Through an options market lens, the following text will add color to some recent market movements.
Market Analysis
Trade Analysis: NQ Futures (14 December 2021)
The following is a guest post from Doug Pless. When I plan to trade futures, I begin my morning preparation by reading the SpotGamma AM Founder’s Note. For NQ futures, I note Gamma Notional, and the Volatility Trigger, Put Wall, and Call Wall gamma levels for QQQ. I also look up QQQ in Equity Hub. […]
Trade Analysis: ES Futures (10 December 2021)
The following is a guest post from Doug Pless. When I plan to trade futures, I begin my morning preparation by reading the SpotGamma AM Founder’s Note. For ES futures, I note gamma levels, the SpotGamma Imp. 1 Day Move, the SpotGamma Gamma Index, and Gamma Notional for SPX and SPY. I also look up […]
How Changes in Implied Volatility Pushes Markets Around (aka the Vanna Trade)
Brent, Founder of SpotGamma, explains how the “Vanna Trade” works. As implied volatility changes, options dealers may have to adjust their hedges. Brent explains how this hedging flow can create large rallies or selloffs in markets. He also touches on the topic of charm, or the change in hedging delta due to time decay.
Trade Analysis: NQ Futures (29 November 2021)
The following is a guest post from Doug Pless. When I plan to trade futures, I begin my morning preparation by reading the SpotGamma AM Founder’s Note. For NQ futures, I note Gamma Notional, and the Volatility Trigger, Put Wall, and Call Wall gamma levels for QQQ. I also look up QQQ in Equity Hub. […]
The S&P 500 May Drop An Additional 10%
The following is a guest post courtesy of Michael Kramer of Mott Capital Management. On November 12, I warned that dreams of a seasonal run higher were in doubt and that an end-of-year melt-up could quickly turn into a meltdown. It seems that instead of stocks cruising into the end of the year, they have […]
19-Hour VIX Options Trade Surges as Stock Market Resumes Swoon
2021-11-30 17:28:36.362 GMT Bloomberg interviewed SpotGamma Founder Brent Kochuba about a large VIX trade on 11/29. By Lu Wang(Bloomberg) — A sizable bet that equity market volatilitywould worsen appears to have turned a tidy profit in less than aday.About $13 million was spent last night on 65,000 Decembercall contracts tied to the Cboe Volatility Index, […]
Trade Analysis: ES Futures (24 November 2021)
The following is a guest post from Doug Pless. As I have discussed in previous articles, I begin my morning preparation by reading the SpotGamma AM Founder’s Note when I plan to trade futures. For ES futures, I note gamma levels, the SpotGamma Imp. 1 Day Move, the SpotGamma Gamma Index, and Gamma Notional for […]
If These Bond ETF Levels Break, You Better Buckle Up
The following is a guest post courtesy of Michael Kramer of Mott Capital Management. There is instability in the bond market right now. In the face of a potential break, there may be a wave of volatility as market participants begin to price in changes to Fed monetary policy. Cracks are already showing as bond […]
SpotGamma on Bloomberg TV
Brent, Founder of SpotGamma, was on Bloomberg TV to discuss Fridays market selloff. Our view was that options positioning exacerbated headline risk that could result in a Santa Claus Rally. You can view that discussion here.