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correlation

May 10 2020

Morgan Stanley VIX & SPX Market Gamma Update

Line chart of cumulative vol-target equity flows 2017-2020 next to bars of expected option and ETF gamma vs S&P 500 return.

From Zerohedge we see some nice Gamma related research from Morgan Stanley. Posted below is their note. By Chris Metli of Morgan Stanley Quantitative Derivative Solutions The March 2020 equity selloff ushered a huge volatility shock that caused unprecedented losses for short volatility strategies.  The impact is likely bigger than just a one-time hit to […]

Written by tenten · Categorized: Market Analysis · Tagged: correlation, long gamma, morgan stanley, short gamma, VIX

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