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These ‘Crucial’ Levels Matter Most In News-Driven Market
In early February, one bank's equity derivatives team suggested market participants were assigning too much weight to Fed rhetoric and not enough to Ukraine headlines when it came to explaining the previous month's volatility trends.
At the time, a Russian incursion was still a hypothetical, but some of January's more volatile episodes coincided with a marked uptick in news stories documenting Vladimir Putin's military buildup on Ukraine's borders.
SocGen's Vincent Cassot and Jitesh Kumar sugg
Interesting charts. So gamma transition zone can be roughly approximated as a squiggly MVA? If recent buyers are in the black, gamma tends to be positive? Ultra naive way of looking at it, but looking at it does raise the question.