Friday’s 8:30 a.m. ET Employment Situation report has the potential to be the biggest bond-market catalyst since Jackson Hole, yet the options market is pricing a contained move. A look at SPX term structure, fixed strike vol, and dealer gamma ahead of the print.
term structure
Comparing Earnings IV’s for Edge
In a recent Member Q&A session SpotGamma discussed how traders can analyze implied volatility and potential stock movements by comparing the relative moves and reaction of stocks in similar sectors. Here we look at the volatility & setup into SMCI’s earnings report, and its subsequent reaction, to guide us on what may happen for AMD […]
LLY Using Implied Volatility: a SpotGamma Options Case Study
Shares of LLY were +3.5% near $612 today, Wed Jan 3rd, despite broader market weakness (SPY, -0.55% orange). There was no concrete news around the increase in LLY shares, which led us to dive into options flow as a potential driver. We start with our HIRO indicator, which measures market maker hedging pressure based on […]
