“A lot of folks [are] pushing these VIX 1×2 Put Spreads trading in the market, looking to put this on as their ‘short vol’ trade expression to capture a [year-end] melt-up. Now, we see 3-month realized as the new trigger input as it is the max of the two lookback windows,” McElligott remarked Friday, noting […]
Market Analysis
INTC Post ER
Update: We posted this to twitter last night after INTC missed earnings and was down -10% after hours. $INTC is -10% after ER’s. There is a lot of OI at 50, particularly in puts. The bulk of those positions sit in the 11/20 exp, so there could be extended pressure into low 40s. (Often in […]
TSLA Has Less Spark
TSLA announced earnings last night which beat expectations and the stock reacted… fairly normally. No insane pops or drops. We think much of this tepid reaction is due to the relative lack of gamma compared to past earnings periods (see here). Below is a chart of the current gamma levels in TSLA, and you can […]
2020 The Year of the Customer Call
Fundamentals are dead Flows are the only thing that matters today Policymakers sought to stop a credit cycle with liquidity so people mistake liquidity for reality Financial gravity suspended, but not indefinitely, “flow guru” trading wins big in short term, but not long run — Christopher Cole (@vol_christopher) October 16, 2020 The 2020 markets have […]
Nomura 10/15 Gamma Update
From ZeroHedge A double-whammy of ‘soft’ Mnuchin confirmation that a fiscal “deal” pre-election is unlikely and the reacceleration of COVID-19 restrictions and closures across Europe, sparked a significant ‘risk-off’ move overnight with Nasdaq almost erasing all its gains for the week… But, as Nomura’s Charlie McElligott details, with stocks are the forefront of cross-asset risk sentiment, the talking-point on the […]
ZM ZOOM ZOOM
Call buyers are out in full force in ZM. Going into today there was ~250k calls outstanding. Today so far we’ve seen 150k calls trading, with 520-550 strikes in tomorrows expiration particularly active. Note below the 10/16 expiration call volume (left col) is heavily outpacing open interest (2nd from left). Going into today our EquityHub […]
Options poetry by McElligott
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 […]
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 […]