Here is an updated Nomura gamma snapshot to compare vs ours. Note we both have gamma flip at ~3185 with peak gamma around 3275. He also sees 3250 as a “pin” much as we’ve shown in subscriber reports. Thanks to Heisenberg report. “And the same song remains—SPX Dealer ‘Gamma flip’ level is meaningfully below market”, […]
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Nomuras Gamma Model 12/23/19
We like to post Nomuras model snapshot here to compare against ours. Our volatility neutral indicator is lower, but the top matches. Some of this may be explained by Nomura combining SPY and SPX.
Nomuras Pre-Event Gamma View
From heisenberg: Charlie McElligott, Nomura: “As VVIX & Skew went ‘bid’ BIG TIME yday, this indicates that the market is now once again beginning to price-in ‘tail’ scenarios”, “[That] offers attractive risk-reversal opportunities to play for an upside S&P breakout following a potential ‘hedge puke’”, he added, noting that in the event we do get […]
Nomura’s Gamma December Note
Our model has gamma flipping at 3065, Nomuras is a bit higher. From ZeroHedge The interpretation of Trump’s “better to wait until after the election” for a China trade deal comments is that the Hong Kong human rights bill sponsorship by POTUS has clearly caused agitated the Chinese side (plus this morning’s Reuters report stating […]
Nomura’s McElligott Explains The ‘Perfect Virtuous Feedback Loop’ As Gamma Gravity Pins Equities “Intraday movement is squelched”.
From Heisenberg a great note from Nomura which syncs with what we wrote in recent weeks and to our subscribers. “Price movements over this summer once again clearly emphasized the spot/gamma/realized vol dynamics”, SocGen wrote, in a September note documenting a crucial dynamic that can always be described as “underappreciated” until everyone understands it. “All […]
SpotGamma vs Nomura
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 […]
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 […]
Nomuras Gamma View after the Rally
Via Heisenberg, here is Nomuras Gamma View after the Rally. They note the following: “[The SPX was ]gravitationally pulled higher (spot 2970) and now sits comfortably between the two large $Gamma upside strikes of 3000 ($3.7B) and 2950 ($2.5B)”…“As the bullish macro catalysts have indeed begun materializing, the various hedge expressions (VIX upside, S&P downside, […]
SPX Distribution vs Gamma Levels
from Heisenberg: you can see when gamma is large and positive the market moves much less than when gamma is large and negative.
Nomuras Options Gamma Update for September
The “Heisenberg Report” posts notes from Charles McElligott and his Nomura Options Gamma update for September. Its posted here to cross reference what our model derives. Now that the extreme long gamma dynamic that was pinning the index has rolled off, it’s possible things can start to move in earnest. On the upside, McElligott flags […]