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treasury options

Jan 27 2023

A Link Between 0DTE & Treasury Auctions?

Intraday chart of S&P and inverted 5Y yield on 25 Jan 2023 highlighting Macro and Auction periods.

SpotGamma recently began investigating a link between 0DTE options volumes and treasury auctions. The first research was posted in our Founder’s Note, and picked up by ZeroHedge: From ZeroHedge: Bonds and stocks were nicely correlated after the US cash open and traded in sync before decoupling around the European close… However, zooming in on the […]

Written by SpotGamma · Categorized: Market Analysis · Tagged: 0DTE, treasury options

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