Why selling options premium offers thin compensation with short-dated implied volatility near its lows, and the SPX gamma levels that would change that.
SPX
CPI Meets Positive Gamma: The SPX Levels That Could Determine the Next Move
Wednesday’s inflation report could determine whether stocks extend their rally or face renewed selling pressure as rising Treasury yields threaten to disrupt a relatively calm options market.
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.
Friday Jobs Report Preview: What the Market Wants to See
The stock market faces its biggest economic test of the week Friday morning when the September jobs report is released at 8:30 a.m. ET.
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.
The S&P500’s Diversification Problem
SpotGamma believes traders should add long exposure via NDX/QQQ calls due to a potential rally in equities through mid terms which would couple with a potential increase in volatility. Both higher equity prices and higher volatility benefit call positions.
We prefer the tech-heavy NDX vs SPX due to a “diversification drag” the S&P500 may experience.
FOMC Preview: The Hike Is Priced. The Dots Aren’t.
A 25bp hike is overwhelmingly expected on September 16, which makes the dot plot the real surprise vector. A look at what the options market is pricing, where the big volatility hedges are showing up, why September VIX settles before the decision, and why Friday’s expiration may be the bigger structural event.
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.
September OPEX Options Positioning: Why 7,600 Is the Line | The OPEX Effect
Brent Kochuba of SpotGamma joined Excess Returns Thursday on September OPEX options positioning, the 7,600 gamma line, oil-rate risk and cheap tech vol.
S&P 500 Negative Gamma Below 7,600 — Brent Kochuba on tastylive
Brent Kochuba, founder of SpotGamma, joined tastylive Thursday to map S&P 500 negative gamma below 7,600, a lifting vol surface and Oracle’s call skew.