Small Caps, Big-Tech Puke At US Cash Open, Index Put-Buying Soars
After a relatively calm overnight session, all hell broke loose at the US cash open with The Dow (new record high) bid while Big-Tech and Small Caps puked hard…
While the S&P is more neutral, Nomura’s Charlie McElligott’s options in both “Secular Growth” QQQ and “Cyclical Value” IWM implying Dealers remaining incrementally “SHORT Gamma vs spot” (QQQ “gamma neutral” line flips up at 335.34, IWM “gamma neutral” line flips up at 226.50), thus at current levels, both are susceptible to “accelerant” –type moves in both directions…
SpotGamma shares some insights from their most recent OCC analysis.
This chart reflects the activity (buy/sell to open vs buy/sell to close) in Index options.
Last week Index traders seemed to shift to net sellers of calls, and net buyers of puts.
Unfortunately we are not given any insights into the specific products (ie SPX, NDX, VIX), but what stands out is this appears to be the highest level of net index put buying since our data started in late 2018.
This confirms McElligott’s note that Skew remains extreme with long-dated downside staying crazy-bid in particular…
Is something changing under the hood of this “market” ahead of this week’s inflation data?
Mon, 05/10/2021 – 09:42