The GME squeeze is struggling a bit today as the stock is off $96 (30%) to $225. We think this could be the result of put buying in the stock. Option implied volatility has surged recently, sending the price of call options massively higher. You can see this reflected in the graph below. For example […]
Market Analysis
The Great Silver Gamma Squeeze
Silver prices were up over 5% last week as WallStreetBets switched its focus from stocks like GME and AMC, to silver and stocks like SLV and PSLV. As you can see in the chart below SLV surged on Thursday directly to the $25 strike, only to pin that level into Fridays close. $25 just happens […]
Weaponized Gamma Reloaded
The latest options data revealed that equity option call buying surged this week, blowing out the previous record week. Shown in the chart below is the total number of contracts bought to open netted against contracts sold to close. This suggests that traders on net did not elect to close out of their long calls […]
When YOLO goes “YOL-Oh No!”
Summary: Issue: SpotGamma believes that current markets reflect a great amount of risk and face the prospect of a violent drawdown. This is due to the following: Hedging: Low levels of options-based hedging. Short-Selling: Low levels of stock shorting. Speculation: High levels of margin used to buy stocks. Remedies: SpotGamma levels continue to be […]
Call Walls & SG Combo Strikes
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 […]
