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short volatility

Nov 19 2019

The January 2018 Market Analogy

We’ve been seeing extreme call/put measures the past several weeks and these extreme measures only give way to more extreme measures. Nomura & JPM noted how heavy call positioning is relative to puts recently. There is also anecdotal evidence like this chart below, where Macrohedged notes: ” We cannot recall EVER seeing max OI for […]

Written by SpotGamma · Categorized: Market Analysis · Tagged: call roll, gamma squeeze, gamma trap, january 2018, short volatility

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