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. […]
Market Analysis
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. […]
Commodities Break out: FCX Edition
We’re seeing (and have been seeing) a major breakout in commodities. Metals, energy and commodities of all types are seeing large price increases. One of the stocks closely linked to commodities is FCX, Freeport-McMoran which primarily mines copper. As you can see below the stock has been on a tear, breaking out to highs not […]
SpotGamma on Real Vision with Imran Lakha
Watch our full interview here. TAIL WAGGING THE DOG: HOW OPTIONS GAMMA DRIVES EQUITY PRICE ACTION The Interview · Featuring Brent Kochuba and Imran Lakha Published on: May 6th, 2021 • Duration: 42 minutes Imran Lakha of Options Insight and Brent Kochuba of SpotGamma are veterans of the options market, and they join Real Vision to shed light on how […]
SpotGamma Report for: 05/06/2021 AM
Daily Note: 4160 is the current futures price – flat to last nights close. There was little change in key levels overnight, with our models looking for a 90bps max move with 4200 resistance, 4150 support. We think a break of 4150 brings a quick test of 4100. Our sentiment remains the same: that markets […]
Dark Pool Reveals Sector Rotation Into Energy
SpotGamma’s new Dark Pool Dashboard breaks out the activity in Dark Pools by sector. This can reveal where large institutions are allocating their capital, and reveal some interesting trends (full FAQ). We break out the Dark Pool readings by sector in chart below, and color code them based on strongest (green) to weakest (red). Our […]
Parametric: Gamma Hammer
Parametric designes options strategies for large institutions like pension funds. In this case they are selling strangles to the tune of $5bn: From the FT: It is not a new strategy for the fund, which employs several systematic and rules-based volatility trading strategies, but people familiar with the activity say the fund pulled back from […]
The CLOV Gamma Pin
CLOV is a healthcare SPAC that is quite popular with the wallstreetbets crowd. It typically carries a very large amount of open interest, and along with that a lot of options gamma. Because of this CLOV seems to pin SpotGamma’s highest gamma strike. In the chart below you can see this highest gamma strike for […]
Nomura’s McElligott Talks Gamma on Macrovoices
Charlie McElligott talks several macro themes, and digs into deal gamma around the 44:30 mark. Topics include gamma flips, CTA deleveraging levels, and the large gamma dynamic.
“Banging Between Big Strikes” – Levels To Watch Ahead Of FOMC Statement
BY TYLER DURDENWEDNESDAY, APR 28, 2021 – 01:25 PM As we detailed overnight, today’s FOMC is widely expected to be “steady as she goes” with Biden conveying that the FOMC is not yet thinking about shifting its dovish stance. The only “risk” associated with today could be a “semantics” acknowledgement of better data (though we note the […]