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1/3 Two studies in Zero Gamma
Essentially, the zero gamma level is where dealer gamma reverses. This graph plots the relationship between the zero gamma level and spot. On Feb 24, that relationship changed to support a more directional, less range-bound auction.
@spotgamma
Essentially, the zero gamma level is where dealer gamma reverses. This graph plots the relationship between the zero gamma level and spot. On Feb 24, that relationship changed to support a more directional, less range-bound auction.
@spotgamma
1/2 Moving from high GEX to low GEX is akin to moving from market stability to market instability, respectively. (An unstable market is more vulnerable to event risk.)
During that transition, vol-of-vol explodes, peaking near zero GEX. This occurred on Mar 23.
@SqueezeMetrics
During that transition, vol-of-vol explodes, peaking near zero GEX. This occurred on Mar 23.
@SqueezeMetrics
1/3 At the point when vol-of-vol is high and gamma is near zero, short-covering is likely, large market participants have the greatest price impact, the probability of a favorable trade is highest, and the trade carries the greatest potential to expand the payoff.
