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Market Analysis
Opex Quadwitching Rebalance Market Shenanigans
We are posting this as a reminder to all those that want to play in the market during large OPEX days also known as Quad Witching. Below is snapshot from the CBOE official settlement page. It shows an opening price of 3161 which is where all of the SPX AM options would officially be marked. […]
SPX Options Expiration vs Equities
We spend a lot of time talking to our members about the lack of structure in the SPX options market. What we mean is the positioning in SPX options is just very small as seen in this chart below which maps total SPX call & put gamma. This has implications for markets not just at […]
Nomura June OPEX Update
“Following Friday’s Serial/Quarterly options expiry, we continue to see potential for a ‘Gamma Unclenching’ over the following 1w-2w period with currently ~47% of the $Gamma set to run-off” – Nomura’s Charlie Nomura marks a much lower gamma flip point of June options expiration, which would suggest markets may open in more positive gamma territory after […]
Nomura 6/12/20 Gamma Update
Watch possible “gamma sweating” should this turn lower again Nomura’s quant explains the move yesterday; And here is why this this matters: as stated in the note to this point, yesterday was classic butterfly effect knock-on, with a “macro catalyst” from the COVID wave #2 risk-off trade which then triggered “profit-taking-turned-stop-loss selling” from both tactical […]
LaDuc Trading: Risk Parity, Market Gamma & Option-Driven Equity Flows
This is a repost from a great article written by our friends at LaDuc Trading. Follow Samantha @SamanthaLaDuc. Recall the 1% Risk Parity Trade of March? I wrote about it here: Gone Fishing Newsletter: The 1% Outlier Event That Tanked Equities 30% – Mar 24, 2020 Back on March 18th, the S&P 500 was down 16% in […]
June Selloff Review
Markets were unable to hold gains on Friday after a sharp selloff on Thursday. While we initially opened over the gamma flip zone, markets broke that 3075 area and immediately sold down to the 3000 strike. This 3000 level is where we calculated the most options gamma and served as support. All of these levels […]
Goldman: All You Ever Wanted To Know About Gamma, Op-Ex, And Option-Driven Equity Flows
From ZeroHedge: In our daily observations of (bizarre) market moves (usually in the context of comments from Nomura’s Charlie McElligott and Masanari Takada), we frequently analyze the delta-hedging of option positions by dealers, i.e. gamma, which for a variety of reasons has emerged as one of the dominant drivers of risk assets (at least until […]
Equity Call Euphoria & OPEX Concentration
We have been reviewing the last 5 days of options data in light of reports showing record levels of call positions. Seen below you can see that call volumes have exceeded those of February 2020 – something we felt helped lead to the large drop in March. As you can see below our data suggests […]
The MGM Call Spectacular
Intrigued by the record amount of call buying we decided to take a look at options in one of the more speculative names: MGM. There wasnt much of a scientific process to select a name, we just jumped to Reddit /wallstreetbets and chose the first name they were excited about. It seems like these folks […]
