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Archives for October 2020
SpotGamma Report for: 10/30/2020 AM
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SpotGamma Report for: 10/29/2020 PM
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SpotGamma Report for: 10/29/2020 AM
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SpotGamma Report for: 10/28/2020 Mid
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VEXING VIX
Shorting VIX has been the big pre election play, and we noted recently during market draw downs that VIX put volumes have increased. This indicates VIX sellers are taking advantage of higher VIX prices to bet on a collapse in volatility. Today we note the S&P is down ~3% and the VIX Put Call Ratio […]
SpotGamma Report for: 10/28/2020 AM
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SpotGamma Report for: 10/27/2020 PM
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Options are a Larger Piece of the Liquidity Puzzle
Aretemis posted this graphic depicting the size of the options hedging market relative to other large flows. As options volumes increase its likely that volatility increases due to the mechanics of dealer hedging. Flows have killed fundamentals US Stock Market is now the derivative of the US Options Market …. a Frankenstein monster patched together […]
Nomuras Pre Election Gamma View
“A lot of folks [are] pushing these VIX 1×2 Put Spreads trading in the market, looking to put this on as their ‘short vol’ trade expression to capture a [year-end] melt-up. Now, we see 3-month realized as the new trigger input as it is the max of the two lookback windows,” McElligott remarked Friday, noting […]