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      S&P approaching max long gamma

      3700 is the big long gamma level. As we have written over past sessions, sticky long gamma and very small realized volatility is creating a frustration among dealers experiencing the theta bleed. Vols are down, but realized vols are down even more.

      Sudden moves like the late session Pfizer move yesterday was met with buying as long gamma must be hedged. Same works should we spike higher, especially into the 3700 area, long gamma dealers need to sell deltas.

      With few strong narratives and sticky gamma, theta frustration continues for longer...

      S&P approaching max long gamma
      Source: Spotgamma
      Mighty KWEB

      China tech continues moving higher post that great break out we outlined early last week. Chart 2 shows BABA, a play we pointed out in late August (here). The stock broke above huge resistance levels and momentum is huge. Our general take on China tech (BABA included) is to not forget to roll those call spreads into higher strikes as we move higher.

      Mighty KWEB
      Source: LSEG Workspace
      Mighty KWEB
      Source: LSEG Workspace
      You are here

      VIX seasonality is about to kick in right now...

      You are here
      Source: Equity Clock
      VIX speculators mania

      Slightly simplified way of looking at things as there are many offsetting positions in the volatility world, but still worth taking a look at the great VIX spec short.

      VIX speculators mania
      Source: LSEG Workspace
      The VIX shorty

      Dealers running big VIX call shorts..."VIX total Vega to buy in a +10 shock now at 91% btwn ETNs and Dealer options positioning".

      The VIX shorty
      Source: Nomura
      AI mania - seriously overbought

      AIQ at the most overbought levels since July 2024...just before markets crashed.

      AI mania - seriously overbought
      Source: LSEG Workspace