ZeroHedge posted an article Friday that caught a lot of attention. Basically they claim that a firm got a tap on the shoulder from the risk department and were forced to close out positions. This may also have been a Margin Call. If someone got tagged (allegedly) doesn’t really matter to us, what happened in […]
Market Analysis
March ’20 Nomura Gamma
Great post from Heisenberg about Nomura and SocGen Gamma reports below. This chart went up on Thursday 3/5 – here is the SpotGamma gamma chart for reference: In “We’re All Momentum Traders Now”, I spent quite a bit of time attempting to drive home one overarching point: Directional moves over the past two weeks have […]
Poor Liquidity & Negative Gamma: Volatile Stuff
We’ve written extensively about negative gamma and poor liquidity during volatile markets, and wanted to post some of those effects in real time. ZH posted an article framing how bad liquidity in ES futures is, note the chart below: as the following chart from Deutsche Bank shows, overall liquidity for S&P500 futures has fallen to all […]
Nomuras View of Feb 2020 Crash
My view of the past week has been this: The markets slipped into negative gamma on Monday 2/24 under the narrative of Coronavirus fears. As large concentrations of puts went in the money their hedging requirements increased, meaning gamma got more negative as the market moved lower. Once in negative gamma territory options dealers change […]
Searching for a Market Bounce: Feb 2020
Below are a few charts that we’ve been watching as we’re in the midst of the Crash of Feb 2020. Several indicators are showing extreme readings and we wanted to chronicle those. If you have one you think we should add email us: sg@spotgamma.com. One of the things we look at “Gamma Tilt” which is […]
February 2020 Selloff & Gamma Trap
There has been relentless selling during the end of February attributed to Coronavirus fears. There are clearly sellers of all types active in the current market, but much of this selling may be attributed to negative market gamma and the “gamma trap”. As you can see below on over the weekend of Feb 24th futures […]
Gamma Tilt & Market Bottoms
One of the indicators we watch for a potential bottom is Gamma Tilt – or the ratio of call gamma to put gamma. When this level hits lows it may be an indication that the market is oversold. Currently the S&P500 Index is about 8% in ~5 trading days. Here is the current indicator for […]
SpotGamma 2/24/20 AM Report
We’ve moved well through the zero gamma area and are testing the first “put wall” and “absolute gamma strike”. Puts are now in control of gamma which indicates more volatility ahead. I would not look at the put wall as a solid support line, but more of a pivot or “band” around which larger moves […]
Feb 2020 OPEX Roll
Today (2/19) we are looking at the size and potential of the Feb SPX AM OPEX roll that takes place on Friday (2/21). As you can see below there are some decent sized call positions which will have to be addressed – either closed or rolled. You can see there are some decent sized positions […]
Feb 12 – Absolute Gamma Bounce
ES Futures moved sharply lower overnight on 2/12-2/13 as fears of the Coronavirus moved higher. This created selling pressure which went unchecked until markets hit the key 3350 level. Its at this level which we measured the highest level of “Absolute Gamma” which the absolute value of call gamma + put gamma. We also calculated […]