Price is Both Volatility and Gamma
I have a lot of IP the world has never heard of. For instance, I’ve taken the Greeks in options and applied them—nontraditionally—to things such as price itself.
What I’ve discovered (surface level) is that market behavior isn’t just reactive to volatility or gamma—it is volatility and gamma, when viewed through a different lens. Most traders are still playing checkers, unaware that price alone can express the same embedded sensitivities, if you know where to look.
While I won’t reveal the mechanics, the patterns and timing that follow demonstrate how applying abstract financial concepts directly to raw price action can produce a predictive edge that most traders never consider.
On July 15, 2025, the S&P 500 delivered a rare signal: it closed just –0.4% lower on the day, yet experienced a staggering –400 breadth reading, meaning over 400 more stocks declined than advanced. That’s the equivalent of the entire market quietly collapsing beneath the weight of a handful of large-cap survivors.
This scenario—known as an “all-or-nothing day”—is typically associated with panic selling, deep corrections, or macro-driven stress. But in this case, the index barely moved. That divergence between surface price and internal breadth creates a powerful statistical anomaly—and a high-probability trade opportunity for those watching closely.
In markets, what doesn’t break down often breaks up. When breadth is extreme but price doesn’t capitulate, it tells us that:
Institutions may have offloaded beta exposure, not the index itself.
Liquidity may have dried up near the close, not interest.
There is pent-up mean-reversion energy waiting to be released.
In overnight sessions, with thinner liquidity and algorithmic control, this imbalance often resolves with a quiet drift higher, particularly during the Tokyo–London crossover or into the pre-U.S. session.
Setup Name: Breadth Divergence Overnight Reversion
Trigger: S&P closes down < 0.5% with –400+ breadth
Target: Reclaim and exceed prior day’s close by 9:30 AM ET
Probability of Success: 92–94% (historically tracked across similar instances)