Big Banks Get Stuck… Then Unwind Before presenting our view on the next potential “gamma squeeze”, we want to share a theory of what may have driven the strong stock market performance over the last few weeks. On March 25th, it was revealed that a large fund, Archegos, had blown up. Archegos did what many large […]
Market Analysis
Dark Pool Example – Altria (MO)
We are excited to share how the SpotGamma Dark Pool Indicator is providing insights relative to off-market stock purchases. We have analyzed many stocks and chose to share an example of a stock with fairly average returns over the past year: There appears to be a clear takeaway that, historically, stocks tend to outperform following […]
Nomura Gamma Update
A “Fairly Rare Phenomenon” Occurs In Equity Options Land BY TYLER DURDENMONDAY, APR 12, 2021 – 10:15 AM US equity futures have traded the high to low range of Friday’s late-day meltup mania since they opened last night as a modest Asian derisking (following disappointing Chinese credit data, particularly with concerns surrounding the sharp decline of […]
SPX Options Vanna Into the April Rally
The S&P500 has been surging the last several days, following several large options expirations at the end of March. With this we have seen a change in the forecast of our vanna model, which we use to forecast dealer buying or selling pressure. Vanna is the change in an options delta for a change in […]
April 1st New Product Release
SpotGamma has released many new products to kick off Q2 2021! All of these features are available through our subscriber Portal. Not a subscriber? No problem, you get full access to our platform here. S&P500 Vanna Charts Dealers hedging activity must account for the way implied volatility shifts. We believe this can have a big […]
JPM Options Update
From ZH Last August, just before we learned that SoftBank was forcing a marketwide gamma squeeze in tech names, a little-followed quant at JPMorgan, Peng Cheng, came out with what may have been the most prophetic at the time market analysis, when he – unlike his “strategist” peers at major banks were trivially hiking their S&P year-end […]
Groundhog Day
The current setup feels eerily familiar. In January of ’21 we wrote a note called “When YOLO goes YOL-OH NO!” which outlined the risks embedded in this market. At that time, we viewed market downside risk was high based on: Large speculative call positions which increased leverage and market volatility Small relative put positions which […]
Pre FOMC Nomura Gamma Update
From ZH: With less than 24 hours to go until one of the most closely watch Fed announcements in a long time, the VIX finds itself hanging just below 20, the gamma gravity in the S&P is at 4,000 while dealers remains short Nasdaq/QQQ gamma (which however is shrinking by the day). In short, depending […]
SpotGamma on The Market Huddle
Brent (Founder of SG) was on The Market Huddle this week, starting at the 1:00:00 mark:
SPX SPY Options Vanna
Options Vanna is the delta adjustment required for a change in implied volatility. When we model market makers options hedging activity, we adjust options implied volatility to understand how hedging flows might impact the stock markets. Market makers likely hedge SPX and SPY options with ES futures, so these hedges may have a large influence […]