Charlie McElligott talks several macro themes, and digs into deal gamma around the 44:30 mark. Topics include gamma flips, CTA deleveraging levels, and the large gamma dynamic.
Market Analysis
“Banging Between Big Strikes” – Levels To Watch Ahead Of FOMC Statement
BY TYLER DURDENWEDNESDAY, APR 28, 2021 – 01:25 PM As we detailed overnight, today’s FOMC is widely expected to be “steady as she goes” with Biden conveying that the FOMC is not yet thinking about shifting its dovish stance. The only “risk” associated with today could be a “semantics” acknowledgement of better data (though we note the […]
SpotGamma’s FOMC Preview April ’20
JPMorgan: Clients Are “Increasingly Nervous”, Fear “A Market Pullback In May Or June”
BY TYLER DURDEN SUNDAY, APR 18, 2021 – 08:49 PM Much to the delight of bulls everywhere, the past month has been a relentless meltup in stocks, commodities, cryptos, and – paradoxically over the past week when we have been bombarded with stellar economic data – Treasurys as well. After dumping at the end of […]
Calm Before The Storm? Goldman Says ‘Buy The Dip’ In VIX
BY TYLER DURDEN MONDAY, APR 19, 2021 – 11:25 AM After Friday’s big option expiration, SpotGamma points out that both QQQ and IWM start the week at/in a negative gamma position, which implies higher relative volatility in those indices. There is also now a very wide range in distribution of SPX gamma (gamma is shallow and evenly dispersed 4100-4200 with […]
$544 Billion In Options Expire Today: Here’s What Will Move
$544 Billion In Options Expire Today: Here’s What Will Move From ZeroHedge While it’s not quad (or even triple) witching day, today’s a whole lot of weekly options will expire, may of which will be worthless, and others will be providing a supporting “pin” to underlying prices. It’s why, even though we are enjoying a […]
The Next Gamma Squeeze
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 […]
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 […]