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Archives for March 2021
SPX SPY Options Vanna
Options Vanna is the delta adjustment required for a change in implied volatility. When we model market makers options hedging activity, we adjust options implied volatility to understand how hedging flows might impact the stock markets. Market makers likely hedge SPX and SPY options with ES futures, so these hedges may have a large influence […]
SpotGamma Report for: 03/13/2021 PM
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GME Gamma Squeeze Update
Yesterday we added a video which provided an update on our GME gamma squeeze model. We noted that some 50% of total GME gamma was set to expire at the close of trading on Friday, March 12th. The strike with the largest gamma position was the $250 strike, with most of that held in puts. […]
SpotGamma Report for: 03/12/2021 AM
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SpotGamma Report for: 03/11/2021 PM
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SpotGamma Report for: 03/11/2021 AM
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SpotGamma Report for: 03/11/2021 AM
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SpotGamma Report for: 03/10/2021 PM
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SpotGamma Report for: 03/10/2021 AM
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