Market Analysis
Lets all Sell Puts?
Investors have turned to put options as a way to generate income. Strategically this can be a great strategy, but what does it mean when the MAJORITY of put options are SOLD instead of BOUGHT? In other words: the majority of traders are now using put options as income as opposed to insurance. The circled […]
1/20/20 Nomura Update
From ZH: Earlier today we discussed last week’s “very large” options expiration, which as SpotGamma calculated sparked a ~50% reduction in single stock gamma, which on one hand has left markets vulnerable to short-term volatility but on the other – as Nomura’s Charlie McElligott poetically put it – sparked a “gamma unchlenching” as evidenced by […]
WM Rally Due?
Waste Management (WM) may get a bid with an infrastructure package, and we note that the 120 strike is concentrating in size. The stock is currently at $115, and has held that level more or less since October. We think hedging around options positions may give it a boost up into $120. You can see […]
SpotGamma 1/18/21
We noted to subscribers on Thursday & Friday that we thought markets were entering a period with the potential for high volatility. This was due to Friday’s very large 1/15 options expiration which resulted in a ~50% reduction in single stock gamma as seen below. This creates volatility because as large options positions expired, are […]
TEVA $12 Pin & Release?
TEVA is up about 10% the last several days, with a lot of gamma concentrated at the $12 strike. Most of this (~60%) expires Friday, 1/15. We therefore have compression under the key level of $12 as out of the money calls decay and keep a lid on TEVA prices into 1/15 expiration. Our EquityHub […]
GME Ran Out of Options Strikes
GME stock closed at 31.58 today, +57%. This was a bit off its high of $38.38, or 90%. This stock traded 589k calls today, >375k of which expires in 2 days. Amazingly the stock “ran out” of call strikes, with the highest strikes being $40. Traders used that 1/15 expiration, $40 strike call to trade […]
TSLA Options For Sale
The week ending 1/8/21 saw a record high in TSLA options volume, with the stock surging nearly 20%. Traders have been flooding into weekly options as the way to express their views on the stock which was just recently added to the S&P500 Index. We view increased buying of call options as a driver for […]
“Full-Tilt Insanity Mode” – Nomura Warns This Week’s OpEx Is “Absolutely Going To Matter” For ‘Weaponized Gamma’ Crowd
Via ZeroHedge The world appears to be stock in what Nomura’s Charlie McElligott calls “Robinhood / YOLO / ‘weaponized gamma’” nonsense as the equity buy-to-open premium is soaring in individual stocks (and indices)… Source: SpotGamma Specifically, the Nomura MD notes that it is Op-Ex week, and the options positioning is absolutely going to matter, particularly off the back of […]
SpotGamma Report for: 01/11/2021 AM
Daily Note: Futures have retraced the late Friday moved from 3825 to 3790. Interestingly our Call Wall metric rolled higher to 3850, but notional gamma levels are down across all indicies. The likely reason for the Call Wall shifting higher was 30k put volume at 3800 and a small net reduction in calls at 3800. […]
