Strong 0DTE Support Lifts the Market to Record Highs The S&P 500 kicked off 2026 by grinding through a week of macro data releases to finish at fresh all-time highs on Friday. SPX closed at 6,966, up from the 6,902 open on Monday, after finding critical support in the 6,890–6,900 zone multiple times throughout the […]
volatility
Volatility, Correlation & Dispersion: SpotGamma on “The Market Huddle”
In this episode of Huddle +, Patrick Ceresna chats with Brent Kochuba, the founder of Spot Gamma, to break down the forces driving recent market volatility. They delve into the nuances of gamma and the dispersion trade, offering actionable insights for investors. Whether you’re a seasoned trader or just curious about the mechanics behind market […]
Nomura on the August JPY Carry Trade/Volatility Shock
This podcast episode features a conversation with Charlie McElligott, a cross-asset macro strategist at Nomura. The discussion revolves around recent market volatility, particularly the significant selloff and shifts in volatility dynamics. McElligott explains how the flattening of the skew, a measure of demand for downside versus upside protection, and the bid on volatility of volatility […]
Why Does Record Low Stock Correlation and Volatility Matter?
Understanding Correlation and Volatility in the Stock Market Introduction This video sheds light on the concepts of stock volatility and correlation, particularly focusing on how correlation metrics influence market behavior and volatility trends. This post will summarize the key points discussed, emphasizing the impact of correlation on volatility and market dynamics. Correlation Metrics and Their […]
S&P 500, Correlation & Low Volatility: The Big Trade Underneath the Strangely Calm Surface of the S&P 500 | Odd Lots
In the latest episode of Odd Lots, Tracy Alloway and Joe Weisenthal explore current market conditions, emphasizing the interplay between dispersion, correlation, and volatility. The episode, recorded on June 13, highlights how the S&P 500 has consistently shown upward momentum, albeit with minimal daily gains. The discussion introduces the concept of the dispersion trade, which […]
Why is the VIX So Low? Structured Products Offer an Answer
Equity market volatility (VIX) has been surprisingly low in 2023 despite uncertainty about interest rates and geopolitics. Some attribute this to the rise of short-term “zero-days-to-expiry” (0DTE) options trading. However, a recent article by the BIS argues that 0DTE trading is unlikely to be the main cause for low VIX and provides an alternative explanation: […]
Gamma Levels Can Reveal Huge Forces Driving The Nasdaq
The following is a guest post courtesy of Michael Kramer of Mott Capital Management. The equity markets have had sharp drawdowns and extremely high volatility in 2022. While this dynamic has created a difficult backdrop for traders, the options market is playing a big role during these tricky times and SpotGamma indicators may provide an […]
Will The Fed Push Stocks Over The Edge Next Week?
The following is a guest post courtesy of Michael Kramer of Mott Capital Management. Hard Landing Worries Are Driving Volatility Volatility in the market has been high as traders and investors look to hedge risks associated with the Fed and the potential for an economic slowdown. The concerns seemed to evolve, starting with inflation and growth worries. Now […]
April 2022 Expiration Update
Yesterday we spoke with options expert Imran Lakha about the hedging flows tied to April OPEX. Currently, SpotGamma sees roughly 40% of total SPX/SPY/QQQ Gamma expiring by Thursday’s close. We also see roughly 50% of single stocks having their largest gamma position expiring on Thursday, too. For a list of S&P500 constituents most effected by […]
Credit Market Volatility vs. Equity Volatility
The following is an automated transcript of the video above, for your convenience. Please pardon any typos. Volatility Divergence Between Bonds and Equities Today we wanted to talk about volatility, and specifically the volatility divergence between bonds and equities. So on your screen we have the MOVE index, which is considered to be the bond […]