Upside volatility risk may matter more than the sell-off: why recent up days have outrun down days, and where semiconductors keep finding support.
realized volatility
Why Option Premiums Look Too Thin To Sell
Why selling options premium offers thin compensation with short-dated implied volatility near its lows, and the SPX gamma levels that would change that.
The OPEX Effect: Put Selling Is Still Doing The Work
Single stock put selling has left dealers long gamma while realized vol sits near lows. See the positioning levels that would change the read.
Last Call: Relatively Few Traders Are Hedging Equity Downside
Bond volatility has jumped while equity downside hedging stays light. See what call skew in TLT, HYG and XLU says about how traders are positioned.
Index Put Demand Returns Ahead of Friday’s Jobs Report
Brent Kochuba, founder of SpotGamma, on tastylive: index put demand, same-day options flow, and why weekly vol prices almost no risk premium.
NDX Call Skew Has Room While S&P Vol Contracts: Kochuba on tastylive
Brent Kochuba of SpotGamma joined tastylive September 22 on vol expansion, NDX call skew and the dispersion rebuilding across tech.
Gamma Guy: S&P 500 Realized Volatility Is the Lowest Since 2020
Brent Kochuba, founder of SpotGamma, joined tastylive Tuesday to explain why S&P 500 realized volatility sits at 2020 lows ahead of FOMC and a huge OPEX.
Welcome to the Summer Melt-Up
The S&P 500 delivered a high octane four-day run last week, establishing all-time highs with a 6% rise from weekly lows. Shifting interest rate expectations, easing Middle East tensions, and strong corporate earnings powered the dramatic rally. The sharp surge brought out notable divergences across the tech space. Software outperformed the broader market, with strong […]
Big Tech Earnings and FOMC Collide
The Dispersion Unwind Arrives Last week, we noted in our pre-market Founder’s Note that markets were skating on thin ice. In addition to growing macro risks, COR1M had collapsed below 8 signaling extreme dispersion between index and single-stock volatility. After our Risk Pivot level was breached on Thursday, the growing negative gamma environment amplified the […]
Will the AI Unwind Finally Spill Over?
Last week delivered a string of constructive catalysts that supported the market through Thursday. Inflation ran cooler than expected, bank earnings impressed, retail sales beat, and ASML and TSM offered encouraging commentary towards semiconductor demand. While hostilities with Iran escalated, the market remained quite stable until Friday’s 1% drop following the Kimi-3 announcement. The stability […]