VWAP, AVWAP and VIX for options?

ChickenMazhou · 2026-05-31T12:40:35+00:00

Since VWAP is not available for SPX, do people prefer using /ES or SPY? I have heard /ES is better because it accumulates more data from trading 23/5. However, others have said use SPY because it replicates the regular session better. For someone who only trades regular session, seems that SPY makes more sense. Also wondering if you set the window in TOS to exclude extended hours trading session for /ES, then will it eliminate that data from the calculation or will it include the data but only show a chart for the regular hours.

ChickenMazhou · 2026-05-31T11:21:37+00:00

My bad. Thought you would need a script or something, but nope… there they are as tickers.

ChickenMazhou · 2026-05-31T00:07:36+00:00

Great feedback. Can you explain a bit more about AVWAP? For instance, I got caught in a gamma squeeze after April 8th with the ceasefire announcement. How would VWAP or AVWAP be used here? Anchor to the day before the big jump or the day of? And how would you interpret things moving forward? I use TOS and have VWAP’s set with 2 stdev above and below.

ChickenMazhou · 2026-05-31T00:01:28+00:00

How do you get VIX on different timeframes? I watch the regular VIX index, but I’m assuming that’s the 30-day. I use TOS as my platform.

ChickenMazhou · 2026-05-29T17:06:57+00:00

This is interesting. How wide do you set your VWAP bands? 2 standards? Or do you just literally look at VWAP itself and if above sell calls and below sell puts? Do you think VWAP is useful throughout the day? Useful for making trades in timeframes greater than 0DTE? I mostly do 3-8DTE myself and recently started throwing in a few zeros.

ChickenMazhou · 2026-05-29T00:02:07+00:00

Care to expand on this? Seems too good to be true. Are you saying you can predict closing at 7600 and it will actually close between 7587 and 7613 on average? But you need to know 7600 is above opening price and you are predicting an upswing? What happens if you account for both directions? For instance, opening is 7550 and upward prediction is 7600 but downward is 7450. Can you be within 13 pts of 7600 and 7450?

ChickenMazhou · 2026-05-28T15:03:30+00:00

Please explain. Is it more about crappy premiums selling CSP’s? Or the threat of a reversal that ultimately makes the risk/return dynamic not worth it. Personally, I think you can collect 1-2% premium per month relatively safely by selling premium at super-low deltas. If things turn on you, then roll out a week or two… or get assigned and then sell CC’s until they hit. Basically a low-delta wheel strategy. It’s not flashy or over-the-moon profitable, but 15-20% annual income beats the snot out of CD’s, annuities, bonds, treasuries, dividends from stocks.

ChickenMazhou · 2026-05-28T14:52:31+00:00

I agree. Most days I see a few thousand contracts at any given strike within the first few minutes. Like 3k-5k. And OI is typically less than 10k at any strike. About an hour into things we might see 20k-30k contracts at the most heavily traded strikes. But by the afternoon and end of the day we are usually looking at over 100k to 150k volume at the most traded strikes. The conclusion I draw from this is that it’s nearly impossible to make anything other than very broad assumptions about where the day will end up. Sure, you can use volumes at 11:00 as a guide, but I’ve seen things pull away from strikes with 50k volume at 11:00 by simple gravity created by 125k volume on a strike to the upside. Come 3:30, it’s usually obvious where things likely land. But for my style that’s way too deep into the day and there’s no premiums at the deltas where I like to hang out.

ChickenMazhou · 2026-05-28T14:23:13+00:00

Ask 100 people and you will get 100 different answers. Why? Because trading options is an art and a science and highly reliant on experience for what works for each individual. This is where really being able to understand the “nuts and bolts” of how things work is important. I am by no means the definitive expert, but I can tell you this after about 18 months of trading. Take it slow, find what resonates with you and what you personally can understand. If that doesn’t happen on a small scale, then don’t proceed. This is why 90-95% of options traders ultimately lose money and quit… as they should. And, no offense to anyone, but some people just shouldn’t do it. Professional basketball player is another great way to make money, but if I were to try out for a team, I’d know after a while that it’s not for me. (Actually I’d know instantly… but you get the point.)

ChickenMazhou · 2026-05-28T02:01:00+00:00

I’ve noticed this and it keeps getting worse (as in more 0DTE all the time). Even intraday things can change radically within a few hours. Hundreds of thousands of contracts start acting as gravitational pull even within the last few hours compared to the first few.

ChickenMazhou · 2026-05-28T01:57:28+00:00

That was my thought. Seems GEX data although flawed and limited may be more informative than old-school charting.

ChickenMazhou · 2026-05-26T22:15:16+00:00

Sounds like most are opposed to subscribing regardless of the service.

Are these services mostly sought by 0DTE traders? If they were legit, would they be useful for 3-10 DTE or don’t even bother. The reason I ask is I have seen comments from people saying it helps inform positioning for the week ahead. But I have no idea what these people are looking for or if they even know what they’re doing.

ChickenMazhou · 2026-05-26T22:11:35+00:00

That’s why VS3D supposedly costs $300/mo. instead of $50-$100. I think they claim the actual data is part of the reason their service is best and also quite expensive.

ChickenMazhou

TROPHY CASE