SpotGamma™

S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest

Market Analysis

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 […]

PTON

Our HedgeWall and large options gamma strikes sit at 100 in Peloton stock (PTON) Update: PTON did have a nice bounce off of the 100 strike, most interesting is the liquidity that appeared at that level. Note the green spike in rightmost column, and the deep red as circled below.

BYND 17% Move Pre ER

BYND has earnings today. But first news broke about a partnership with MCD. The headline algos ripped the stock, which stopped directly at the largest call options strike of 170. To find more options based trading setups, go to our EquityHub.

Call Options at a Turning Point

Retail call buyers did not increase their buying last week – it was institutions (first chart). That being said a huge driver of the rally last week was likely put options being closed out (second chart). Lastly we point out that PutCall ratios are at historically low levels, right as a vaccine has come online.

Options Vanna & Charm

Two Greeks are increasingly mentioned as traders seek to better define the impact of the options market: Vanna and Charm. We wanted to provide some definitions and basic applications of these measurements in an effort to explain why these factors matter. This post will be seen through the lens of of an options dealer in […]

RIOT Starting

RIOT is quite interesting here as a potential bullish play. Its not a name with huge options volume, but being that its a trendy space (blockchain) and calls are low priced (retail can easily buy a bunch) we think the setup is interesting. If you note we pickup $4 strike as resistance (aka HedgeWall) and […]

VEXING VIX

Shorting VIX has been the big pre election play, and we noted recently during market draw downs that VIX put volumes have increased. This indicates VIX sellers are taking advantage of higher VIX prices to bet on a collapse in volatility. Today we note the S&P is down ~3% and the VIX Put Call Ratio […]

Options are a Larger Piece of the Liquidity Puzzle

Aretemis posted this graphic depicting the size of the options hedging market relative to other large flows. As options volumes increase its likely that volatility increases due to the mechanics of dealer hedging. Flows have killed fundamentals US Stock Market is now the derivative of the US Options Market …. a Frankenstein monster patched together […]