SpotGamma recently began investigating a link between 0DTE options volumes and treasury auctions. The first research was posted in our Founder’s Note, and picked up by ZeroHedge: From ZeroHedge: Bonds and stocks were nicely correlated after the US cash open and traded in sync before decoupling around the European close… However, zooming in on the […]
Market Analysis
Nomura on 0DTE Options Volumes
From Eric Wallerstein @WSJ: “Nomura’s Charlie McElligott on 0DTE options: Volumes aren’t inherently a sign of apocalypse: flow can exacerbate intraday moves, BUT much of the volume likely electronic market makers trading for risk positioning, creating noise that can ‘net out’.” “However, potentially an arbitrage opp because no need to post margin with prime brokerages […]
Implied Volatility Compresses at Stock Market Highs
SpotGamma sees evidence that we are at an interim high due to implied volatility compressing at levels which are near long term rates of reazlied volatility. In the chart below we have the SPX(green), 1 month realized volatility[RV], or, how much the SPX has been moving (orange), and 1 month implied volatility[IV], which tells us […]
Get Comfortable with VIX Up, Market Up
TL;DR: SpotGamma believes that there will be many periods of high call buying as traders protect against missing market rallies. 2023 will be the year that the VIX index shifts from being known primarily as a “fear indicator” to the “fear of missing out indicator”. This is because traders will be increasingly concerned about missing […]
The Record Put Call Ratios Do Not Mean What You Think
A great deal has been made recently about the record CBOE Equity Put Call ratio, with many speculating this metric had dire implications. These alarmists assume that this metric is suggesting large amount of puts are being purchased in order to hedge downside movement in single stocks. SpotGamma’s has made an extensive effort to dispel […]
Trading Options Against Resistance
Using the Founder’s Note to Structure Trades In this video SpotGamma highlights how subscribers can use the concepts laid on in our Founder’s Notes to inform trade ideas. Here we analyze why we think there is heavy resistance at market prices above, and suggest a few ways traders can consider playing that resistance. No matter […]
SpotGamma on TrendSpider TV: How Options Impact Stocks
Brent Kochuba, founder of SpotGamma, walks viewers through an example of how options volume translates directly to stock trading.
Record Put Call Ratios Do Not Signal Market Fear
These ratios include US Options volumes across all exchanges, and filter out ETF & Index options. Much is being made recently about record put/call ratios in US equities. Some measurements show that the put/call ratio is how higher than that of March 2020, which was when markets crashed violently in response to the onset of […]
The Impact & Risk of Short Dated Options Volume
SpotGamma was one of the first analysts to flag the rise of ultra short-dated options (dubbed “0DTE”) volumes in the S&P500 Index, or SPX. We brought this to the attention of the WallStreet Journal back in September of ’22, and since then the volumes tied to short dated expiration options volumes have exploded. Accordingly, we […]
