SpotGamma calculates the market level at which options dealers gamma position flips from long to short. We call this the “VOLATILITY TRIGGER” indicator. Below this S&P500 price dealers trading can increase market volatility, and over this level their trading may damped volatility. You can see over the last two days the markets drove hard into […]
Market Analysis
Stock Markets Gamma Squeeze 8/6/19
After several days of selling the S&P500 and other stock markets gamma squeeze higher. It appears to be a gamma squeeze play as options dealers were most likely forced to buy back short hedges. As implied volatility (e.g. VIX) goes down and put options are sold the delta of out of the money put options […]
SpotGamma Update 8/5/19
Our market model has dealers short gamma with the market below 2950. This means that dealers will push the market further in its prevailing direction. If the market is selling then dealers will push is lower. It also means that when the market snaps back up it will be a violent move.
Fed Day Market Move from a Gamma Perspective
Equity markets had an incredibly volatile day on 7/31/19 triggered by actions of the Federal Reserve. Its our view that the moves were exacerbated by the positioning of dealers in S&P 500 options. A quick wave of selling entered the markets just above 3000, pushing the market under our “volatility trigger” level of 2995. At […]
