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Strategies & Market Trends : ajtj's Post-Lobotomy Market Charts and Thoughts -- Ignore unavailable to you. Want to Upgrade?

To: Qone0 who wrote (83269)	12/22/2023 4:01:53 PM
From: Sun Tzu	Respond to of 97958

This is correct. But did I misread that your calculation was based on 0.6 being at the money? Anyways, the whole point is that if the index falls over the gamma wall, then it will surf the volatility surface all the way to the bottom (and then some) because there is a positive feedback loop. This is what the original video was pointing out. He looked at the book and saw a pretty tall wall with an air pocket. The options did not control the initial fall. But once the index went over the edge, the option market pushed it way down. This is evidenced by (1) The parabolic shape of the fall. (2) the key levels of the fall, And (3) the subsequent recovery. A gamma wall does not always exist. But anyone who wants to trade 0DTE should have a keen awareness of the volatility surface. As a side note, it took Wall Street 100 years, but they finally reinvented the bucket shops of Jesse Livermore era. I wonder how it will play out in the next market crash. Some time over the next 10 years we're likely to rediscover why the bucket shops were banned and why SEC put margin requirements in place.