One of the things that has left us curious about the recent rally in SPX has been the lack of call positions. These call positions bring positive gamma to markets, which help to support the SPX. Our model suggests that in positive gamma markets options dealers are buying declines, and selling rallies therein “suppressing” volatility. […]
positive gamma
SocGen: November 2019 Largest Positive Gamma Ever
We had recorded extreme readings as well, but our data didnt go back nearly this far.