Through an options market lens, the following text will add color to some recent market movements.
The following is a guest post courtesy of Michael Kramer of Mott Capital Management. There is instability in the bond market right now. In the face of a potential break, there may be a wave of volatility as market participants begin to price in changes to Fed monetary policy. Cracks are already showing as bond […]
The following is a guest post courtesy of Michael Kramer of Mott Capital Management. As uncertainty ticks higher in markets, volatility tends to follow. There is a tremendous amount of doubt building in the equity markets, especially regarding corporate earnings. With the market on the cusp of earnings season, volatility may see a massive spike. […]
The following is a guest post courtesy of Michael Kramer of Mott Capital Management. The S&P 500 finished the week ending September 24 up a mere 50 basis points, a tranquil week – on the surface. Volatility was fierce to start the week, a dynamic predicted by SpotGamma and shared with their subscribers last week. […]
The following is a guest post courtesy of Michael Kramer of Mott Capital Management. Jay Powell will speak at next week’s Jackson Hole Economic Symposium. Some investors think it may be where he lays out the Fed’s path towards the tapering of asset purchases. Recent economic data suggests that inflation is running at levels that […]
Brent Kochuba, Founder of SpotGamma, joins Imran Lakha of Options-Insights to talk about the current volatility readings in the SPX and VIX. This covers both realized and implied volatility which are shifting ahead of a large options expiration.
We’ve written about some of the major risk signals showing over the last several days/weeks, and those risks manifested in a 4-5% drawdown over the last few trading sessions. Todays bounce appears to be mainly off of the closing of short term put options trades (delta hedge unwind) along with a crush in implied volatility. […]
From Heisneberg: “From a Vol market perspective, the issue is that the VIX is broken — again,” Nomura’s Charlie McElligott said Monday, in one section of a sweeping note documenting recent dynamics and detailing what a trio of backtests might foretell for markets on the heels of last week’s somewhat deranged developments. It’s “all demand” […]
Via ZeroHedge The world appears to be stock in what Nomura’s Charlie McElligott calls “Robinhood / YOLO / ‘weaponized gamma’” nonsense as the equity buy-to-open premium is soaring in individual stocks (and indices)… Source: SpotGamma Specifically, the Nomura MD notes that it is Op-Ex week, and the options positioning is absolutely going to matter, particularly off the back of […]
Shorting VIX has been the big pre election play, and we noted recently during market draw downs that VIX put volumes have increased. This indicates VIX sellers are taking advantage of higher VIX prices to bet on a collapse in volatility. Today we note the S&P is down ~3% and the VIX Put Call Ratio […]