We talk a lot of gamma, but here is delta in action. Someone sweeps up a bunch of SPX calls making market maker hedge right away. While everyone is checking for china tweets it turns out was just a hedge. Not he timestamp on the trades is 11 AM (blue box, left column) as is the big jump in market price (top green arrow)
Edit: I was partially corrected on twitter, the specific trade was listed below. Its still a trade that requires long delta hedge and the associated spike in SPX.
it was a ratio risk rev.. cust sold 1500 3090 puts to buy 37k 3180/3210 call spreads, paid $22mm
— Pat Hennessy, CMT (@pat_hennessy) November 7, 2019
