SpotGamma has detected a large amount of call options expiring this Friday in many single stocks (see here). The stock with the largest size (on a delta basis) expiring is TSLA. As such, we’ve setup this page to track the daily change in TSLA’s delta position, to monitor what any options impact may be. In […]
OPEX
‘Call AAA’: Santa Claus Is Having Sleigh Troubles
Through an options market lens, the following text will add color to some recent market movements.
S&P500 Is Less Volatile Into Expiration
In our daily subscriber reports we often talk about the “Options Expiration [OPEX] Cycle” and its influence on the S&P500. This cycle starts on the third Friday of each month, wherein its typical to have >20% of total S&P500 options* expiring. Our view is that options market maker hedging begins to concentrate around the strikes […]
‘Gamma Tilt’ Suggests More Downside In Stocks As “Bigly” Op-Ex Looms
From ZH: BY TYLER DURDENTHURSDAY, MAY 20, 2021 – 11:15 AM Nomura’s Charlie McElligott summarized things heading into the weekend perfectly for traders: “Op-Ex tomorow matters ‘bigly’ for Equities.“ Critically, he explains, there remains likelihood of continued “chase-y” moves in both directions on dealer delta hedging due to the magnitude of the positioning out there: Latest estimates show […]
Brace For Surge In Volatility: Goldman Warns Record February Op-Ex Could Lead To Market Chaos
From ZH In case the market didn’t have enough things to worry about, Goldman has flagged a new scare that could spark a turmoil in today’s option expiration. As Goldman’s Vishal Vivek writes, today’s option expiry “is setting up to be the biggest for single stock options, outside of a January expiration.” Indeed, while open […]
Nomura Pre May OPEX Update
Like we have been highlighting to subscribers this weeks May SPX options expiration (OPEX) (Friday AM) could bring a state change to markets. From ZH we find another note from Nomura, echoing our sentiment: Into this week’s options expiry, Spooz (ref 2927) continue to remain pretty-sticky between 3 of the 4 largest $Gamma strikes on […]
Still Question the Impact of Options?
This past March monthly OPEX was one of the largest on record, and featured very large deep in the money put positions. We believed this was a key driver of market volatility in early March, and the change in markets following expiration has been drastic. March OPEX was on 3/20, and it was the following […]
Nomuras Pre-OPEX Market View
We wrote a few days ago about the importance of tomorrows 3/20 options expiration because of 1) its sheer size and 2) its amount of deep in the money puts. ZeroHedge adds to this sentiment with some notes from Nomuras McElligott: this “large decline in the gamma post-expiration” should allow markets to pivot back to […]
The Large 3/20 Options Expiration
Options expiration for this Friday 3/20 is getting a lot of attention because it is so large. It may also hold the key to a major change in our “negative gamma” situation. As you can see markets remain in negative gamma territory unless we move up towards 3100-3150 in the SPX. The other way we […]
When Might this Volatility End?
We have been targeting next weeks OPEX 3/20 as a key time in this “volatility cycle” as there is very large open interest. As that open interest is closed or rolled it may allow some calm as call options are re-struck closer to at-the-money and put options are rolled out and down. This could effectively […]