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 […]
morgan stanley
Pre Fed Dealer Gamma Charts
We note to subscribers today that the market is at a key “gamma crossroads” around 2900 where we see sustained positive gamma above that level and the possibility of a strong move into negative gamma if the Fed disappoints today. For the past week we have been consolidating around the zero gamma level and options […]