https://www.zerohedge.com/markets/u...mura-explains-why-week-has-been-such-hot-mess
"...
YOLO’ing into 0 and 1 Days-Til-Expiration (DTE) Options
This has now been “institutionalized” by Vol traders at many of the largest funds on the Street….i.e. it’s not about Retail-alone playing this game anymore
INSTITUTIONAL entities are now the most prominent users creating all this extreme daily market convexity with their usage of ultra-short dated options—because now, we see the “big boys” having surpassed the prior Retail YOLO set (which had been the largest users of the of the 0-1DTE stuff), and have become full-tilt DAY TRADERS, using the certainty of Dealer hedging flows that their orders create to then amplify and “juice” the intended directional market move... before closing-out positions mere hours later by EOD
The proof is in the pudding - over the past 1m period alone, we have seen witnessed some absolutely biblical usage of 0DTE and 1DTE options, and it’s acting like jet fuel being dumped on the already out of control “macro” fire occurring into persistent “Negative Gamma” momentum overshoot flows…looking at this snippet of the “max” usage days as % of overall volumes in the underlying product over the past month:..."
And what do y'all think the following means for tomorrow's OP-EX?
"...But I really gotta stress two dynamics here which have been evolving / accelerating in recent months, as it relates to the insanity that has been the open-to-close trading in US Equities so acutely over this past week period:
1) the explosion (and institutionalizion) of trading in hyper-convex 0-1DT options which has escalated in recent days / weeks, and
2) the sheer scale of the Front-Delta needing to be traded into this week’s Op-Ex, which for SPX is on par with Volmageddon Feb ‘18, the J Powell “Autopilot / Long-way from Neutral” Debacle in Dec ‘18 and the COVID panic of Mar ’20…while the front-Delta to be traded into this week’s QQQ (Nasdaq) expiration actually exceeded each of those prior “Vol Shocks”!..."
"...
YOLO’ing into 0 and 1 Days-Til-Expiration (DTE) Options
This has now been “institutionalized” by Vol traders at many of the largest funds on the Street….i.e. it’s not about Retail-alone playing this game anymore
INSTITUTIONAL entities are now the most prominent users creating all this extreme daily market convexity with their usage of ultra-short dated options—because now, we see the “big boys” having surpassed the prior Retail YOLO set (which had been the largest users of the of the 0-1DTE stuff), and have become full-tilt DAY TRADERS, using the certainty of Dealer hedging flows that their orders create to then amplify and “juice” the intended directional market move... before closing-out positions mere hours later by EOD
The proof is in the pudding - over the past 1m period alone, we have seen witnessed some absolutely biblical usage of 0DTE and 1DTE options, and it’s acting like jet fuel being dumped on the already out of control “macro” fire occurring into persistent “Negative Gamma” momentum overshoot flows…looking at this snippet of the “max” usage days as % of overall volumes in the underlying product over the past month:..."
And what do y'all think the following means for tomorrow's OP-EX?
"...But I really gotta stress two dynamics here which have been evolving / accelerating in recent months, as it relates to the insanity that has been the open-to-close trading in US Equities so acutely over this past week period:
1) the explosion (and institutionalizion) of trading in hyper-convex 0-1DT options which has escalated in recent days / weeks, and
2) the sheer scale of the Front-Delta needing to be traded into this week’s Op-Ex, which for SPX is on par with Volmageddon Feb ‘18, the J Powell “Autopilot / Long-way from Neutral” Debacle in Dec ‘18 and the COVID panic of Mar ’20…while the front-Delta to be traded into this week’s QQQ (Nasdaq) expiration actually exceeded each of those prior “Vol Shocks”!..."
