As per Bloomberg, Skew (which measures the price of calls vs puts) can often spike when investors are concerned about […]
gamma trap
SocGen Zero Gamma Chart History
Here is a backtest of where SocGen calculates where positive gamma changes to negative gamma in the S&P500 (SPY). You […]
The January 2018 Market Analogy
We’ve been seeing extreme call/put measures the past several weeks and these extreme measures only give way to more extreme […]
Monitoring the Call Gamma Squeeze
The idea has been that the roll-up of the 3050 calls to 3100 calls has caused a squeeze (see here) […]
Call Roll Gamma Trap
Most of the time when we talk about “gamma traps” people assume its a downside only event. I don’t think […]
The “Impeachment” Gamma Trap
Going to Tuesday we noted 2970 as the 0 gamma volatility trigger and on Wednesday we pushed below that volatility […]
Short Gamma vs Long Gamma
As dealers were short gamma for most of August they have moved to long gamma. Below is a chart comparing […]
The Options Gamma Trap
Much has been made recently of the ominous “options gamma trap” and its potential effects in stock markets. What is […]
“ALGOS” will Destroy the World! Gamma Traps and Liquidity
Good article here about active/passive investing and the thread of robots breaking the market. There is a good description of […]
FED, TRUMP, Gamma Trap: Crazy Trading Day 8/23/19
Fed gave a speech that was “volatility dampening” at 10AM. Trump didn’t like what the Fed had to say so […]
