From Bloomberg: The interplay between the equity and options markets can be complex. To illustrate the dynamics, Brent Kochuba, founder of analytic service SpotGamma, plotted Tesla’s stock against delta, or the theoretical value of stock required for market makers to hedge the directional exposure resulting from all options activity. In the simplest form, when someone […]
Archives for October 2021
SpotGamma Report for: 10/26/2021 AM
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Trade Analysis: ES Futures (22 October 2021)
The following is a guest post from Doug Pless. As I have discussed in previous articles, I begin my morning preparation by reading the SpotGamma AM Founder’s Note when I plan to trade futures. For ES futures, I note gamma levels, the SpotGamma Imp. 1 Day Move, the SpotGamma Gamma Index, and Gamma Notional for […]
Early Data Release for Pro/Adv Subs: 10/26/2021 AM
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SpotGamma Report for: 10/25/2021 PM
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SpotGamma Report for: 10/25/2021 AM
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Early Data Release for Pro/Adv Subs: 10/25/2021 AM
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SpotGamma Report for: 10/22/2021 PM
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Huge VIX Contago!
There was an interesting twitter thread yesterday which correctly pointed out the very large contango in the VIX futures market. Specifically we had the VIX index trading nearly 4 points below that of the front month VIX future [VX1]. Currently the VIX is trading near 15, and that future is near 19. According to the […]
SpotGamma Report for: 10/22/2021 AM
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