By Eli, Tommy
Gamma exposure (GEX) refers to the sensitivity of existing option contracts to changes in the underlying price of the S&P 500. Gamma exposure informs you how options market makers will likely need to hedge their trades to ensure their options books are balanced.
Market makers:
An options market maker is an individual (or more likely institution) that has a contractual relationship with an exchange, like the CBOE (Chicago Board Options Exchange) to ensure there is liquidity in the options market.
When you trade options, the person on the other side of your trade is generally going to be a market maker. They are the people who make it so that you can more easily buy or sell an option contract at some strike on some expiration date.
Market makers ensure that transactions are completed quickly in the options market even where there doesn't seem to be a buyer or a seller. Transactions would be harder to conduct, and options trading may not be as commonplace.
On the chart, a GEX value of 6 billion implies that if price moves +/-1%, 6 billion shares will come to market to push price in the opposite of the prevailing direction. The highest values tend to occur as prices peak and the lowest values as prices bottom.
source: sentimentrader
Conclusion: As the chart shows above, if they continue to chip away at $SPDR S&P 500 ETF(SPY.US)$ GAMMA, while indices hold firm, it usually can be early sign they left a door open for some volatility in the not to distant future.
Notable bettings toward broader market indices ETF on 12/24
Market-wide option volume of 20.8m contracts was 41% below recent average levels, with calls leading puts 5 to 3. Single stock and ETF products saw relatively heavy volume, while Index flow was moderate.
Individuals breakdown by sectors (12/24 notable bets)
Most active sectors included Consumer Services, Consumer Goods and Technology while Basic Materials and Utilities were relatively light. Of the 3,673 stocks with listed options, 1,767 (48%) closed higher, and 1,752 (48%) lower. Among the 500 most liquid single stocks, 30day implied volatility was lower for 330 and higher for 136. Unusual total option volume was observed in $Alibaba Group Holding Ltd(BABA.US)$, $Blink Charging Co(BLNK.US)$, $FireEye Inc(FEYE.US)$, $Pinduoduo(PDD.US)$ and $GSX Techedu(GSX.US)$.
Tech
Industrial
Consumer Cyclical
Financial
Communication Services
Healthcare
Basic Materials
Consumer Defensive
Options Montage from moomoo news team, the most exclusive and insightful order flow details we delivered. They provide increased cost-efficiency, they have the potential to deliver higher percentage returns and strategic alternatives.