From heisenberg: Charlie McElligott, Nomura: “As VVIX & Skew went ‘bid’ BIG TIME yday, this indicates that the market is now once again beginning to price-in ‘tail’ scenarios”, “[That] offers attractive risk-reversal opportunities to play for an upside S&P breakout following a potential ‘hedge puke’”, he added, noting that in the event we do get […]
Market Analysis
SPX Long Gamma Backtest
Recently an interesting chart was posted on twitter with the backtest of the SPX vs a strategy of owning the SPX only when gamma was positive. This brings up a few interesting points about long gamma and what we think its viable for. Below this chart are some comments and notes regarding the value of […]
December 2019 Market Decline Review
Here is a chart outlining how we saw the selloff during the first week of December 2019. There was record high gamma going into the first week of December which indicates that call:put ratios were at extremes. After a few negative tweets about trade and a poor ISM number selling started, and put buyers stepped […]
SocGen Zero Gamma Chart History
Here is a backtest of where SocGen calculates where positive gamma changes to negative gamma in the S&P500 (SPY). You can view our historical chart here. The concern is that a move through the zero gamma level may set a “gamma trap“. Our FAQ has more information: Zero Gamma Level: This is the estimated level […]
SocGen: November 2019 Largest Positive Gamma Ever
We had recorded extreme readings as well, but our data didnt go back nearly this far.
Nomura’s Gamma December Note
Our model has gamma flipping at 3065, Nomuras is a bit higher. From ZeroHedge The interpretation of Trump’s “better to wait until after the election” for a China trade deal comments is that the Hong Kong human rights bill sponsorship by POTUS has clearly caused agitated the Chinese side (plus this morning’s Reuters report stating […]
Strike of the Deltas – Can Put Deltas Move the Market Down?
Interesting day in the market today as numerous China related headlines took away a futures rally that was testing all time highs. Its our view that much of the selling today was due to put buying. It seems there was a decent amount of slightly OTM puts trading, combined with a large move up in […]
Tracking Deltas on a Large Expiration
Today is an interesting setup that we’d like to document. Currently its Wednesday afternoon with Thanksgiving tomorrow. Therefore tomorrow US markets are closed and a 1/2 day Friday. We picked up on our charts a large amount of at the money (ATM)/slightly in the money ITM calls expiring on Friday at the close. You can […]
Nomura’s McElligott Explains The ‘Perfect Virtuous Feedback Loop’ As Gamma Gravity Pins Equities “Intraday movement is squelched”.
From Heisenberg a great note from Nomura which syncs with what we wrote in recent weeks and to our subscribers. “Price movements over this summer once again clearly emphasized the spot/gamma/realized vol dynamics”, SocGen wrote, in a September note documenting a crucial dynamic that can always be described as “underappreciated” until everyone understands it. “All […]
Why Track Gamma, Not Delta?
This question of why we track gamma and not delta comes up fairly often. (For those needed a level one primer on delta vs gamma go here: OptionsPlaybook. If you need a primer on options market makers check here.) Our belief is that when options market makers (MM’s) start and end each day delta neutral. […]