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Archives for March 2020
SpotGamma Report for: 03/25/2020 PM
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SpotGamma Report for: 03/24/2020 AM
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SpotGamma Report for: 03/23/2020 PM
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The Case for Reduced Price Volatility
Our current view of markets is that we should see reduced price volatility following the large March expiration that took place this past Friday (3/20). One of the features of this expiration was a large number of in the money puts, which possibly created several billion in deltas for options dealers to hedge. As dealers […]
SpotGamma Report for: 03/23/2020 AM
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SpotGamma Report for: 03/21/2020 AM
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SpotGamma Report for: 03/20/2020 AM
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Nomuras Pre-OPEX Market View
We wrote a few days ago about the importance of tomorrows 3/20 options expiration because of 1) its sheer size and 2) its amount of deep in the money puts. ZeroHedge adds to this sentiment with some notes from Nomuras McElligott: this “large decline in the gamma post-expiration” should allow markets to pivot back to […]
SpotGamma Report for: 03/19/2020 PM
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