Gamma Flip Suggests Stock Serenity. For Now
Things have calmed down. For now.
In a year defined by uncertainty and cross-asset turmoil, the past several days felt comparatively serene.
Since a cooler-than-expected CPI print triggered a boisterous rally on November 10, US equities closed +/- 1% on just one occasion (Tuesday). More to the point, the range has compressed meaningfully (figure below).
The pale blue annotations in the visual mark the 194-point intraday reversal witnessed last month following September's CPI print, and the
I’m really glad I never had to teach this stuff.
H-Man, nice escalator/elevator analysis on gamma . The chart told the story.
Prof Lucky – I went to B-school after a stint in the real world. We studied those semi-new fangled things called options in a second year class I took in 1981.
That served me well when I went down to Wall Street. It was surprising how few people there had even an inkling how they worked. Even with warrants and convertible bonds having been around for a while. Gave me a leg up though I cannot boast of my meager level of understanding of the instrument at the time.
Despite that, over the next ten years I gained some decent experience on the market-maker/book runner side.
But truth be told, I’ve learned a lot more trading some puts in my PA during the last year. That would be hard to teach.