After piloting this report on Seeking Alpha in 2017, we began distributing it more widely in early 2018. Beginning in February 2018, we wrote several articles about our trading positions into option expiration. These articles provide a public record of how we profitably traded SPX option expiration five months in a row following the launch of this report.
Each day, subscribers receive a daily report which includes the summary table below along with historical graphs of each of the securities shown below.
The Op-ex Price Magnet is the price where option delta and gamma are neutral.
This is price level at which large traders can optimize profit on or before option expiration.
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Most options market makers and many large traders manage their portfolios dynamically with delta-neutral portfolios. As a result, the unwinding and administration of hedged positions into expiration will usually lead to a convergence between the market price and the place where the total options market delta is neutral. This is the "Price Magnet" effect.
These are important price levels to track. The true value of the Price Magnet report is the tracking of both delta and gamma neutral. Gamma drives delta which drives reversion to the Price Magnet as large options traders hedge to get back "onside."
-- J. Brett Freeze, CFA
Principal, Global Technical Analysis
Former $200B Portfolio Manager for Bank of America
You don't need to understand options, options greeks or trade futures to benefit from this report. The daily Price Magnet report can be understood as an "Options Sentiment Indicator." A row highlighted in green suggests that the options market is bullish between now and op-ex (the date of option expiration). A row highlighted in red suggests that the options sentiment is bearish between today and op-ex.
In November 2018, Bloomberg published an article which describes how "negative gamma" became a driving force behind a large decline in crude oil prices. Interestingly - while Bloomberg highlights the importance of this information, it cannot be found on the $20,000+ per year Bloomberg terminal. Here is a what one experienced money manager has said about our daily report: