Get a FREE 5 Day Trial of SpotGamma! Click here. Daily Note: Futures are down sharply to 4370, and both gamma and vanna are setup to push volatility today. As we start with a sharply negative gamma position, the SG Implied S&P500 max move for today is a large 2%. This negative gamma position doesn’t […]
Market Analysis
Stocks With Large Options Positions Expiring on 9/17/21
Friday, September 17th is a large Triple Witching expiration which means that many stocks/ETFs/Indicies have large options positions that will be closed at 4pm EST on Friday. At SpotGamma we believe that when large options positions expire it can spark volatility in stocks. Our models estimate over 50% of single stocks have their largest options […]
Goldman: A Record $2 Trillion Options Just Traded; What It Means For Friday’s Massive Quad Witch OpEx
H/T ZeroHedge SEP 14, 2021 – 11:21 AM Now that stocks have emerged from their 5-day losing streak, narrowly averting 6 consecutive days of declines which would have been the longest such streak since the February 2020 depths of the covid crisis, attention shifts to the market’s technicals and especially Friday’s upcoming quad-witch which sees […]
Trading NQ Futures Using Vanna and HIRO
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 Report when I plan to trade futures. For ES futures, I note gamma levels and key metrics for SPX and SPY. For NQ futures, I note Gamma Notional, and […]
CNBC “What Is It About the 18th/19th Day of the Month?”
Carl Quintanilla, +20 year host of CNBC seems perplexed by what happens on the 18th/19th day of each month. Options expiration. Bounce.Bounce.Bounce.Bounce. What is it about the 18th/19th day of the month?(h/t @NorthmanTrader) pic.twitter.com/BxJGrSKcyX — Carl Quintanilla (@carlquintanilla) August 23, 2021
This Might Not Be a September to Remember: Options Expiration + FOMC Risk
The following is a guest post courtesy of Michael Kramer of Mott Capital Management. The September monthly options expiration, which also happens to be a quarterly quadruple witching, occurs just days before the next FOMC meeting. As noted previously, the market appears to be anxious about this upcoming meeting, and it is easy to understand why. The prospects […]
Reflexivity & the Weatherman
There is a phenomenon called “Warning/Alarm Fatigue” where people can become desensitized to warnings and risk. This is commonly associated with weather forecasts in which people may ignore alerts if they are too frequent, or have been recently incorrect. We’ve all experienced times when meteorologists predict major storms, only to find a bit of rain. However, there are often […]
Trading ES Futures Using HIRO and Vanna
The following is a guest post from Doug Pless. As I have discussed in previous articles, I begin my morning preparation by gathering information to help develop a thesis for the day when I trade futures. My thesis includes the following items: Directional bias Anticipated volatility Trading range for the day My primary sources of […]
Option Wall Stats
SpotGamma just completed a comprehensive statistical review of two of our key metrics: the Call wall and Put wall. These levels reflect very large concentration of call gamma, and put gamma respectively. Our working thesis is that the Call Wall provides stiff resistance to the S&P500, and works as a “cap” to prices. Conclusion: Call […]
Trading ES Futures Using HIRO
The following is a guest post from Doug Pless. When I trade futures, I begin my morning preparation by gathering information to help develop a thesis for the day. My thesis includes the following items: Directional bias Anticipated volatility Trading range for the day My primary source of information is the SpotGamma AM Report. For […]