Market Summary The market is entering a critical window where VIX expiration, quarterly options expiration, crude oil, and the JP Morgan collar trade are all colliding at once. The core argument is simple: implied volatility remains elevated while realized volatility has stayed unusually muted, and that mismatch may not last much longer. If oil continues […]
oil
Negative Gamma in Oil Markets
Bloomberg posts an article about the effects of negative gamma in oil markets. Its full of hyperbole, but portrays the general idea right. Traders frenetically sell futures to manage their options exposure; that drives down prices and brings more options into the danger zone; dealers are then forced to sell even more crude contracts. This […]
