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Archives for January 2022
Early Data Release for Pro/Adv Subs: 01/26/2022 AM
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SpotGamma Report for: 01/25/2022 PM
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After Historic Stock Market Reversal, SpotGamma Calls Arrival at Lower Bound
Market Activity: Monday featured an historic stock market reversal wherein the S&P open down 1.5%, declined another 2.5% intraday, then rallied 4% into the close. Two weeks ago we flagged the January 21st options expiration as a catalyst for volatility, and we viewed Monday as a continued “clearing” of large OPEX hedges. Market Backdrop: In […]
SpotGamma Report for: 01/25/2022 AM
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Early Data Release for Pro/Adv Subs: 01/25/2022 AM
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SpotGamma Report for: 01/24/2022 PM
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SpotGamma Report for: 01/24/2022 AM
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Early Data Release for Pro/Adv Subs: 01/24/2022 AM
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SpotGamma on Bloomberg
“Brent Kochuba, founder of analytic service SpotGamma, observed that last week and earlier this week, the existence of many large in-the-money single-stock call positions had led to a large positive delta skew — the theoretical value of stock required for market makers to hedge the directional exposure resulting from all options activity. As most of […]
