We like to post the banks gamma model output as way to check our own models. The two line up almost exactly. For now, US equities are “pinned” thanks to helpful greeks – at least until something really bad happens. “The fact remains that SPX will stay ‘sticky’ up here between the enormous 3100- ($9.4B […]
gamma
Action on “China Phase 1 2020” Selloff
Here is our view of the trading day today. The market started off the day long abut $2bn in gamma and at the lows of the day it was down to ~$1.75 bn. Despite the reduction that is still a hefty amount of gamma that supports a mean reverting market. On top of that we […]
Gamma vs Realized Volatility
Gamma appears to give traders an edge in predicting market volatility. Here we show the last few months of historical volatility as a quick method to back up this point. Volatility does not imply a direction in the market, just expanded movement. Often this is correlated with market drops, but also rapid rises as seen […]
Nomuras November Gamma Report
From Heisneberg we get a glimpse into Nomuras gamma view, which seems to coincide with what we see. Namely gamma is about as high as we’ve ever seen, this past week hitting $2.7 billion compared to an all time high of ~$2.9bn in August of 2018. At the same time, investors have leaned into equities […]
Gamma Does Exist! Pin Edition
3075 dominated volume and $SPX closes 3074.77. Gamma forecast was range of ~15 handles on day. Here is an explainer on market gamma for those new to the concept.
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) and that the 3100 strike currently holds the key to the next move in the SPX. November SPX expiration may help to get things moving – you can see in the chart below there is […]
Does Gamma Create Overnight Market Out-performance?
One of the working theories we’ve had is that the out performance of the S&P500 during the overnight session is due to market gamma. The idea is that options dealers gamma hedging keeps the market in check during cash sessions, and overnight the market can move about more. The chart below shows how much more […]
Why Market Gamma May Be Useful for Futures Traders
Here is a quick example to illustrate how market gamma may be useful for a futures trader. The last week SpotGamma has calculated a very large amount of gamma in the market, north of $1 billion. That predicts a tight, range-bound market. Below is a chart of the last month, the yellow box highlights a […]
Why Market Gamma Levels Matter
Here is a very low level primer as to what dealer gamma means and why those levels appear to influence the markets. There are many assumptions and oversimplifications made here. See our other articles and FAQ for more detailed information. Dealer gamma is a dollar value that estimates how much options dealer may have to […]
Gamma Effect Seen In Index Movement
Lets classify this as what it is: speculation (at best) but its quite interesting on days like yesterday when the S&P is down only 34bps while Nasdaq and DOW were down ~90bps. Yes, Boeing (BA) hurt the DOW in particular but that wouldn’t explain the Nasdaq performance. The theory that should be bookmarked here is […]
