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Archives for May 2021
SpotGamma Report for: 05/14/2021 AM
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SpotGamma Report for: 05/14/2021 AM
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SpotGamma Report for: 05/13/2021 PM
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Todays Option Vanna Rally
We’ve written about some of the major risk signals showing over the last several days/weeks, and those risks manifested in a 4-5% drawdown over the last few trading sessions. Todays bounce appears to be mainly off of the closing of short term put options trades (delta hedge unwind) along with a crush in implied volatility. […]
SpotGamma Report for: 05/13/2021 AM
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SpotGamma Report for: 05/13/2021 AM
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SpotGamma Report for: 05/12/2021 PM
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SpotGamma Report for: 05/12/2021 AM
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ARKK Gamma & What’s Really Behind The QQQrash? Nomura Gamma
From ZH: Nomura’s “futures imbalance” monitor showed enormous sell pressure all day in NQ futs across all lots sizes (the largest in at least 1m), but particularly in our medium- and large- lot buckets, proxies for large HFs and Asset Managers aggressively selling / shorting… Two things were behind the QQQcrash – ARKK’s vicious circle and CTA Deleveraging. […]





