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期权异动 | GAMMA再现峰值,大盘高位将承压?

Options changes | GAMMA peaks again, will market highs be under pressure?

富途资讯 ·  Dec 28, 2020 21:11  · Exclusive

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Us Stock Intelligence Agent | Eli, Tommy

This article summarizes the latest large order changes in the option market for you.

By monitoring these market data, investors can use this often neglected information and formulate investment strategies.

Today, I would like to give you a brief description of the market GAMMA exposure trend corresponding to the market trend forward-looking. GAMMA EXPOSURE refers to the market.Sensitivity of existing option contracts to price changes in the S & P 500 indexWhat this indicator can tell you is how option market makers may hedge their trades according to changes in options trading to balance a balance of options trading paper assets.

Market maker:

Options market makers are third-party institutions that have contractual relationships with exchanges such as the Chicago options Exchange (CBOE) to ensure the liquidity of the options market.

When you trade options, the counterparty is usually a market maker. In order to make contracts liquid enough, market makers ensure that you can buy and sell option contracts more easily under given conditions (any exercise date, exercise price, etc.).

Market makers ensure that options can be traded quickly in the market, even if there are no potential buyers or sellers.

For example, if GAMMA EXPOSURE currently has a reading of $6 billion, when the price changes to + /-1%, it indicates that 6 billion shares will be traded by market makers in the market to push prices in the opposite direction of the current trend. So it's timeThe highest value of the reading often occurs when the price reaches its peak, and the corresponding lowest value often occurs when the price reaches the bottom.

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Source: sentimentrader

The picture above is nothing more than a comparison of GAMMA EXPOSURE to the movements of the S & P 500. After explaining these two factors (gamma exposure and market makers) in the option market above, we conclude that if institutions, especially market makers, continue to encroach on them.S & P 500 ETF-SPDR (SPY.US) $Gamma exposure, while indicators continue to show early signs of rising higher low (highs and lows), then based on the upward trajectory of the market and the current high sideways market, institutions are bound to lay the groundwork for a small fluctuation in the near future.

December 24th ETF options change in the market

The trading volume in the options market reached 20.8 million contracts last Thursday, 41% lower than the previous average, of which the number of subscriptions was slightly higher than that of the sell (5:3). The volume of individual stocks and ETF is relatively high, while the flow of futures index products is moderate.

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Changes in individual stock options in various sectors on December 24

The most active sectors include optional consumer and technology sectors, while trading volumes in basic materials and utilities (risk aversion) are relatively calm.

Of the 3673 stocks with only listed options, 1767 (48 per cent) closed up and 1752 (48 per cent) closed down. Among the 500 stocks with the highest liquidity, 136 have higher implied volatility and 330 have lower implied volatility on the 30th. The stocks that have detected transaction changes include:$BABA (BABA.US) $$Blink Charging Co. (BLNK.US) $$FireEye Inc. (FEYE.US) $$Pinduoduo (PDD.US) $From whom to learn (GSX.US) $等。

Science and technology stock

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Industrial stock

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Cyclical consumer stock

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Financial stocks

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Communications Unit

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Medical and Health Unit

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Building Materials Unit

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Defensive consumer stock

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The option tool is flexible and easy to use, and it is considered to be the most perfect trading tool in the financial market so far. small funds can quickly accumulate wealth through accurate judgment using non-linear leverage. large funds can achieve stable returns through the comprehensive application of multiple strategies across bull-bear and shock markets. But we also need to see the buyer's risk of options (ordinary investors are careful to be sellers of options, with limited returns and unlimited losses):

1. Nonlinear huge leverage will suffer huge losses if it is faced with going in the wrong direction.

2. Volatility drops, and the other side may lose money.

3. The state of mind is easy to be out of balance with big fluctuations.

4. Time is the enemy of option buyer.

5. Stock thinking is serious. Stock thinking is just want to do long, will not short, fall more want to bottom, trap, ignore and so on rebound, and even some people add positions to lower costs, the result is deeper and deeper to zero. If you don't change your mind, it's dangerous to make options.

The translation is provided by third-party software.


The above content is for informational or educational purposes only and does not constitute any investment advice related to Futu. Although we strive to ensure the truthfulness, accuracy, and originality of all such content, we cannot guarantee it.
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