The following is a guest post courtesy of Michael Kramer of Mott Capital Management. The equity markets have had sharp drawdowns and extremely high volatility in 2022. While this dynamic has created a difficult backdrop for traders, the options market is playing a big role during these tricky times and SpotGamma indicators may provide an […]
absolute gamma
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 […]