Parameter righted itself late in the day. I want so bad to go long ES as a replacement for a 75 delta call option, but tomorrow being opts ex, and being in the middle of nowhere makes if very risky. I will wait and see.
It is important to remember that parameter is an input to FV. I note that if I weighted inversion of parameter differently than I do currently (or just weight it differently in general), FV would not need to be separate from FV as an indicator. The problem is I don't have the equation (I have _an_ equation, just not THE equation.) Some sort of mean reverting SDE (stochastic differential equation) is probably correct, but that gets me in the right galaxy, not the right planet.
One last note, using weekly options will give you more gamma, and are therefore favorable at key turning points. One thing to do instead that is interesting is to buy the monthly naked on an trade signal, and sell the weekly ratioed when we are hedging if things go bad. This can give you almost a free trade if done right. Recall that the 50 delta option has the most gamma, theta and vega (I am not going to get into the forward vs spot and their corresponding delta). This is can be complicated though because the monthly is more affected by the path of the implied volatility curve, and the weekly by the path of the underlying, the monthly and weekly converging on the opts ex. There are so many ways to try to gain edge, but this may be one way to reduce risk even further and maximize opportunity by understanding the dynamics of different instruments.
Buying back all the hedges at the open. The position will have about 150 deltas, accelerating as we go higher.
We are likely entering a regime (in the short to short-intermediate term) where long gamma and short vega is the right balance. A "Half Iron Condor" may be ideal here. I am keeping it simple with directional trades instead of complex options positions so as to make it simple to follow market direction. But that doesn't mean these are optimal if you had more options experience. The good thing about options is they give you more ways to win. The bad thing about options is they give you more ways to lose.
What would give us confidence that we are right is if we go through 1302. Anything below and close to that is profit, nice profit making back our loses and then some, but if we go through 1302, I see signs of a 100 handle win because the next target would be 1342. We just need parameter not to invert again (in my narrow field of vision anyway.)