Algorithmic Trading SPY using Scenario Analysis and Auction Market Principles

Circled numbers are prices on October options with highest open interest (blue – calls and red – puts). Shaded areas represent auction rotation. Dotted levels are auction-based key reference levels.  Small numerics represent buying/selling pressure codes. The price in orange, along the right price axis, represents an upside risk level.  Finally, the lower subgraph codes for auction-based scenarios and provides decision support.