Dispersion readings are hitting highs per @SPGlobal, particularly in Mid Caps, while correlation is moving toward lows and volatility is flat. What does that mean? Why does it matter? High dispersion means individual components of an index are moving more than the whole, similar to the idea of market breadth. Traders have complained that the […]
Market Analysis
The OPEX Effect: Feb Edition
SpotGamma Founder, Brent Kochuba, talks about the extreme call skews, and why that may lead to some stock price consolidation into the end of February.
Do Call Skews Signal Bulls Are Maxed Out?
With equities surging higher, the signs of rampant bullishness are percolating. Year-to-date, broad based equity indexes, like the S&P500, are +5.8%, while leading sectors like the SMH (Van Eck Semi ETF) have surged an eye-watering +17.8%. But, how do you know when the bullishness has gone from a “strong trend” to “exuberance”? For that, we […]
Comparing Earnings IV’s for Edge
In a recent Member Q&A session SpotGamma discussed how traders can analyze implied volatility and potential stock movements by comparing the relative moves and reaction of stocks in similar sectors. Here we look at the volatility & setup into SMCI’s earnings report, and its subsequent reaction, to guide us on what may happen for AMD […]
TSLA Volatility Falling Despite Being Down 10%
TSLA is down 10% after earnings, and our data is suggesting that if anything, TSLA options are now cheap! One would think that may lead to an increase in options implied volatility, as the implied move was just 6%. You can see this in the legend in our earnings dashboard, below. This shows us the […]
LLY Using Implied Volatility: a SpotGamma Options Case Study
Shares of LLY were +3.5% near $612 today, Wed Jan 3rd, despite broader market weakness (SPY, -0.55% orange). There was no concrete news around the increase in LLY shares, which led us to dive into options flow as a potential driver. We start with our HIRO indicator, which measures market maker hedging pressure based on […]
How 0DTE Flows Drove the 12/20 Selloff
On 12/20 the S&P500 experienced its sharpest selling in over 3 months, as the index rapidly declined 1.6% – seemingly out of nowhere. SpotGamma, in real time, flagged 0DTE trading as a likely culprit in a now-viral tweet: Its a 0DTE driven plunge in the S&P. you can see the spread here between bearish 0DTE […]
The OPEX Effect: November 2023
Listen to “The OPEX Effect” podcast – targeted to those of you will investing time frames past a few weeks. Here we cover some interesting trends in equity volatility, and breaking its link to interest rates. Also some call buyers in both the Magnificent 7 & cryptos.
Options Flow for ES Futures Traders
Brent from SpotGamma and pro futures trader Scott Pulcini walk through how futures traders can gain edge through options markets levels and flows.
Measuring Options Vanna, and its Impact, using VIX & Skew
In this video SpotGamma breaks down how to measure vanna impact, and why changes in options implied volatility can be a major driver of stock prices. We cover core concepts like, volatility premium, skew, and gamma.
