Volatility will continue to reign until (if) the market recaptures 2920. There is a ton of fuel ready to burn and one headline (or tweet) will send the market flying. The only recommendation that is safe here is to not sell any options, being short volatility is very dangerous here, as a >3% rally is […]
market makers
Dealers Running Out of Gas 8/16/19
After a sharp rally this morning the S&P500 stands at ~2890. This is where dealers buying starts to soften up. You can see their volume profile in the chart below. They were strong buyers up to this level but we calculated 2891 as the level where their buying wanes and 2920 where they flip to […]
Dealer Futures Flow 8/14/19
Here is a chart estimating the futures action with the S&P500 at 2850. If markets head lower it looks like dealers will sell more futures, compounding the move down. The same works in a rally, but instead of selling those dealers will be buying. All this flips when/if the market moves over the VFLIP line […]
Fed Day Market Move from a Gamma Perspective
Equity markets had an incredibly volatile day on 7/31/19 triggered by actions of the Federal Reserve. Its our view that the moves were exacerbated by the positioning of dealers in S&P 500 options. A quick wave of selling entered the markets just above 3000, pushing the market under our “volatility trigger” level of 2995. At […]
