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
Why McElligott Doesn’t Fear ‘Volmageddon 2.0’ — Yet
Last week, one of the most recognizable names on the sell-side weighed in on the 0DTE options frenzy
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
Thanks for that. I’ve been wondering just who would sell those things. Even for experienced MMs, isn’t that just picking up pennies in afront of a steamroller? Even if retail punters are willing to pay more than the models would suggest.
west Coast stoic – would you have been a happy seller of these things?
The comforting part is that these options settle up every day and there is no carry over after settlement.
Some have posited that these options are being bought by institutional desks on a daily basis so they don’t have to hold capital against the positions but get the equity benefit. With margin rates so high, that makes some sense.
Yes, more on that here: https://heisenbergreport.com/2023/02/04/brave-new-markets/
can someone please help educate me on this? if supposedly by JP account dealers are long gamma need to remain delta neutral. doesnt this create disincentive for price to move outside of nearest large OI strikes (hence reduced volatility) on expiry date? so where is this “volamaggeddon” and expected volatility come from?