The JATS PT Indicator, developed by Julie Wade, Managing Member of J Auto Trading Strategies, LLC, is a proprietary volatility tool used to identify key price levels for trading, based on statistical concepts. It’s designed to help traders set entries, profit targets, and stop losses across multiple time frames and is available as a third-party add-on with the NinjaTrader platform. Analysis is available on Substack for ES, NQ, CRUDE, GOLD, BITCOIN, SPX, VIX.
The QuikStrike options pricing data for E-mini S&P 500 (ES) futures contract offers a rich dataset to analyze how JATS PT Levels might align with or inform trading strategies, particularly in the context of options-derived metrics like implied volatility, probability distributions, and Gamma Exposure (GEX).
Analysis Approach
We’ll analyze the JATS PT Levels’ potential application to the ES options data by:
Mapping JATS PT Levels to Volatility Metrics: Relate the indicator’s statistical range to implied volatility (IV) and realized volatility (RVOL/HVOL) levels.
Aligning with Options Pricing: Use option premiums, Greeks (Delta, Gamma), and open interest to identify key strikes that may correspond to JATS PT Levels.
Probability and GEX Context: Assess how JATS PT Levels might interact with the implied probability distribution and GEX to pinpoint high-probability or high-impact price levels.
Practical Trading Insights: Suggest how traders could use JATS PT Levels with the options data for setting targets or managing risk.
1. Mapping JATS PT Levels to Volatility Metrics
The JATS PT Indicator normalizes price ranges based on a statistical "Bell Curve" to identify significant levels (e.g., 0%, 50%, 100% of the range). The "DAILY RVOL LEVELS.csv" and "DAILY HVOL LEVELS.csv" provide volatility-based price levels for ES (e.g., 1Aσ, 2Aσ), which can serve as proxies for JATS PT Levels:
RVOL Levels (ES 09-25, Last Price 6251.75):
1Aσ OPEN: 6242.25 (~0.15% below spot)
2Aσ OPEN: 6261.25 (~0.15% above spot)
3Aσ OPEN: 6276.25 (~0.39% above spot)
HVOL Levels (ES 09-25, Last Price 6251.50):
1Aσ OPEN: 6248.25 (~0.05% below spot)
2Aσ OPEN: 6273.25 (~0.35% above spot)
3Aσ OPEN: 6293.25 (~0.67% above spot)
Analysis:
JATS PT Levels likely correspond to these σ levels, with the indicator’s 0–100% range mapping to statistical boundaries (e.g., 50% might align with 1Aσ, 100% with 2Aσ or 3Aσ).
The ES options data shows implied volatility (IV) ranging from 6.29% (6300C) to 8.65% (6200P) near the ATM strike (~6250), suggesting a tighter expected range than historical volatility (HVOL).
Traders using JATS PT could set daily targets at 6242–6261 (1Aσ RVOL) for short-term moves, with 6276 (3Aσ RVOL) as an extreme target, aligning with the indicator’s focus on range-based levels.
2. Aligning JATS PT Levels with Options Pricing
The ES options data includes premiums, Greeks, and open interest (OI) for strikes from 5975 to 6475, expiring 6/30/2025. Key observations:
High OI Strikes:
6250C: 3847 COI, Premium $6.69, Delta 0.02572, Gamma 0.844
6100P: 3184 COI, Premium $12.22, Delta -0.018, Gamma 0.018
6200P: 4973 COI, Premium $8.65, Delta -0.169, Gamma 0.017
ATM Strike (6245):
6245C: Premium $9.72, Delta 0.02356, Gamma 0.786, IV 7.42%
6245P: Premium $13.75, Delta -0.5, Gamma 0.01255, IV 17.88%
Analysis:
JATS PT Levels, which emphasize statistical price boundaries, might identify strikes like 6250 as key due to high OI and gamma, indicating significant market positioning. High gamma at 6250C (0.844) suggests price sensitivity, making it a potential pivot point for JATS PT’s profit targets or stops.
The indicator’s focus on range contraction (downward slope) could align with lower IV at higher strikes (e.g., 6.29% at 6300C), suggesting reduced expected movement. Traders might use JATS PT to target strikes with low IV for selling premium (e.g., 6275C, Premium $0.28, IV 6.75%).
The 6245P’s high IV (17.88%) indicates downside protection demand, which JATS PT could flag as a support level (e.g., 1Aσ at 6242), reinforcing its statistical significance.
3. Probability and GEX Context
Using the options data, we can derive:
Probability Density: The Breeden-Litzenberger method (second derivative of call premiums) suggests a peak probability near 6250, given the high OI and tight premium spread (e.g., 6245C $9.72 vs. 6250C $6.69).
Cumulative Probability: The cumulative distribution function (CDF) shows a 50% probability of ES being below ~6250, aligning with the ATM strike.
GEX: Gamma Exposure is calculated as GEX=Gamma×OI×50×6251 \text{GEX} = \text{Gamma} \times \text{OI} \times 50 \times 6251 GEX=Gamma×OI×50×6251. For 6250C:
GEX = 0.844 × 3847 × 50 × 6251 ≈ $1.01 billion
High GEX at 6250 suggests price pinning due to dealer hedging, a level JATS PT might identify as a “magnet.”
Analysis:
JATS PT Levels likely prioritize strikes with high GEX (e.g., 6250, 6100) as key support/resistance, as these align with statistical ranges where hedging impacts price stability.
The probability density’s peak at 6250 supports JATS PT’s use of bell-curve-based levels, suggesting traders could use the indicator to confirm high-probability targets.
The indicator’s multi-timeframe capability (e.g., 5-min chart with 60-min range) could refine entries around 6242–6261 (1Aσ RVOL), with GEX at 6250 as a longer-term anchor.
4. Practical Trading Insights
Combining JATS PT Levels with the ES options data yields actionable strategies:
Entry Points: Use JATS PT’s statistical ranges (e.g., 50% at 6248, 100% at 6273 per HVOL) to enter trades near high-OI strikes like 6250C. For example, sell 6255C ($4.28, IV 7.18%) when ES approaches 6261 (2Aσ RVOL), expecting mean reversion.
Profit Targets: Set targets at JATS PT’s upper range (e.g., 6276, 3Aσ RVOL) for bullish trades or lower range (6242) for bearish trades, validated by high GEX at 6250 as a pivot.
Stop Losses: Place stops beyond JATS PT’s extreme levels (e.g., 6170, 3Bσ RVOL downside) to account for volatility spikes, as IV at 6200P (8.65%) suggests tail risk.
Hedging: High GEX at 6250 indicates potential pinning, so traders could use JATS PT to time delta-neutral strategies (e.g., straddle at 6245) around this level.
Example:
Scenario: ES at 6251, JATS PT flags 6248 (50% range) as support, 6261 (100% range) as resistance.
Trade: Buy 6245P ($13.75) if ES drops to 6248, targeting 6200P’s high OI (4973 COI). Set stop at 6276 (3Aσ RVOL).
Rationale: GEX at 6250 supports stability, and JATS PT’s range aligns with RVOL levels, increasing confidence in the trade.
Interesting Fact
The 6250 strike’s high GEX (~$1.01 billion for calls) suggests it’s a critical level where dealer hedging could pin ES prices, aligning with JATS PT’s focus on statistically significant levels. This convergence makes 6250 a prime candidate for JATS PT’s profit targets or reversal points.
Conclusion
JATS PT Levels, with their statistical range-based approach, complement the ES options pricing data by identifying key price levels (e.g., 6242–6261) that align with RVOL/HVOL, high-OI strikes (6250, 6100), and GEX pivots. Traders can use the indicator to set precise entries, targets, and stops, leveraging options metrics like IV and gamma to enhance decision-making. The high GEX at 6250 reinforces JATS PT’s utility in pinpointing levels where market dynamics are likely to stabilize or reverse, making it a valuable tool for options traders.
Note: This analysis is for educational purposes and not financial advice. Trading futures and options involves substantial risk, and only risk capital should be used. Consult a professional advisor before trading.
Disclaimer:
J Auto Trading Strategies, LLC ("JATS") is not a registered broker-dealer, investment advisor, or financial planner. The tools, indicators, strategies, and content provided—including but not limited to JATS PT™, V‑SNAV™, and HALO™—are for educational and informational purposes only. Nothing contained herein constitutes a solicitation or recommendation to buy or sell any securities or derivatives. Trading futures, cryptocurrencies, and options involves substantial risk and is not suitable for every investor. Always consult a licensed financial professional before making trading decisions. JATS retains all proprietary rights to its indicators and methodologies. Unauthorized distribution or replication is strictly prohibited.
Risk Disclosure:
Futures, options, and cryptocurrency trading involve substantial risk and are not suitable for every investor. An investor could potentially lose all or more than the initial investment. Only risk capital should be used for trading, and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.
Hypothetical Performance Disclosure:
Hypothetical performance results have inherent limitations. Unlike actual performance records, hypothetical results do not represent actual trading and may under- or over-compensate for the impact of certain market factors. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.
Platform Disclosure:
NinjaTrader® is a registered trademark of NinjaTrader Group, LLC. No NinjaTrader company has any affiliation with the owner, developer, or provider of the products or services described herein, or any interest, ownership, or endorsement in any such product or service.
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JATS PT™, V‑SNAV™, and HALO™ are trademarks of J Auto Trading Strategies, LLC. All content and proprietary methodologies are protected by copyright and may not be reproduced or distributed without express written permission.
