Market Analysis
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 […]
April 1st New Product Release
SpotGamma has released many new products to kick off Q2 2021! All of these features are available through our subscriber Portal. Not a subscriber? No problem, you get full access to our platform here. S&P500 Vanna Charts Dealers hedging activity must account for the way implied volatility shifts. We believe this can have a big […]
JPM Options Update
From ZH Last August, just before we learned that SoftBank was forcing a marketwide gamma squeeze in tech names, a little-followed quant at JPMorgan, Peng Cheng, came out with what may have been the most prophetic at the time market analysis, when he – unlike his “strategist” peers at major banks were trivially hiking their S&P year-end […]