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.
Market Analysis
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 […]