Options poetry by McElligott “Just like the Aug / Sep “pivot” from extreme grab to extreme vomit, if we were to continue rallying into Friday’s expiration, there will continue being a ton of stock to buy for the Dealers to remain delta hedged and extend the melt-up (i.e. late Aug)—but if we roll over and […]
Market Analysis
Nasdaq Explodes Higher Amid Unprecedented Gamma/Futures Double-Squeeze
From ZeroHedge Heading into the weekend, we observed that despite the recent drift higher in the Nasdaq last week after its September correction, institutional investors remained skeptical with a near-record number of non-commercial spec shorts in the Nasdaq 100 mini according to the latest CFTC Commitment of Traders report, and after spiking to a historic […]
News of “Gamma” is Hot
Options Vanna
There is a lot of talk recently about options Vanna and we wanted to address some of these points here. The basic concept as applied to our SPX/SPY models can be distilled to this: • When implied volatility (i.e. VIX) declines stocks go up• When implied volatility increases stocks go down Obviously there are many […]
Nasdaq Whale Resurfacing?
From Bloomberg: On Thursday, a combined $74.5 million worth of Amazon call options expiring in January and March changed hands, divided between two block trades. Almost $52 million worth of bullish Facebook options expiring in the same months traded in two transactions. Roughly $25 million was spent on similarly dated Netflix calls in two blocks, […]
JPM Gamma Update
We present updated gamma figures from JPM this morning. It syncs with our AM note that 3300 is the key level.
Options Action around a Wild Wednesday
The market was wild today with ES futures having moved almost 90 points from the overnight lows. Negative news about stimulus and vaccines halted the risk and the market broke sharply down to the key 3350 area. You can see below on the chart exactly how our two major levels fit into todays action.
Nomura Gamma 9/29/30
From ZeroHedge While JPMorgan could not agree last week if the month-end pension and fund flows (which according to one JPM quant at $200bn would be the largest forced selling since March, and according to another would be a “tailwind” for equities) would be positive or negative for stocks, one look at market gamma suggests that contrary […]
SQ Profile
SQ has been off to a strong start lately, with our model picking up 160 as a major area in the stock. You can see that above there gamma is positioned to support a shift into the 180 area. Below 160 we think the stock has more limited downside do to the concentration of calls/puts.
ES Futures 9/22/20
ES futures bounce off of our 3267 low and close right on the ZeroGamma level. Our levels are noted at left in the “Gamma” column. This is the Bookmap trading system.