2.5 Trillion Reasons To Care About This Week’s ‘Quad Witch’ Options Expiration From ZeroHedge:Tue, 12/15/2020 – 11:55 Like all December option expirations, this month’s is large, with $2.5tln of SPX-linked options notional (linked to 8% of the S&P’s market cap) expiring on 18-Dec, but for a December, it is not extreme… Nomura’s Charlie McElligott notes […]
Market Analysis
TSLA Timeline into the S&P500 Add
TSLA will be added to the S&P500 Index next week, and will be approximately 1.5% of the index. We covered the mechanics of this add, here. The chart below highlights the key recent events, and some relevant future dates. The “$” markets indicate where Musk has received a bonus in the form of TSLA options. […]
Nomura Uses Our “Weaponized Gamma” Phrase
It was SpotGamma that coined the phrase “weaponized gamma” which Nomura uses to describe the current call mania. Read more from our September 8, 2020 post, “No, Softbank Didn’t Weaponize Options Gamma.” From ZeroHedge: The ongoing meltup in stock markets lifted global market caps above $100 trillion for the first time in history yesterday… Source: […]
Bookmap Presents: Index vs ETF Options Volume
SpotGamma gave a presentation to Bookmap users about the impact of ETF and Index options on ES futures.
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 […]
