• Skip to content
  • Skip to primary sidebar

SpotGamma™

S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest

  • Subscribe Now
  • Products
  • Blog
  • FAQ
  • Contact
    • About
  • Members
    • Account
    • Portal
    • Equity Hub 2.0

Oct 21 2019

Has Gamma Made the VIX “Useless”

Posting this as something to revisit later. Zerohedge posted the following recently:

If one observes a conventional indicator of prevailing risk sentiment such as the VIX, which is trading in the low teens and near the lowest levels over the past two years (and far below its long-term average of 20), one would be left with the impression that virtually nothing is keeping Wall Street up at night.

Which led to a thought about VIX as a hedge for things non S&P500. The VIX is derived from the prices of options in the S&P500 and those options are in part priced off of the historic volatility of the S&P index. If the S&P volatility is “dampened” by long gamma, then theoretically the VIX would maybe not reflect true equity market risk?

  • Click to share on Twitter (Opens in new window)
  • Click to share on Facebook (Opens in new window)
  • Click to share on LinkedIn (Opens in new window)
  • Click to share on Reddit (Opens in new window)

Written by Spot Gamma · Categorized: Market Analysis · Tagged: VIX

Primary Sidebar

Popular Posts

spotgamma-sidebar-weaponized-gamma-sidebar
spotgamma-sidebar-yolo-trade
did-softbank-weaponize-options-gamma-whale
goldman-gamma-op-ex-option-driven-equity-flow
spotgamma-on-the-market-huddle

Categories

  • Dark Pool (1)
  • Market Analysis (262)
  • SpotGamma Updates (4)
  • Stock (47)
  • Trade (3)
Follow @spotgamma on Twitter!
  • Subscribe
  • Disclaimer
  • Account
  • Portal

©2021 TenTen Capital LLC DBA SpotGamma