Informe GT Gamma Levels

One of the more important aspects of this expiraiton has to do with “deflation”. We often talk about the fact that call positions were never rebuilt after the Feb crash and to me this is a sharp juxtaposition to the record equity call positions. As you can see in the chart below, call gammas never really recovered (reinflated) despite this run higher over the last 2 months. The second piece of this is the small positions currently posted in any expiration past June. As you can see here there just isnt much open interest. This suggests that call gamma readings arent due for a recharge any time soon and large positive gamma readings (ex: >2 on the SG Index) aren’t likely. Recall our general SPX model is that call interest brings positive gamma which is a mechanism for volatility supression. If I had to forecast the results of this is I’d say that maybe VIX 20 is the new VIX 10 from years past. Its worth mentioning that one shouldnt assign a direction to volatility – it simply implies lots of movement. I’m not sure that this idea is tough to find agreeable given the health concernts and politcal atmosphere today and elections in November. I also can’t help but smile at this thought given the Fed recently (when asked about a stock speculation) said something along the lines of “our primary concern is asset price stability”.