My view of the past week has been this: The markets slipped into negative gamma on Monday 2/24 under the narrative of Coronavirus fears. As large concentrations of puts went in the money their hedging requirements increased, meaning gamma got more negative as the market moved lower. Once in negative gamma territory options dealers change […]
Archives for February 2020
SpotGamma Report for: 02/28/2020 PM
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SpotGamma Report for: 02/28/2020 AM
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SpotGamma Report for: 02/27/2020 PM
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SpotGamma Report for: 02/27/2020 AM
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Searching for a Market Bounce: Feb 2020
Below are a few charts that we’ve been watching as we’re in the midst of the Crash of Feb 2020. Several indicators are showing extreme readings and we wanted to chronicle those. If you have one you think we should add email us: sg@spotgamma.com. One of the things we look at “Gamma Tilt” which is […]
SpotGamma Report for: 02/26/2020 PM
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SpotGamma Report for: 02/26/2020 PM
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SpotGamma Report for: 02/26/2020 AM
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February 2020 Selloff & Gamma Trap
There has been relentless selling during the end of February attributed to Coronavirus fears. There are clearly sellers of all types active in the current market, but much of this selling may be attributed to negative market gamma and the “gamma trap”. As you can see below on over the weekend of Feb 24th futures […]