We wrote about why we think SPX Options Expiration can create volatility before (see here) and wanted to post the chart below which shows just how impactful the large monthly SPX options expiration has been the last 2 months. You can see in the chart below the February expiration was within 2 days of the […]
volatility
The Case for Reduced Price Volatility
Our current view of markets is that we should see reduced price volatility following the large March expiration that took place this past Friday (3/20). One of the features of this expiration was a large number of in the money puts, which possibly created several billion in deltas for options dealers to hedge. As dealers […]
The Theory Behind Put Walls
For this example, 2900 in the S&P500 is identified as a strike with large put interest in SPX options. The theory behind Put Walls: We make an assumption that most of those puts were bought by hedgers, therefore market makers and dealers are short those 2900 puts. As a result they must short sell stock […]
Starting Short Gamma – September Market Outlook
There are several catalysts in September that could cause the same volatility we saw in August. So far this morning there is appears that China Trade has made no headway and futures are around 2900. As you can see in the chart below that has the SPX & SPY markets starting short gamma and therefore […]
Nomura: Volatility Crush Market Options Gamma on CNBC
Nomura analyst on CNBC discussing how dealer gamma effects the equity market. He mentions the large open interest in the VIX (“50 Cent”) and how a volatility crush could spur an equity rally. This is because (as seen through the SpotGamma model) a drop in volatility forces dealers to rehedge through buying stocks. As the […]