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Strategies & Market Trends : John Pitera's Market Laboratory
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From: Don Green3/21/2017 8:07:19 PM
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* Tuesday's stock market slide was largely due to technical selling, says JP Morgan's top quant Marko Kolanovic; S&P 500 Index down 1.2 pct, its largest daily drop since Oct. 11

** Friday's options expiration changed options dealers' positions in a manner that left them more likely to sell into a falling market, JPM says

** In early March, dealers' positioning helped dampen volatility, per JPM

** "Following Friday's option expiry, the gamma imbalance shifted towards puts for the first time in about 5 months and the market was 'free' to move again," says Marko Kolanovic, JPM's head of derivative and quantitative strategies

** The S&P 500 option gamma imbalance turned about $20 bln towards puts today, significantly contributing to the selling, says Kolanovic

** An uptick in realized volatility is starting to cause outflows from volatility-sensitive investors, says Kolanovic; in addition, the break in short-term momentum may cause modest equity selling by trend following strategies, he says
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