Here is a brief summary of the October Negative Gamma move so far. On 9/30 around the 3000 level in SPX we calculated a long gamma position for the market, but that quickly changed due to a very ugly ISM print. Once the market punched through the 2970 volatility trigger level, dealers fueled the selloff […]
Market Analysis
The “Impeachment” Gamma Trap
Going to Tuesday we noted 2970 as the 0 gamma volatility trigger and on Wednesday we pushed below that volatility trigger level indicating we should see some large moves in the SPX. The chart of the past two days in ES futures is here: Here was our gamma run from 9/24: After the close on […]
Dealer Gamma Bank Chart Pack
As “dealer gamma” seems to becoming more prevalent there are more charts from various banks leaking out to the retail public. Here is a compilation of a few: Nomura more or less matches ours, but they combine SPX and SPY into one chart whereas we prefer to keep them separate. Morgans Stanley’s dealer gamma seems […]
Nomuras Options Gamma Update for September
The “Heisenberg Report” posts notes from Charles McElligott and his Nomura Options Gamma update for September. Its posted here to cross reference what our model derives. Now that the extreme long gamma dynamic that was pinning the index has rolled off, it’s possible things can start to move in earnest. On the upside, McElligott flags […]
Negative Gamma in Oil Markets
Bloomberg posts an article about the effects of negative gamma in oil markets. Its full of hyperbole, but portrays the general idea right. Traders frenetically sell futures to manage their options exposure; that drives down prices and brings more options into the danger zone; dealers are then forced to sell even more crude contracts. This […]
Gamma & Spy Going Ex-Div
Tomorrow SPY trades Ex-Div which means if you own SPY you will collect the dividend. Here is a brief thought expermient on why Ex-Div is bullish for SPY: If you are short SPY you have to pay out the dividend. If you are short ITM calls you will probably be exercised. If you own ITM […]
SPX Pin Risk Exemplified
The last two days have had large volume at the 3000 strike in the S&P 500 and this has held the market in a very tight range around….3000. With the Fed FOMC tomorrow volume is very low, so all that is left is for dealers to pin the market where all the options volume is. […]
Option Expiration Roll Starting?
Lots of volume at the 3k strike today, but so far only about ~45k of the ~125k traded expire in the next 3 months. Our tables from last night show about 330k of total OI at the 3000 strike for September. Last months CBOE Buywrite Index strike (BXM) was 2895, so those will be deep […]
Saudi Oil Attack Options Gamma
Here is a quick snapshot after the Saudi Oil attack – options gamma is still quite long with over $1bn long gamma per point in the S&P500. This may have had an effect on muting or “deleveraging” the reaction to the news about the Saudi Oil attack. There was a very large move in crude […]
Large Options Gamma Roll 9/20/19
September 20th has a large options gamma roll ahead in the S&P500 (SPX, SPY). There are substantial call and put positions and there was obviously a lot of movement up this month. We also have the Fed which is expected to lower rates by 25 bps. This could provide a market catalyst just as large […]