Volmageddon? No; JPM, BofA Say 0-DTE Options Are Suppressing Intraday Vol

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by Tyler Durden
Tuesday, May 16, 2023 - 07:05 PM

In February, JPMorgan's Marko Kolanovic dropped his now infamous warning that 0-DTE options trading will lead to Volmageddon 2.0 :

"these options are net sold by directional investors, and supply of gamma is likely causing a suppression of realized intraday volatility...  if there is a big move when these options get in the money, and sellers cannot support these positions, forced covering would result in very large directional flows."

So he is saying that 0DTE suppresses vol (Minsky-like) artificially which could lead to the Minsky moment of Volmageddon on a big directional move with low liquidity because, he claims, 0-DTE is all one-sided...