Stocks, Bond Yields Plunge As OpEx Looms

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by Tyler Durden
Thursday, Nov 18, 2021 - 10:29 AM

As we contemplate next week's 'quiet' Thanksgiving week, ahead of tomorrow's options expiration, traders are bracing for the now ubiquitous volatility storm that occurs on the 3rd Friday of the month... and this one will be a doozy!

Bloomberg notes, the total number of outstanding contracts on equity, index and ETF options expiring stands at 95.5 million, a hair away from 95.6 million in July, data compiled by Susquehanna International Group’s Souhow Yao show. That was the most for any month ever, when excluding the expiration of quarterly options or the so-called long-dated options, or LEAPS, that have been listed for longer and accrued a higher open interest

Specifically, there will be some serious 'gamma unclenching' heading into Friday's op-ex:

  • SPX/SPY Net Delta is 99.9%ile (since ’13) and will see 24% come off, along with 29% of the Gamma;

  • Nasdaq / QQQ, Net $Delta is 99.6%ile, with 42% of the Delta coming off and 49% of the Gamma (!);

  • IWM, Net $Delta is 99.0%ile, with 29% of the Delta and 40% of the Gamma dropping.

Nasdaq positioning is also quite extreme...

Some have suggested that comments from 'moderate' Democratic Senator Manchin, saying that he has not decided on whether to vote to proceed to the Build Back Better Bill, sparked some of the weakness, adding that House passage of the bill would not influence his thinking.

Additionally, fears about soaring COVID cases - and spreading lockdowns - is forcing some derisking...

Small Caps are getting clubbed like a baby seal...

Erasing two months worth of relative outperformance versus Nasdaq...

And Treasury yields are tumbling too, with 30Y accelerating lower after breaking below 2.00%...

Cryptos are also getting whacked and gold is holding losses.