Vol Control Plunge Protection, Gamma Gravity & April’s ‘Impulse Turn’

Vol Control Plunge Protection, Gamma Gravity & April’s ‘Impulse Turn’

If there's "extra" equity supply out there due to any rebalancing away from stocks and into fixed income, vol control is doing its part to absorb it. Put differently, to the extent the market "needs" a source of demand for stocks into month- and quarter-end, vol control is filling that void. With a handful of large "down days" falling out of the sample, trailing one-month realized is poised to reset lower, thereby triggering a buy impulse in true "toggle" up fashion, as volatility dictates exp
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2 thoughts on “Vol Control Plunge Protection, Gamma Gravity & April’s ‘Impulse Turn’

  1. H. I really like it when you talk about gamma. It makes my heart fill up.

    If a SPAC has 10 of cash value in it, and it presently trades at 9.75, then does that count as value?

  2. I look forward to hearing more performance results from these vol-based models. The few I have seen were hardly special.

    But the revenues generated by the street from this crap must be just fine!

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