Daily Watchlist Archive
Each morning's Chronicle — click Open to view the full newspaper watchlist in a new tab.
Recent Issues
| Date | Best Tier | Momentum | Condors | GEX Regime | Open |
|---|---|---|---|---|---|
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Strategy Playbooks
Full documentation for each Chronicle strategy — signals, rules, position sizing, and exits.
Momentum Continuation
The momentum continuation strategy targets stocks already in established uptrends, entering on continuation as institutional buying sustains the move. It does not buy breakouts from bases — it buys stocks that have already broken out and are continuing to hold above key moving averages.
Signal Filters
| Filter | Threshold | Rationale |
|---|---|---|
| 20-Day ROC | > 20% | Confirms active institutional momentum |
| Volume Persistence | ≥ 3 of last 5 days above 20d avg vol | Sustained buying, not a one-day spike |
| Price vs 10 MA | Within 7% above rising 10d MA | Not over-extended; near a natural support |
| MA Stack | Price > 10 MA > 20 MA (both rising) | Full bull stack alignment |
| ATR% | > 2.5% | Enough daily range to generate meaningful moves |
| GEX Gate | SPY/QQQ above gamma flip | Macro environment confirms directional trades |
| Cooldown | 15 trading days per ticker | Prevents stacking entries during same trend |
Tier Classification
| Tier | Criteria | Risk Allocation | Stop |
|---|---|---|---|
| A+ | ROC ≥ 50% · Vol persist ≥ 4 · At new 20d high | 3.0% of account | Below ORB low or 18% hard stop |
| A | ROC ≥ 30% · Vol persist ≥ 3 · Within 7% of 10MA | 2.5% of account | Below 10-day MA or 18% hard stop |
| B | ROC ≥ 20% · All other qualifying signals | 2.0% of account | Below 20-day MA or 18% hard stop |
Exit Rules
- Hard stop: 18% loss from entry (any tier)
- Max hold: 25 trading days — exit at close on day 25
- 10 MA cross: close below rising 10d MA → exit next open
- Volume collapse: vol < 50% of 20d average for 3 consecutive days
- Profit target: original entry target in watchlist (2R or 2.5R)
Gamma Exposure Scanner
Gamma Exposure (GEX) measures the aggregate options gamma that market makers hold. Because dealers hedge their delta exposure dynamically, their hedging activity creates systematic, predictable price effects at key strike levels.
Key Levels Explained
| Level | Definition | Implication |
|---|---|---|
| Gamma Flip | Price where dealer net GEX crosses zero | Above = bullish dampening. Below = bearish amplification. |
| Call Wall | Strike with highest positive gamma concentration | Strong resistance — dealers sell into rallies near this level |
| Put Wall | Strike with highest negative gamma concentration | Strong support — dealers buy into dips near this level |
| Max Pain | Price where aggregate options losses are maximised | Market often gravitates toward max pain at expiration |
| Net GEX | Total net gamma of dealer book | High positive = pinning / low vol. Negative = vol expansion. |
Regime Interpretation
| Regime | Condition | Chronicle Action |
|---|---|---|
| Bullish | SPY above gamma flip, net GEX positive | Show momentum long candidates. Suppress condors. |
| Neutral | Near gamma flip level (±0.5%) | Show both momentum picks AND iron condor setups. |
| Bearish | SPY below gamma flip, net GEX negative | Suppress all directional longs. Iron condors only. |
Data Source
GEX data is sourced from a professional options market data provider. The scanner pulls the gamma flip level, call/put walls, max pain, and full strike-by-strike GEX for both SPY and QQQ. Data is fetched each evening after 4 PM ET. VIX is pulled from CBOE as a secondary volatility context indicator.
Iron Condor Setups
Iron condors are four-leg options spreads that profit when the underlying stays within a defined range through expiration. By selling both an out-of-the-money call spread and an out-of-the-money put spread simultaneously, you collect net premium and profit from time decay — as long as price doesn't breach either short strike.
The Chronicle deploys condors only on indices (SPY, QQQ) and only when the GEX regime is Neutral or Bearish — conditions where the gamma environment suppresses large directional moves, making range-bound price action more likely.
Structure Rules
| Parameter | Default | Notes |
|---|---|---|
| Short Call Strike | Call Wall level | Dealer resistance makes this a natural ceiling |
| Short Put Strike | Put Wall level | Dealer support makes this a natural floor |
| Wing Width | ~5% from short strikes | Defines max loss; wider wing = more protection but less premium |
| Target Delta (short) | ~0.20 | ~16% probability of being tested at expiration |
| Expiration | 21–45 DTE | Optimal theta decay zone; avoid <14 DTE (gamma risk spikes) |
| Underlying | SPY, QQQ | High liquidity, tight spreads, liquid options chains |
| Net Credit Target | ≥ 1/3 of wing width | Minimum credit-to-width ratio for acceptable R/R |
Management Rules
- Take profit at 50% of max profit (close early, capture theta, free up capital)
- Stop loss at 2× the net credit received (defined risk)
- Close at 21 DTE if not yet at target (avoid gamma risk near expiration)
- Close one side if underlying moves within 1% of short strike
- Do not add to losing positions — exit and reassess
When to Deploy
- GEX regime is Neutral or Bearish (gamma flip is a ceiling)
- IV Rank (IVR) > 25 — options are relatively expensive (sell premium)
- VIX is elevated but not spiking (avoid during vol expansion days)
- No major catalyst risk within expiration window (earnings, FOMC, CPI)
Strategy Performance
Backtested and live tracked results across all three Chronicle strategies.
| Tier | Trades | Win Rate | Avg Return | Best Trade | Worst Trade | Max DD |
|---|---|---|---|---|---|---|
| A+ | 48 | 73% | +22.1% | +81% | -18% | 9.4% |
| A | 94 | 69% | +16.8% | +52% | -18% | 11.2% |
| B | 127 | 63% | +11.3% | +38% | -18% | 14.3% |
| Regime at Entry | Trades | Win Rate | Avg Return | Notes |
|---|---|---|---|---|
| Neutral GEX | 84 | 76% | +9.2% | Optimal — gamma pinning helps condors |
| Negative GEX | 31 | 58% | +4.1% | Higher vol; wider wings needed |
Directional options and futures trades on ES/NQ taken when price crosses the gamma flip level with confirmation — entering in the direction of the flip transition. Calls/long futures above the flip, puts/short futures below it.
| Direction | Instrument | Trades | Win Rate | Avg Return | Notes |
|---|---|---|---|---|---|
| Above Flip (Long) | SPY/QQQ Calls · /ES Long | 67 | 65% | +15.8% | Dealer hedging supports momentum |
| Below Flip (Short) | SPY/QQQ Puts · /ES Short | 54 | 56% | +11.9% | More volatile; size conservatively |
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