"It's MegaCap-Tech Call-Option Day" - Goldman's Derivative Guru On What To Watch For In Today's OpEx

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by Tyler Durden
Friday, May 19, 2023 - 12:15 PM

Today is one of those 12 days a year where 0-DTE and monthly OpEx are the same and despite the overwhelming strength from yesterday and Goldman noting that it is a relatively small expiry with a total of $1.7 trillion notional ($735bn of this is AM expiry, with the remaining $1trillion of this SPX pm + ETF + single stock), SpotGamma believes there are some reasons for concern.

But first, Goldman's derivatives guru Brian Garrett sets the scene:

Dealers are long ATM and downside options, but short upside tail (we saw how powerful this can be yesterday into the bell!)...

Also of note - for any breakout risk - the 1 month trading band hasn't been this tight in years...

...historically, this level of “coiled spring” has a short lifespan... now it’s just a question of breakout or breakdown.