Options poetry by McElligott “Just like the Aug / Sep “pivot” from extreme grab to extreme vomit, if we were to continue rallying into Friday’s expiration, there will continue being a ton of stock to buy for the Dealers to remain delta hedged and extend the melt-up (i.e. late Aug)—but if we roll over and […]
Archives for October 2020
SpotGamma Report for: 10/12/2020 PM
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Nasdaq Explodes Higher Amid Unprecedented Gamma/Futures Double-Squeeze
From ZeroHedge Heading into the weekend, we observed that despite the recent drift higher in the Nasdaq last week after its September correction, institutional investors remained skeptical with a near-record number of non-commercial spec shorts in the Nasdaq 100 mini according to the latest CFTC Commitment of Traders report, and after spiking to a historic […]
SpotGamma Report for: 10/12/2020 AM
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SpotGamma Report for: 10/09/2020 PM
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SpotGamma Report for: 10/09/2020 AM
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SpotGamma Report for: 10/08/2020 AM
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SpotGamma Report for: 10/08/2020 PM
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News of “Gamma” is Hot
Options Vanna
There is a lot of talk recently about options Vanna and we wanted to address some of these points here. The basic concept as applied to our SPX/SPY models can be distilled to this: • When implied volatility (i.e. VIX) declines stocks go up• When implied volatility increases stocks go down Obviously there are many […]
