SpotGamma gave a presentation to Bookmap users about the impact of ETF and Index options on ES futures.
Market Analysis
BlackBerry BB Options Decay
Blackberry stock surged after news it was working with AMZN. This led to massive call buying, which likely helped to push the stock up as dealers must delta hedge. You can see the stock pushed up near 10, and is currently down at $7. As call buyers stopped theta stepped in, and all those calls […]
SoftBank Unwinding Options Book
From Bloomberg: The Japanese conglomerate is letting its options expire, instead of maintaining its positions, the people said, who declined to speak publicly. About 90% of the contracts will close out by the end of December. The fair value of SoftBank’s futures and options positions came to $2.7 billion at the end of September, or […]
PLTR Surges on Call Buying
PLTR stock is up 20% today and as much as 80% in a week. While Citron has initiated a short into this rise, bullish Palantir posts are heavy on reddit/WSB. Our options data shows traders have concentrated their bets at the $30 strike, with a lot of that position expiring today, 11/27. We mention this […]
Wall Street Dealers in Hedging Frenzy Get Blamed for Volatility
From Bloomberg: Two professors have just lent academic heft to a suspicion running rampant on Wall Street all year: The options market is whipsawing share prices like never before. As retail investors spur a boom in derivatives trading to rival actual stock volumes, dealers rushing to hedge themselves are said to have fueled the 2020 melt-up in tech names […]
Call Wall Victorious
As posted on ZH:
TSLA Added to the S&P500
Last night the S&P announced that TESLA (TSLA) would be added to the S&P500 (SPX) Index by Monday 12/21. What this effectively means is that anyone that has funds (pensions & other large asset managers) indexed to the S&P500 will need to purchase TSLA stock, and will sell whichever stock(s) TSLA is replacing(TBD). As TSLA […]
PTON
Our HedgeWall and large options gamma strikes sit at 100 in Peloton stock (PTON) Update: PTON did have a nice bounce off of the 100 strike, most interesting is the liquidity that appeared at that level. Note the green spike in rightmost column, and the deep red as circled below.
BYND 17% Move Pre ER
BYND has earnings today. But first news broke about a partnership with MCD. The headline algos ripped the stock, which stopped directly at the largest call options strike of 170. To find more options based trading setups, go to our EquityHub.
Call Options at a Turning Point
Retail call buyers did not increase their buying last week – it was institutions (first chart). That being said a huge driver of the rally last week was likely put options being closed out (second chart). Lastly we point out that PutCall ratios are at historically low levels, right as a vaccine has come online.