By mid-January, investors had built $120 billion of net positive delta in
the US options market, says Brent Kochuba, founder of SpotGamma, a
provider of options analytics. “The market went up a lot in 2021, so any
of these call positions, which had been sitting there for a while, grew to
be a very large notional value.”
As the market dropped day by day in the week leading up to expiration,
this exposure fell sharply and finally flipped to negative $2 billion. “It was
like a race to dump out of these call positions as single stocks dropped,”
Kochuba says. “It also seemed like people started to really buy puts.”
Risk.net subscribers can read the entire thing here.
