3 Options Charts We Are Watching

Size long gamma

Dealers are running the second biggest long gamma ever. Goldman's trader Garrett writes: "with ~$9.5 billion of gamma to trade per 100bps; dealers have to sell 35,000 eminis on a 1% rally, and buy 35,000 eminis on a 1% sell off". 5350 is basically a massive pin strike that will suppress moves around it. Options related risks change with time, so the increase in gamma, isn't necessarily only driven by recent flow by end customers. One thing is sure, the delta flow from dealers is "real" flow that will be hedged in the market. For the 1 minute explanation on gamma, see here.