SpotGammaModel

SpotGammaModel Updated 

Markets had to hold 2920 to break the volatility cycle from last week. Under that level market makers will amplify and selloff. The fact that the market buyers couldnt overcome just a bit of dealer selling isn't great. FOMC minutes Wednesday and Jackson Hold starting Friday.

SpotGammaModel Updated 

As options expiration nears on 8/16 the volatility crush could force options dealers to buy stocks. This could create a self reinforcing trend where higher stocks leads to lower IV and more buying. I don't think well see a 2% move in 10 minutes like we did today, but it could be a strong steady rally into Friday. Under 2935, and with a bad headline the market...

SpotGammaModel Updated 

Based on an analysis of the open interest in the S&P500 (SPX) you find that under 2935 dealers are short gamma and will therefore be adding fuel to both rallies and selloffs (aka volatility). This may make it a more challenging environment to short options. Options expiration this week (Friday, 8/16) compounds volatility.