Moving on...
What is "non-dealer gamma?"
What is "non-dealer gamma?"
https://twitter.com/SqueezeMetrics/status/1430185120548392975
It's the other 50%.
https://twitter.com/SqueezeMetrics/status/1430041315983732751
And that means stuff that's held directly between two customers, with no dealer in the middle.
https://twitter.com/SqueezeMetrics/status/1430614533496840196
Thing is...
Customers don't predictably re-hedge their deltas, so their impact on the underlying isn't as uniform as dealers'. But they still respond to changes in S&P 500 price and volatility, just like dealers do.
They just tend to do it all at once.
And at bad times.
Customers don't predictably re-hedge their deltas, so their impact on the underlying isn't as uniform as dealers'. But they still respond to changes in S&P 500 price and volatility, just like dealers do.
They just tend to do it all at once.
And at bad times.
We're getting pretty close to one of those "bad times."
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