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re: The good news
Posted on 9/15/22 at 12:51 pm to DTRooster
Posted on 9/15/22 at 12:51 pm to DTRooster
The majority of the gamma is from a JPM SPX collar at 4005. That is what buoyed mkts thus far. You also have VIX OPEX and roll (VX futures) next week. Any suppression of volatility will likely ignite vanna/charm flows, which will push mkts higher. Additionally, what has not happened is very important VX futures have been unable to push higher (VXU22 - $27.22ish) and VVIX (VOL of VOL) has continued to base along with TDEX (measures tail risk).
My point is, that the hedge has already worked. Most CTAs have already repositioned. While Monday may or may not be interesting, the majority of gamma expiries in the AM (SPX)... SPY is (PM - MOC). I would not discount volatility tomorrow (Friday).
P.S. the amount of gamma expiring tomorrow is not large from a historical perspective.
My point is, that the hedge has already worked. Most CTAs have already repositioned. While Monday may or may not be interesting, the majority of gamma expiries in the AM (SPX)... SPY is (PM - MOC). I would not discount volatility tomorrow (Friday).
P.S. the amount of gamma expiring tomorrow is not large from a historical perspective.
1
Posted on 9/16/22 at 11:49 am to Trader82
Please post more!
What a breath of fresh air on here.
What a breath of fresh air on here.
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