Already have an account? log in
This article is FREE for you
Create a free account and join institutional investors, analysts and strategists from the world's largest banks
By submitting your email address you agree to receive communication by email
Marko Kolanovic Warns Of ‘Volmageddon 2.0’ From 0DTE Option Craze
Since rising to the top of JPMorgan's research ranks, Marko Kolanovic's role has felt more superviso
OR, subscribe now for unlimited access
By submitting your email address you agree to receive communication by email
By submitting your email address you agree to receive communication by email
Not that it is unusual for me to not understand the options-vol-gamma stuff, but the comments of McElligot and Kolvanic seem a little at odds?
McElligot seems to say 0DTE has some role in the high intraday index volatility, Kolvanic seems to say 0DTE is suppressing intraday volatility (until it doesn’t)?
I’m tempted to shrug that intraday volatility has no bearing on my process – but I suppose any sort of ___geddon or ___pocalypse will affect everyone’s process, whether we (I) have any idea what is going on, or not.
You are correct on the first point. Nomura’s data suggests a net buy imbalance on most days, indicative of weaponized gamma, which feeds intraday reversals that are monetized same-day. The effect of that would be close-to-close vol suppression that “masks” intraday chop. I won’t try to reconcile the two, but I did want to acknowledge your comment because it demonstrates a keen eye. Good catch.
Why does any dealer sell those things? Hoping the majority expire worthless?
Not for the first time, I am thinking maybe capital gains tax rates should rise exponentially as holding period shortens to days, hours, minutes, seconds, etc.