Long gamma puts brakes on post-election US stock rally
Call selling by ETFs helped fuel largest net gamma positioning among dealers since July
Extreme gamma selling by popular call overwriting funds may have played a significant role in dampening volatility and putting the brakes on the post-US election rally in the S&P 500.
According to Bank of America analysts, market-makers’ long gamma exposure was in the 97th percentile in early December, at around $14 billion, a level surpassed only by the record $24 billion seen in July. On December 6, the Cboe’s Vix index of implied volatility fell below 13 for the first time since July.
“The
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