Gamma Time

Options Gamma nearby may spike Vol

Zhedge posted this SPX and SPY Combined Gamma chart here:

Below 3153 gets interesting, below 3135 and we start to see short gamma (volatility increase, over reaction)

From Spotgamma.com:

How can gamma impact market volatility?

To the extent “the street” (see below) is sufficiently short gamma, option traders will be economically driven to sell equities when they are falling and buy them when they are rising, making market moves in both directions start to go faster and driving up volatility. When long gamma, the opposite happens: option traders buy dips and sell rallies, slowing down market moves.

Spotgamma.com gives an excellent must read explanation here, Spot Gamma Explained

Also we wanted to give an update on the Nasdaq. As we have written prior the Nasdaq has been the main hiding place and even among the overall equity indexes has outperformed by factors. Well we thought yesterday’s Tesla earnings and subsequent future inclusion into the SP500 would change things and we may be seeing the beginning of the reversion. Anyway here is our proprietary chart of the Nasdaq vs the SP500:

As far as currently vs the other indexes NQ is a full 1%+ lower than the rest:

Here is our chart of the Nasdaq future:

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