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 […]
Market Analysis
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 […]
SpotGamma Stock Analysis: ZM Zoom
Today (Friday 6/5) our stock options scanner picked up a large expiration in ZM options. ZM had earnings this week and this is likely why today has such a concentrated options expiration. Based on our model, we see that there is a large amount of Delta at the 200 strike that is set to expire. […]
SG Combo Gamma Index In Action
Our combined gamma SPX/SPY gives many fascinating levels for traders. As you can see in the chart the market will often use the large gamma strikes in this indicator as support and resistance areas. This proprietary indicator is for subscribers only.
Negative Gamma to the Upside
Pure speculation can drive markets higher. As you get people pouring into equities but also options. As investors buy long calls, that may force dealers (who are short those calls) to purchase the underlying. This is a gamma trap. Record retail account openings – CNBC Consider the video of this guy below. He used to […]
Speculators, Gamblers, Unite!
A strange thing has been happening in the options market recently, and I believe that is driving a lot of the intraday volatility we have been seeing. Yesterday (5/27) for instance, the S&P500 Index moved just under 100 total handles on the day. Take a look at the end of day snapshot of put volume […]
The Volatility Trigger for ES Futures Traders
Wednesday 5/27 was a great example of how the Volatility Trigger can be a key level in trading. The concept of the volatility trigger is that when the market moves below the Trigger, options dealers are short gamma. This may mean that they start to sell futures as the market moves lower, and but futures […]
Overnight Outperforms?
There is well knows research which shows that the overnight session in ES/SPX is the source of most of the positive market performance. This chart from Bespoke does a great job highlighting this. We have thought a lot about this, and had a theory that this out-performance may be due in part to options hedging […]
ZoneTraderPro Futures Trade Review
Our friends at ZoneTraderPro have a great trade review from Friday 5/22, where the incorporate SpotGamma levels into their unique ES futures trading signals and plan.