We spend a lot of time talking to our members about the lack of structure in the SPX options market. What we mean is the positioning in SPX options is just very small as seen in this chart below which maps total SPX call & put gamma. This has implications for markets not just at […]
Archives for June 2020
SpotGamma Report for: 06/17/2020 AM
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SpotGamma Report for: 06/16/2020 PM
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Nomura June OPEX Update
“Following Friday’s Serial/Quarterly options expiry, we continue to see potential for a ‘Gamma Unclenching’ over the following 1w-2w period with currently ~47% of the $Gamma set to run-off” – Nomura’s Charlie Nomura marks a much lower gamma flip point of June options expiration, which would suggest markets may open in more positive gamma territory after […]
SpotGamma Report for: 06/16/2020 AM
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SpotGamma Report for: 06/15/2020 PM
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SpotGamma Report for: 06/15/2020 AM
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Nomura 6/12/20 Gamma Update
Watch possible “gamma sweating” should this turn lower again Nomura’s quant explains the move yesterday; And here is why this this matters: as stated in the note to this point, yesterday was classic butterfly effect knock-on, with a “macro catalyst” from the COVID wave #2 risk-off trade which then triggered “profit-taking-turned-stop-loss selling” from both tactical […]
LaDuc Trading: Risk Parity, Market Gamma & Option-Driven Equity Flows
This is a repost from a great article written by our friends at LaDuc Trading. Follow Samantha @SamanthaLaDuc. Recall the 1% Risk Parity Trade of March? I wrote about it here: Gone Fishing Newsletter: The 1% Outlier Event That Tanked Equities 30% – Mar 24, 2020 Back on March 18th, the S&P 500 was down 16% in […]
June Selloff Review
Markets were unable to hold gains on Friday after a sharp selloff on Thursday. While we initially opened over the gamma flip zone, markets broke that 3075 area and immediately sold down to the 3000 strike. This 3000 level is where we calculated the most options gamma and served as support. All of these levels […]
