time to figure out is that it will not update until the next day. It is meant to educate readers and help them to understand and solve an issue. Photos, icons, and illustrations can play an important role in how effectively your white paper communicates information. Stock Rating Distribution. We're going to do three things in this paper. When the DIX is higher, market sentiment in dark pools is generally more bullish. That's a very beautiful explanation and I'm very thankful to you for sharing this. They posts these values on their website for free, however; they want you to subscribe, where they break down over 8,000 popular tickers. It might explain why the graphs are so difficult to read, they are just a fraction of the data they offer. Puts traded at the ask versus the bid? The steps to writing a white paper are similar to writing a blog post or article. Now, let's take a look at some more white paper design tips you can apply to make the best out of your marketing white paper: 4. "With history as our guide, we are a hair's breadth away from some of the most consistently bearish and volatile behavior in the S&P 500. And to the extent that we think this seems a valuable representation of financial data, common statistical methods are obviously the wrong tool for the jobbecause they completely lack "depth perception."