Hi Bob,
excellent analysis and comments on your part........ remember when you were driving back from Wisconsin a few days ago or so and you commented that you were starting to have some fairly serious reservations about the market.
Message 31039374
Marko Kolanovic was on fast money on cnbc yesterday..... this list of bullet point that Don Green supplied
covers Kolanovic's take on how the options expiration had left the option makers proverbially all leaning on one side of the boat.
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
very interesting insight on your part Bob.... I can easily believe that what you describe is how the markets were set coming in on monday.
That makes for 4 months in a row that option expiration days have ended up.
I interpret that as a form of distribution or many new owners of stock at a relatively high price since they not only paid the strike price but also have the call premium to add to that strike price.
After four months in a row - the market makers must be hungry for some discounted inventory.
I'm thinking we need down for longer to accomplish that and 2280 ish would be a good place to find support imo
2280 is the level that Katie Stockton of BTIG was talking about when she was interviewed by Joe Kernan on March 5th or so. very logical........ area for prices to gravitate to in the short term.
JP |
