SpotGamma
@spotgamma
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We analyze the options market. Daily Research: https://t.co/XTAUMUtGlI YouTube: https://t.co/s0HBvNufnw… Disclaimer: https://t.co/3dBKPL2sgx…
United States
Joined July 2019
The "Rule of 16" options cheat code & how it works: . Rule: .Divide an options implied volatility(IV) by 16 & you get an estimate for a 1 day stock move based on options prices. ex:.IV = 32%.32/16 = 2% = 1 day stock move. Why divide by 16?. (1/x).
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The "Gamma Trap". Dec SPX has 3.3mm puts which is the largest of any expiration. The chunkiest of these puts are likely held by funds which will hold to 12/17 expiration. The 4000 strike has the most put interest. If the market goes under 4500, the gamma trap could set: .(1/n).
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About that record put buying. What exactly is the source data?. The Record buying offsets with record selling. You need to see the ETF selling. that's interesting. ▶️👇
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I just want to take a minute to acknowledge. how 🍌🍌🍌 this is. SPY dropped 3.5% in one minute.then rallies back 4.7% over 2 hours
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this “harvard grad” puts his parents retirement fund into a 2x etf built on a 3x levered bitcoin fund ($MSTR)…. “less dangerous and smarter”
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A word of warning to those short $TSLA. A huge ~$8bn in put deltas expire in January, which could fuel a pretty big rally. Plus, @elonmusk knows options, he could spark early put destruction with a well timed headline.
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Then, suddenly, on 12/17 those 3.3 million puts expire. Dealers find themselves short too many futures, and needing to cover ASAP. Trap released. Markets rally. Consider 2 other major lows coinciding with the day after OPEX:.Dec 24th, 2018.March 23rd, 2020.
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This is the largest $SPY negative delta day in the last 30 days. Implies traders sold calls and bought puts as the market jumped higher.
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Its a 0DTE driven plunge in the S&P. you can see the spread here between bearish 0DTE flow (teal) is identical to that of all flow (purple) informing us that the bulk of flow on this downdraft is all todays expiration.
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This call trading is getting a bit nuts, as depicted in the following charts. Yesterday was the highest SPX call volume ever!. At first look - its not "0DTE" (see next slide).
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If you're fortunate to be long here for this rally, don't get greedy. 50% of today's SPX options volume so far today is tied to today's expiration. We've seen this movie just about every day this week.
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RE: Burry's $1.6 BILLION in PUTS. Stop. The $ amount listed on 13F is NOT the premium value but rather the value of shares the position represents (100x multiplier). Back out the 13F SPY value:.$886mm/2mm = ~$443. He owns 20k SPY puts (2mm/100) likely worth $10's of millions
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I've had 3900 as major support for several weeks, and saw it holding Friday. SPX traded under that level Friday. Despite that break I'm still looking for a recovery over 3900 and a run to 4000 into Wednesday based on the large puts expiring. Sometimes wrong, always honest.
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This is a setup for things to break. Not advice, who knows. Big calls expire next week (pulling the pin) . markets seem to crash hardest into quarterly exp like june. IV is ~1 year lows so put prices reasonable. a catalyst is needed:.Markets rejected spx 4150 area many times.
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I’m no Michael Saylor, but I just performed my own Speculative Attack on the USD with #Bitcoin. Here’s how. Went car shopping today with my daughter who is about to turn 16. She picked her favorite one out and while I could certainly pay cash for the car, and was sort of my
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anytime something trades at a perfect -45° angle its probably not retail
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Negative deltas in $SPY (purple) indicate traders selling calls and buying puts into the peak of this rally (~405)
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Amazing day, with a huge rally triggered by options flow. We cover exactly what sparked the MASSIVE 5% rally in our CPI day breakdown👇
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0DTE Flows this afternoon were huge ($10bn), and some of he weirdest I have ever seen. I'm 👀 at you $NDX. 📺👇
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Regional bank CEOs should take a page from Jamie, get together, and buy their stock. I mean, their banks are all safe and now trading at a nice discount, right?
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“Cost of downside protection via puts at 2-year low.The absolute cost of a 2 month 5% put in SPX is trading at one of the lowest level in ~2 years. Below the level of the top of the "summer squeeze of 2022" last August.”. - h/t @themarketear
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SPX rejected at the huge 4000 strike yesterday, and the VIX is now back <20. Maybe this time is different, but for the last year .VIX < 20 has been associated with market tops.
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$NVDA shows a 0 correlation to $SPY. That is - NVDA has become uncorrelated with the broader equity market in a very extreme way, even though it has a weighting of 7% of the SPY itself. Things are broken. You can see this in the rolling plot of 20 day correlation, which shows a
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Our 1.5 min JPM collar trade review. Final prints. 44k contracts of the Dec 30 Exp:.> short 3835 calls.> long 3390 puts.> short 2860 puts. That long put is almost to the tick of the Feb '20 market high. See you in December. 🙃. ▶️👇
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The 3620 put strike for today's expiration had 30k open interest. That was 3x the size of any strike above. SPX low of day 3620. Random, right?
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So far, the options flows are dominated by put covering (blue). This is essentially short covering, which makes the rally unstable. Bulls want to see longer dated call buyers come in - they're so far absent.
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That violent 10AM meme-squeeze this AM was odd. Many names like $GME $AMC $BB (I counted 9 meme names in the 137 we monitor) all had a surge in positive delta's (call buying/put selling) right at the same time - like a short cover basket was launched.
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so lemme get this straight. $SMCI was just removed after being added **checks notes** 5 months ago. and now $MSTR is in the Nasdaq 100…The Nasdaq-100 being the 100 largest **non-financial** companies
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Someone is buying a lot of 0DTE SPX calls today (teal), premarket. Can't say I've ever seen this before, particularly before a meaningful data print. The 45° of the flow is also 0dd, implying some kind of algo. This comes after massive SPX call flow day, y'day.
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put rallies are so much fun on the way up, then have been.breaking violently. i have no idea if the market is going to dump from this level, but the risk of being long and wrong is very high.
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Large persistent put selling all day in SPY & QQQ. The implications here are that as puts are sold, dealers are buying them back. As a result dealers are covering short stock hedges. This covering feeds back into the negative gamma position - dealers buying as market goes higher
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No accusations here, just optically this looks. not great. 11:41 AM someone buys 10k GME 9/13 22.5 calls. 12PM: toy tweets. 12:18 & 12:22 PM someone sells 5k GME 9/13 22.5 calls
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$TSLA -6% today. I'll say it. I think we're w/in ~1% of the low (ref $128). Basing this on stock pressing into $125 area (red line), which is where the last of large puts sit. Often w/this chart setup the downside momentum wanes. Not advice. @ me all you want, I enjoy it 😁
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Equity Put Volume(blue) hit records last week. Coincides with a market low. Equity Call Volume(orange) didn't come back in. Equal weighted S&P bottom pane. Rally was fueled by the destruction of puts. In essence short covering.
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Make. It. Stop.
An extremely high put/call ratio means the market is extremely bearish, and the ratio has never been this high in recorded history.
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Here we go -. An ETF that sells 0DTE puts for “income and equity exposure”. Per Lu Wang’s BBG article: . “The fund will write puts — bearish contracts that offer the.buyer protection from index declines — to generate income. By.offering options with such a short lifespan, the
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. for those of you with a view past 0DTE 👇. Put buying is back to '22 lows, according to the latest weekly data from the OCC. Interesting, given the recent market weakness. No one wants calls, either, as call activity is also at lows.
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It’s likely we‘ll see another CBOE Equity Put/Call Ratio high tomorrow 😱 .NO, that does not indicate traders are betting on a crash. Here is your proof 👇🏼
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Today was about put covering, particularly in the $QQQ. The deltas traded are shown below in purple. In our view it was therefore a short cover rally - which is less stable than call and/or "real money" buying.
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This is really rather remarkable. On one hand you have equity put volume (orange) unleashing the kraken. Meme's deleveraging. Other corner: SPX, uninspired. “There lies a sleeping giant. Let him sleep! For when he wakes, he will shake the world.”
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0DTE call volume just going nuts today, and may lead to a 0DTE SPX record (in % terms). 1 million calls traded so far today, 59% of those are tied to today's expiration, and those are heavily concentrated at:. 3890: 72k .3895: 65k.3900: 98k
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The SDEX, which is a measure of long put demand, .is at an all time low.
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When the deltas turn up so does the market. SPY put sellers came in, creating positive deltas, spinning up a short covering feedback loop. put sellers = dealers buy back short hedges = higher markets = put values lower = dealers buy back more short hedges
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Netting call & put delta, you can see we're near extremes in terms of put:call positions. Often large put positions are removed by expirations, which seems to coincide with market lows. Many of these are quarterly expirations which coincide w/FOMC meetings - such as next week.
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FWIW the Fed has not unlocked call buyers (orange) in $SPY or $QQQ. Bulls should be happy with the break >$4,000 but this lack of call buying doesn't bode well for follow through.
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Friday over 2.5mm calls traded on the CBOE - that was the first time since Nov '21!. Forward returns from days with >2mm daily CBOE call volume:.5 day: -1.37%.10 day: -2.12%. Only 14 out of 104 times has the SPX posted a positive return 10 days after a +2mm CBOE call volume day.
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There's a chart going around showing record "retail" put buying last week of $19bn vs $6bn calls. If retail is based on of 1-10 lot trans size, those charts seem wrong. Retail calls (blue) & puts (orange) were low & equal. Further, those charts ignore RECORD PUT SHORTING. 👇🧵
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Final JPM Collar for 12/29 Exp:. - 41k 4,515 C. 41k 4,055 P.-41k 3,420 P. Despite all the tweets about earlier prints, the trade always gets rolled to the final resting strikes right before 4:15PM.
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Record SPY volume? Yup. Meaningful? Hold please…. 35% of Friday’s volume was in Fridays expiration. 70% of total SPY volume was in options expiring <7 days. This drives volatility and noise. The big money that drives long term prices probably aren’t flipping 0DTE options.
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Starting at 12:30 somone(s) went nuts buying 0DTE SPX calls. This is ramping the market.
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re: 0DTE.-Flow from all S&P options is purple.-0DTE only flow is teal.-SPX Price is white. The fact that these purple & teal lines don't diverge over the course of the day inform us that nearly all of the meaningful flow is 0DTE. As you can see the flow is pretty neutral until
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Very large $VIX put positions from 19-26 all expiring Wed just before the FOMC. Interesting to note that on the Tuesday before the last 2 VIX-exp's there were strong ~2% SPX rallies.
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This is pretty wild - don't think I've seen a full day of almost pure 0DTE. Purple: all S&P500 options flow.Teal: 0DTE S&P500 flow. The direct overlap of the lines suggests nearly all meaningful flow was 0DTE
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This feels like Dec '21 to me. The market was up a ton and things were so frothy before the Fed decided to shift policy. The $SPX tanked ~4%, caught the obligatory end-of-year bounce, and then met its maker in January. Backing a recovery bounce: You can also see today that
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Volatility tied to tomorrows CPI print is now much higher. CPI likely sparks a sharp directional move which feeds into a very large Friday expiration. We see little resistance from 3900 up to 4000, but resistance > 4000. Downside is sloppier, with first target at 3800. If
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There is a very large, persistent bid to S&P500 calls today. This is one of the larger readings we've seen, and then onto this you have to add what is looking like a record level of call buying across Mag7.
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if it was about delta variant then puts would have been bought in a material way. didn't happen.
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The January OPEX is very large for single stocks, which could magnify risks if SPX <4,700. This large OPEX is the result of lot of Jan leap calls that gained in value as the market rallied massively in 2023. In theory the unwind of these positions should add to volatility in
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SPX total options volume today. 540k. That's less than Xmas eve & lowest volume of '21.
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The Dec '18 analogy is interesting. Markets dropped ~15% from 12/1/18 to Xmas Eve. Coincidentally Xmas eve was the day after OPEX. The equivalent drop from today places the SPX near 4000, which happens to be the strike with the most put options.
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Friday was the 2nd largest SPX Call Volume ever at 1.6mm contracts (blue). only eclipsed by 1.7mm calls on 10/13/22 which was that wild +4.5% CPI rally day
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0DTE has been fairly quiet up until SPX hit ~3980. There we see 0DTE call buyers pushing positive deltas in the markets. Put sellers pretty quiet, Marko.
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We spend literally all of our time here looking forward. Remember to enjoy the moment, because it’s fleeting. RIP to my Uncle Paul, a true character.
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There's a game being played 🤨. Yesterday's CPI rally was smoked by huge puts. Today's 4,450 test was met with huge call buying.
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call delta : put delta is nearing the put-heavy extremes from Dec '18 and Mar '20.
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More index puts are being shorted then bought. The other times similar levels materialized was after large mkt declines - so puts were more expensive w/more volatility premium. Here though, traders have decided to step up and short puts with markets at record highs.
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equity markets higher as traders start to price in a recession.
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This rally doesn't smell too stable, as traders are buying puts into the rally, causing the HIRO indicator to decline(purple). Not much call buying.
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VIX backwardation, negative gamma, garbage liquidity. Earliest resolution: FOMC 3/16.
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Maybe tomorrow opens limit down, I don't know. But it seems that everyone is on one side of the boat, and as we all know the biggest rallies occur during bear markets. Take AMZN, in which call volumes are lower than Bezos' pride after his Leonardo run in.
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The S&P was +6% (!!) this week. This move was in a generally low liquidity environment likely exacerbated by Memorial Day. Interestingly, long call buyers were absent this week, as shown through this OCC data. There was however a noticeable decline in put buying
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$GME is not in the $SPX, but it certainly appeared to break with it today. Everything is linked, and we see that morning flush as a prime example of the leveraged-induced fragility of markets.
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4000 SPX is what we're 👀 & it's particularly important this week. Why?. Position guardrails around 4100 have worn down after OPEX now allowing more S&P px movement. Implied vol (IV) has compressed to levels where "something has to give". Enter: Fed mins Wed & GDP/Jobs/PCE Fri.
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This is the main problem with shorting here.
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0DTE call buyers came in off of the open, but since ~10AM the flow has been quite neutral. My running theory is traders come in and buy some cheap 0DTE calls after markets move markedly lower, possibly to hedge long puts. Interestingly we do not register put buying here at
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This ratio of call delta/put delta typically corresponds with large draw downs in the $SPX $SPY. S&P is ~5% off 9/6 highs of 4547 - curiously dip buyers are suddenly absent.
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Nomura Holdings Inc. is pulling the plug on.a large chunk of its hedge fund business as the deep losses the lender sustained through the collapse of Archegos . The Japanese bank has decided to stop offering cash prime-brokerage services in the U.S. and Europe.-bbg
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There are >$100 billion (delta notional) of call deltas expiring Friday. We outlined why this could cause some volatility, particularly in cases like $TSLA and $ARKK. More here, along with a download of stocks & estimated impact:.
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Wells Fargo says this trade rallied the market today at 12ET. net delta of package was $30mm.doesn't seem huge. maybe a sentiment booster. buy 20k oct 31, 4500 calls. buy 14k mar 17, 4300 calls.-sell 48k jan 20, 4500 calls. for fun a payoff profile . h/t @luwangnyc article
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👇Evidence that we are at an interim high. Its a noisy chart, but stay with me. ➡️green = SPX.➡️orange (RV) = 1 month realized volatility: how much the SPX has been moving.➡️white (IV) = 1 month implied volatility: how much volatility traders expect in the future. 🧵
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$VIX snapshot here, you can see that total VIX call open interest (dark blue) remains near March '20 highs. Many are highlighting the surge in positions for VIX >=40 calls and most of that is positioned in Oct/Nov expiration in the 70-85 strikes
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Meme Mania has now infected the $SPX .with $VIX up, market up. Often a signal of upside exuberance.
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470 $SPY is the dominate strike into FOMC. >40% of total S&P gamma goes away Friday. Powell is going to charge the market up, then the pin gets pulled.
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