I'm going to breakdown JPM big 20 billion dollar Put Spread Collar Hedge trade early this quarter.
The trade usually gets a lot of attention when they do the roll/reset on the day it expires each quarter.
For the uninitiated, this trade occurs every quarter by JPM as a premium neutral hedge (market crash protection) for a 20B fund.
Furus try to explain the delta of it on the day of the trade, but that is not where this trade interests me.
If you follow Gamma and Vanna Exposure of the options world, you would likely know on any given day if the market is currently positive or negative gamma exposure.
You may follow Cem Karsan on twitter like I do and know about Gary and his Bananas or more recently Vanna.
This trade is often a focus on Cems threads when it approaches expiry and I think I finally figured out how to measure its effects on the market.
Here is a graph of the a 21 day moving average of Gamma Exposure.
pretty neat how something as random as the stock market can provide such a recurring pattern.
This idea is just a primer for 21DMA GEX, I'll be following it up in the next few weeks with numbers behind it and how I plan to trade this very cyclic pattern.
Trade Safe. Not financial Advice, just Mad Magazine Data Science.
The trade usually gets a lot of attention when they do the roll/reset on the day it expires each quarter.
For the uninitiated, this trade occurs every quarter by JPM as a premium neutral hedge (market crash protection) for a 20B fund.
Furus try to explain the delta of it on the day of the trade, but that is not where this trade interests me.
If you follow Gamma and Vanna Exposure of the options world, you would likely know on any given day if the market is currently positive or negative gamma exposure.
You may follow Cem Karsan on twitter like I do and know about Gary and his Bananas or more recently Vanna.
This trade is often a focus on Cems threads when it approaches expiry and I think I finally figured out how to measure its effects on the market.
Here is a graph of the a 21 day moving average of Gamma Exposure.
pretty neat how something as random as the stock market can provide such a recurring pattern.
This idea is just a primer for 21DMA GEX, I'll be following it up in the next few weeks with numbers behind it and how I plan to trade this very cyclic pattern.
Trade Safe. Not financial Advice, just Mad Magazine Data Science.
