Defiance ETFs introduces a new fund, the Defiance Nasdaq 100 Enhanced Options Income ETF (ticker QQQY), tapping into the trend of zero-day-to-expiration contracts (0DTE). Defiance also plans to expand its offerings with derivatives linked to the S&P 500 and Russell 2000. Designed to maximize income, QQQY writes puts on the Nasdaq 100, seeking to offer […]
Market Analysis
Triple Witching September 2023 OPEX a Volatility Chokepoint
There are several major events colliding in mid September, with 9/13 CPI printing in-line with traders expectations. We now turn to 9/15 OPEX is quite large. Triple Witching OPEX Sep OPEX times with several major events: Our view is that Septemers large expiration has suppressed volatility for the last several weeks, as seen in the […]
Analysis: The CBOE 0DTE Report
Everyone’s talking about options flows and how same day (0DTE) trading is impacting market prices. While options flows do not drive stocks *all* of the time, there are critical moments when these flows directly influence stock prices. For 0DTE in particular, it’s the buildup of Delta that can move markets. In September 2023, the CBOE […]
JEPI Options Strategy Straight from the Portfolio Manager
JEPI Portfolio Manager Hamilton Reiner appeared on Animal Spirits and gave several critical insights into how the strategy works. JEPI is one of the largest ETF’s in the world, with $28bn in AUM. The growth of this ETF has been tremendous, as shown in the top chart, below. Hamilton may be best known in the […]
How 0DTE Options Flows Move Stock Markets
What a legendary post! Spot on. $SPX 4400 it is! @spotgamma https://t.co/1dbjB9eo8p — magicavi (@magicavi89) August 25, 2023 The following analysis was revealed in real time both to our SpotGamma members, and posted to our Twitter account, in real time. On Friday August 25th Fed Powell gave a speech at the Jackson Hole symposium. This […]
August 2023 OPEX: Will volatility break out?
**Access to a full list of stocks with estimated IV Rank impact is available at the end of this article** SpotGamma Models Reveal IV Rankings for OPEX Trading + Analysis Despite the 3% decline in the S&P 500 over the month of August, both S&P 500 realized volatility and implied volatility has remained muted. “Market […]
Did Michael Burry Spend $1.6 Billion on Puts? NOPE!
The media is excited about the recent 13F filing from Michael Burry, which suggests that he owns a large put position in the SPY & QQQ ETFs. However, the actually position is not that big. This is due to the strange way that the regulators value options. The dollar amount listed on 13F (middle column) […]
Noel Smith: Volatility, Correlation and Edge
Below is an automated transcript of our conversation. As it is automated, please forgive any grammatical errors. [00:00:00] Brent Kochuba: Joining me today is Noel Smith of Convex Asset Management. And the reason I want to have Noel on today is because there’s all sorts of interesting things happening in the volatility landscape. [00:00:08] And […]
How Changes in Interest Rates Impact Options Prices: A Comprehensive Guide to “RHO”
Understanding the dynamics of options pricing is essential for anyone delving into the world of options trading. Among the various factors affecting options prices, changes in interest rates play a significant role. In this article, we’ll break down the relationship between interest rates and options prices, and how to navigate this complex landscape. The Basics […]
VVIX, Vol-of-Vol and Stock Market Returns
After the market close on August 1st, the Fitch rating agency downgraded US debt. This brought a bit of volatility to US stock markets on August 2nd. The downgrade was the first such occurrence since Standard & Poor’s downgraded the U.S.’s long-term sovereign credit rating from AAA to AA+ on August 5, 2011. Markets were […]