Only ES and VWAP? Where the Options Really Trade

The narration of the video, as text.

Are you scalping with only ES and VWAP? Then you're missing a big slice of the action. The S&P 500 trades through five main instruments, and, measured in dollars, almost nine in ten of its options trade away from ES.

But careful: there are two volumes. The first counts the instrument itself changing hands: ES contracts, SPY shares. For SPX and XSP that number is zero. They're indexes, a value calculated from about five hundred stocks, and nobody can buy or sell that value directly. What trades are their options, and the stocks inside them. VWAP is built on this first volume: it sees ES and SPY trading, not the options.

The second volume is the options'. Cboe compared the three biggest, in dollars: SPX is about three quarters, SPY about fifteen percent, options on ES about eleven. So most of the options activity is on SPX, and a chart of ES alone doesn't show it.

On LiveGexLevels you see exactly what a chart of ES leaves out. The options' volume of SPX, XSP and SPY, for the nearest expirations, sits on the right edge of the US500 chart, strike by strike, with the calls in yellow and the puts in purple.

And on LiveGexLevels you see them all together, on the same chart: the VWAP, the options' volume and the overall GEX levels. Much more context while the session unfolds, to make better-informed decisions.

The full episode, only ES and VWAP, is on our channel.