Daily Note: Negative gamma forecasts major moves, and that manifested in the form of another big rally, with the SPX +1.4%, QQQ + 2.3% and IWM +2.4%. The VIX took an absolute pounding, losing 4 pts (-18%) to 18.81. Keep in mind this was pushing 30 earlier this week. SPX options volume was heavy 1.6mm […]
SpotGamma Report for: 05/14/2021 PM
SpotGamma Report for: 05/14/2021 AM
Daily Note: Futures have pushed higher to 4130 overnight. We mark SPX, SPY, QQQ and IWM all in negative gamma territory. This level of gamma in the SPX equates to a 1.26% est move on the day. Accordingly we mark 4100 as critical support, a large Combo strike at 4136, and 4165 overhead resistance levels. […]
SpotGamma Report for: 05/14/2021 AM
Daily Note: NOTE TO FOLLOW PREOPEN Model Overview:Markets are under a negative gamma regime. Look for high volatlity, with large swings in markets. 4000 is key support, with major resistance at 4200 into 5/21 OPEX. SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ Ref Price: 4123 4109 410 13178 319 SpotGamma Imp. 1 Day […]
SpotGamma Report for: 05/13/2021 PM
Daily Note: Quite a snap back rally, fueled by short covering off of the back of an intense volatility crush. The S&P closed +1.22%, QQQ +0.77% and IWM +1.84%. SPX options volume was high at 1.2mm contracts, and a (very) put heavy 2.2 PC ratio. This reads like both but covering and new put positions. […]
Todays Option Vanna Rally
We’ve written about some of the major risk signals showing over the last several days/weeks, and those risks manifested in a 4-5% drawdown over the last few trading sessions. Todays bounce appears to be mainly off of the closing of short term put options trades (delta hedge unwind) along with a crush in implied volatility. […]
SpotGamma Report for: 05/13/2021 AM
Daily Note: Futures checked lower to 4010 overnight, but have rebounded to 4060. Markets are set to open under a large negative gamma regime, and as such we are looking for substantial volatility. Our major support level is 4000, with resistance at 4110. We must lend attention to “vanna” today as options are quite sensitive […]
SpotGamma Report for: 05/13/2021 AM
Daily Note: A rough day in markets, with volatility expanding sharply. We’ve felt a bit like "boy who cried wolf" warning of this risk, but it was realized today with the SPX – 2.12%, QQQ -2.59% and IWM -3.25%. The VIX jumped significantly, opening near 22 and closing on the highs at 28.38. Options volume […]
SpotGamma Report for: 05/12/2021 PM
Daily Note: Markets were under consistent pressure today, with volatility expanding sharply. We’ve felt a bit like “boy who cried wolf” warning of this risk, but it was realized today with the SPX – 2.12%, QQQ -2.59% and IWM -3.25%. The VIX jumped significantly, opening near 22 and closing on the highs at 28.38. Options […]
SpotGamma Report for: 05/12/2021 AM
Daily Note: Futures are slightly off from last nights close to 4137. They did test lower overnight, with a low of 4110. It seems as there is some mean reversion to this market, with any push under ~4125 being brought back toward the 4150 strike. If 4100 does fail, then we maintain that this mean […]
ARKK Gamma & What’s Really Behind The QQQrash? Nomura Gamma
From ZH: Nomura’s “futures imbalance” monitor showed enormous sell pressure all day in NQ futs across all lots sizes (the largest in at least 1m), but particularly in our medium- and large- lot buckets, proxies for large HFs and Asset Managers aggressively selling / shorting… Two things were behind the QQQcrash – ARKK’s vicious circle and CTA Deleveraging. […]