If you are interested in the world of options, the GO room is the right place to be. We have free options classes and also a professional course for those of you who want to explore more: https://t.co/SDAlilyoRP
The GT level for today is $SPX 6641, and we got a massive long gamma flip in one session (we are about 2% above the GT level now). We should expect low realized volatility and upside drift in the near future.
@dok8228 I just posted the quarter results. Only $15 profit overall for the strategy, but at least we beat the SPX despite the underperformance in Feb and March. I still like the system; it has a strong Sharpe (1.17), and alpha remains positive (78%), plus a low correlation to SPX.
The GT level for today is $SPX 6636, and we remain in a short gamma regime. The distance to the GT level keeps growing. We should expect elevated realized volatility in the near future.
For information about the GT level please read: https://t.co/xMIBL4OQUj
As requested, here is the updated performance for UltraConstantStable (the official system of the GO room). We closed the quarter with just $15 profit per contract, but at least better than our SPX benchmark. Overall performance remains strong. Sharpe of 1.17 and alpha of 78%
If you are interested in the world of options, the GO room is the right place to be. We have free options classes and also a professional course for those of you who want to explore more: https://t.co/SDAlilyoRP
The GT level for today is $SPX 6643.26, and we remain short gamma . Gamma Imbalances are huge. We should expect hedging activity from dealers to really accelerate moves in any of those directions, which means we should expect very elevated realized volatility in the near term.
If you are interested in the world of options, the GO room is the right place to be. We have free options classes and also a professional course for those of you who want to explore more: https://t.co/SDAlilyoRP
The GT level for today is $SPX 6664.27, and we remain in a short gamma regime. Of interest is that it has been very stable for a while now, which means big players are not adding to their hedges at this point...
Gamma Imbalances are also stable, although the downside imbalance is a tad elevated today. As usual, we should expect elevated realized volatility in the near future.
(2/2)
For those of you looking for early signs of a bounce, keep an eye on RV. If it goes below 10% for a few sessions in a row, that would be the first sign of liquidity returning to the market.
Sharing from the Gamma Optimizer room:
Looking at Intraday Realized Volatility for the last 20 sessions, we can see in the chart (dark blue line) that we have been above the ideal 10% level for most of the past month... (1/2)
It has been a while since I shared the variance center. If you want to see the GT level in real time (plus a lot more) please run: https://t.co/TWGPMYj1V2
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f you are interested in the world of options, the GO room is the right place to be. We have free options classes and also a professional course for those of you who want to explore more: https://t.co/SDAlilyoRP
The GT level for today is 6668.59 $SPX, and we remain in a short gamma regime. Gamma imbalances are getting lower, so hedging activity from dealers is having less effect on volatility. For now, we should expect elevated realized volatility in the near future,
Hedging activity from dealers should accelerate downside moves, while being more muted to the upside. Overall we should expect elevated volatility in the near term.
For options education please check: https://t.co/12JuQxMWlW
The GT level for today is 6685.91 $SPX, and we remain in a short gamma regime. Clearly, this year has been a departure from 2025, when we spent most of that year in a long gamma regime, and now we are stuck in a short gamma regime.
It looks like dealers are again overcharging for volatility. I have a VixOne reading of 28.2% and $VIX at 25.79%. Intraday Realized Volatility is also very elevated today at 22.5%, which means liquidity is very scarce despite the appearance of calm on a flat day.